Option Valuation under Stochastic Volatility

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.option pricing, stochastic volatility, equilibrium, smile, term structure, implied volatility, eigenvalue, variational, Mathematica, GARCH diffusion, local martingale

Option Valuation under Stochastic Volatility

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.option pricing, stochastic volatility, equilibrium, smile, term structure, implied volatility, eigenvalue, variational, Mathematica, GARCH diffusion, local martingale

Option Valuation under Stochastic Volatility

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.option pricing, stochastic volatility, equilibrium, smile, term structure, implied volatility, eigenvalue, variational, Mathematica, GARCH diffusion, local martingale

A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes

Option values are well-known to be the integral of a discounted transition density times a payoff function; this is just martingale pricing. It's usually done in 'S-space', where S is the terminal security price. But, for Levy processes the S-space transition densities are often very complicated, involving many special functions and infinite summations. Instead, we show that it's much easier to compute the option value as an integral in Fourier space - and interpret this as a Parseval identity. The formula is especially simple because (i) it's a single integration for any payoff and (ii) the integrand is typically a compact expressions with just elementary functions. Our approach clarifies and generalizes previous work using characteristic functions and Fourier inversions. For example, we show how the residue calculus leads to several variation formulas, such as a well-known, but less numerically efficient, 'Black-Scholes style' formula for call options. The result applies to any European-style, simple or exotic option (without path-dependence) under any Lévy process with a known characteristic functionoption pricing, jump-diffusion, Levy processes, Fourier, characteristic function, transforms, residue, call options, discontinuous, jump processes, analytic characteristic, Levy-Khintchine, infinitely divisible, independent increments

Religious orientation, mental health and culture : conceptual and empirical perspectives

This special edition of Mental Health, Religion and Culture brings together thirteen original empirical studies that employ theories and measures based on the notion of ‘religious orientation’. As originally conceived, Allport’s notion of religious orientation distinguished between the two motivational styles of intrinsic religiosity and extrinsic religiosity. Subsequent work distinguished between extrinsic-personal and extrinsic social motivations, and added the third orientation styled as quest religiosity. The first set of seven studies draws on a variety of measures of religious orientation developed since the mid-1960s, including single-item measures. The second set of six studies draws on the New Indices of Religious Orientation proposed by Francis in 2007. Collectively these studies confirm the continuing vitality of the notion of religious orientation for informing empirical research within the psychology of religion and strengthen the foundation for future work in this area

Introducing the modified paranormal belief scale: distinguishing between classic paranormal beliefs, religious paranormal beliefs and conventional religiosity among undergraduates in Northern Ireland and Wales

Previous empirical studies concerned with the association between paranormal beliefs and conventional religiosity have produced conflicting evidence. Drawing on Rice's (2003) distinction between classic paranormal beliefs and religious paranormal beliefs, the present study proposed a modified form of the Tobacyk Revised Paranormal Belief Scale to produce separate scores for these two forms of paranormal belief, styled 'religious paranormal beliefs' and 'classic paranormal beliefs'. Data provided by a sample of 143 undergraduate students in Northern Ireland and Wales, who completed the Francis Scale of Attitude toward Christianity alongside the Tobacyk Revised Paranormal Belief Scale, demonstrated that conventional religiosity is positively correlated with religious paranormal beliefs, but independent of classic paranormal beliefs. These findings provide a clear framework within which previous conflicting evidence can be interpreted. It is recommended that future research should distinguish clearly between these two forms of paranormal beliefs and that the Tobacyk Revised Paranormal Beliefs Scale should be routinely modified to detach the four religious paranormal belief items from the total scale score

Designing for an imagined user: provision for thermal comfort in energy-efficient extra-care housing

AbstractRegarded as one solution to the problem of how to enable older people to retain their independence, extra-care housing, where each resident has their own self-contained dwelling and access to communal facilities and to care, has received extensive funding in recent years. Implicit in the concept of specialist housing is the notion of ‘special’ occupants, imagined older people. Adopting a socio-technical approach, this paper considers how ideas about ageing inform those aspects of extra-care-housing-design that relate to thermal comfort. The paper draws on semi-structured interviews with 13 people involved in the design, development and management of UK-based extra-care housing. Participants characterised imagined occupants as vulnerable to cold, at risk from fuel poverty and liable to be burned by hot surfaces or fall from high windows. These user representations were reportedly inscribed into the design of extra-care housing schemes through the inclusion of building features such as communal heating, under-floor heating, restricted window opening and heated corridors. The utilisation of stereotypical user representations of older people raises questions, given that older people's thermal comfort needs can be highly diverse. The paper explores the implications for energy demand