Implied Calibration of Stochastic Volatility Jump Diffusion Models

In the context of arbitrage-free modelling of financial derivatives, we introduce a novel calibration technique for models in the affine- quadratic class for the purpose of contingent claims pricing and risk- management. In particular, we aim at calibrating a stochastic volatility jump diffusion model to the whole market volatility surface at any given time. We numerically implement the algorithm and show that the proposed approach is both stable and accurate.Affine-quadratic models, Option pricing, Model Calibration

Fitting Effective Diffusion Models to Data Associated with a "Glassy Potential": Estimation, Classical Inference Procedures and Some Heuristics

A variety of researchers have successfully obtained the parameters of low dimensional diffusion models using the data that comes out of atomistic simulations. This naturally raises a variety of questions about efficient estimation, goodness-of-fit tests, and confidence interval estimation. The first part of this article uses maximum likelihood estimation to obtain the parameters of a diffusion model from a scalar time series. I address numerical issues associated with attempting to realize asymptotic statistics results with moderate sample sizes in the presence of exact and approximated transition densities. Approximate transition densities are used because the analytic solution of a transition density associated with a parametric diffusion model is often unknown.I am primarily interested in how well the deterministic transition density expansions of Ait-Sahalia capture the curvature of the transition density in (idealized) situations that occur when one carries out simulations in the presence of a "glassy" interaction potential. Accurate approximation of the curvature of the transition density is desirable because it can be used to quantify the goodness-of-fit of the model and to calculate asymptotic confidence intervals of the estimated parameters. The second part of this paper contributes a heuristic estimation technique for approximating a nonlinear diffusion model. A "global" nonlinear model is obtained by taking a batch of time series and applying simple local models to portions of the data. I demonstrate the technique on a diffusion model with a known transition density and on data generated by the Stochastic Simulation Algorithm.Comment: 30 pages 10 figures Submitted to SIAM MMS (typos removed and slightly shortened

Minimax Estimation of Nonregular Parameters and Discontinuity in Minimax Risk

When a parameter of interest is nondifferentiable in the probability, the existing theory of semiparametric efficient estimation is not applicable, as it does not have an influence function. Song (2014) recently developed a local asymptotic minimax estimation theory for a parameter that is a nondifferentiable transform of a regular parameter, where the nondifferentiable transform is a composite map of a continuous piecewise linear map with a single kink point and a translation-scale equivariant map. The contribution of this paper is two fold. First, this paper extends the local asymptotic minimax theory to nondifferentiable transforms that are a composite map of a Lipschitz continuous map having a finite set of nondifferentiability points and a translation-scale equivariant map. Second, this paper investigates the discontinuity of the local asymptotic minimax risk in the true probability and shows that the proposed estimator remains to be optimal even when the risk is locally robustified not only over the scores at the true probability, but also over the true probability itself. However, the local robustification does not resolve the issue of discontinuity in the local asymptotic minimax risk

Spreading of virulence regarding spatial distribution resistant cultivars inferred from population modeling coupled with genetics

One of the control strategies of fungal crop diseases is planting highly resistant varieties. However selection pressure on the pathogen, imposed by major resistance genes, leads to the development of new virulent races. In most cases breakdown of resistance has been reported for crop-pathogen systems with a genetically uniform crop distributed over large areas [2]. Des choix stratégiques en matière de construction et de déploiement de génotypes résistants combinant des gènes de résistance se pose aujourd’hui de manière aigüe afin de tendre vers une agriculture à résistance durable. To reach this objective, we start a study that combined population modeling with genetics to (1) identify keys traits of life of the pathogen involved in resistance breakdown (2) simulate virulence spreading regarding spatial host distribution

Le parcours de Pierre-Jakez Hélias vu par l'historien de l'éducation ou La mythologie de l'école républicaine

Colloque inaugural du Pôle universitaire Pierre-Jakez Hélias organisé et publié avec le soutien du Conseil Général du Finistère et de la Ville de Quimper. Édité dans la revue KREIZ, n° 15. Resp. de la publication D. Guillou-Beuzit, J.-L. Le Cam, mise en page Cl. Roy, cartographie G. CouixBased on the autobiographical passages of the work of P.-J. Hélias and archives of his secondary school in Quimper (France, Brittany), this text presents the educational travel of the Breton writer as emblematic of the great social and cultural change the most dynamic elements of rural society experienced, through the school of the Republic, in the first half of the twentieth century.Sur la base des passages autobiographiques de l'œuvre de P.-J. Hélias et des archives du Lycée de Quimper (France, Finistère), ce texte présente le parcours scolaire de l'écrivain breton comme emblématique de la grande mutation culturelle et sociale qu'ont vécue, grâce à l'école de la République, les éléments les plus dynamiques de la société rurale dans la première moitié du XXe siècle

