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

A comparative analysis of strategies for design in Finland and Brazil

This paper reports on work in progress and initial findings of a research project that is comparing existing strategies for design (in promotion, support and policy fields) in four selected countries: Finland, South Korea, Brazil and India. For this specific paper, Finland and Brazil are the case studies compared. The paper explains the criteria for selection of these subjects, based on their stage of development and position on the Global Competitiveness Index (World Economic Forum). The objective of the research project is to investigate how countries with different national contexts adopt different strategies for design in coherence with their positions, weaknesses and strengths. Keywords: Design Policy, Design Strategy, Case Study/Ies, Brazil, Finland, Economic Development.</p