DYNAMICS OF THE HIV EPIDEMICS AMONG INJECTING DRUG USERS AND FEMALE SEX WORKERS IN VIETNAM

Although injecting drug users (IDUs) and female sex workers (FSWs) carry a disproportionate burden of HIV in Vietnam, little is known about the dynamics of the HIV epidemic among these high-risk populations. This thesis involved a secondary data analysis of the ‘2009 HIV/STI Integrated Biological and Behavioral Surveillance’ (IBBS) study to identify the correlates of HIV among IDUs and FSWs in Vietnam. It also involved the creation and simulation of an Agent-based model (ABM) to characterize the dynamics of the HIV epidemics among IDUs and FSWs, and to explore the effects of different intervention strategies. Data collected from 3,038 male IDUs, 2,530 street-based sex workers (SSWs) and 2,768 venue-based sex workers (VSWs) from 10 provinces in Vietnam during 2009-2010 were analyzed using descriptive statistics, bivariate and multivariate logistic regression analyses. An ABM was constructed using key behavioral data from the IBBS study. Different intervention scenarios based upon different levels of behavioral change were then simulated and compared. The aggregated prevalence of HIV infection was 30.6% (n=930) among male IDUs, 10.6% (n=267) among SSWs and 6.7% (n=186) among VSWs. Lifetime needle sharing, duration of drug injection ≥ 5 years, and having regular sexual partners who injected drugs were associated with increased risk of HIV among IDUs. Independent correlates of HIV infection in multivariate analysis, regardless of sex work types, included lifetime injecting drug use, high self-perceived HIV risk, and age ≥ 25 years. Intervention scenarios of lowering needle sharing levels among those who injected drugs resulted in the largest reductions in HIV infection in all simulated populations and across various intervention scenarios of behavioral change. The majority of the reductions occurred when needle sharing levels declined from 50% to 40% and to 30%, respectively. The HIV epidemic in Vietnam requires targeted prevention interventions among populations at high-risk of HIV infection. Results from the thesis suggest drug injection-related risks play an important role in fueling the epidemic and thus underscore the need to strengthen HIV harm reduction services in Vietnam. The thesis demonstrates that the use of ABM well complements traditional epidemiologic regression-based analysis in providing important insights into the complex dynamics of the HIV epidemics among IDUs and FSWs

The Material Traces of Journalism

This paper explores how the study of objects of journalism, retraced through the material traces left in metajournalistic discourses, might constitute a robust basis to investigate change and permanence in contemporary journalism. We delineate a research program focusing on materiality that requires foremost that objects should not be taken for granted and, therefore, that each object’s social history be minutely retraced. Stemming from two specific objects (the blog and the hyperlink), the paper argues that beyond their idiosyncrasies, both follow a similar rationale that could be extrapolated to other objects and lead to a materially focused social history of journalism in a digital age. The paper first clarifies how we approached the notion of “objects of journalism” and which objects we chose to study. Then, we show how different theoretical frameworks led us to adopt a similar research stance and a shared hypothetico-inductive path: determining how objects are parts of a series and analyzing metajournalistic discourses to retrace each object’s history on an empirically grounded basis. The resulting attention to filiations and context ultimately produces a contextualized socio-history of object

Some specific features and consequences of the thermal response of rubber under cyclic mechanical loading

International audienceThe present paper deals with the specificities of the thermal response of rubber under cyclic mechanical loading at constant ambient temperature. This question is important, since the stabilized thermal response is used in fatigue life criteria, especially for the fast evaluation of fatigue life. For this purpose, entropic coupling in a thermo-hyperelastic framework is first used to predict the variation in the heat source produced or absorbed by the material during cyclic loading. The heat diffusion equation is then used to deduce temperature variations under adiabatic and non-adiabatic conditions. The influence of several parameters on the stabilized thermal response is studied: signal shape, frequency, minimum and maximum stretch levels, multiaxiality of the mechanical state. The results show that, in the steady-state regime, the mean value between the maximum and minimum temperature variations over a mechanical cycle is different from zero. This is due to the specific variation in the heat source, which depends on both the stretch rate and the stretch level. This result has numerous consequences, in particular for fatigue. Indeed, the stabilized mean value between the maximum and minimum temperature variations during fatigue tests does not reflect only fatigue damage, since the entropic coupling also leads to a value different from zero. This is a major difference with respect to materials exhibiting only isentropic coupling, such as metallic materials