Pricing variance swaps with stochastic volatility

Following the pricing approach proposed by Zhu & Lian (2009), we present an exact solution for pricing variance swaps with the realized variance in the payoff function being a logarithmic return of the underlying asset at some pre-speci¯ed discrete sampling points. Our newly-found pricing formula is based on the Heston's (1993) two-factor stochastic volatil- ity model. The discovery of this exact and closed-form solution has signi¯cantly improved the computational efficiency involved in computing the value of variance swaps with discrete sampling points

Viscosity measurement in thin lubricant films using shear ultrasonic reflection

When a shear ultrasonic wave is incident on a solid and liquid boundary, the proportion that is reflected depends on the liquid viscosity. This is the basis for some instruments for on-line measurement of bulk liquid viscosity. In machine elements, the lubricant is usually present in a thin layer between two rubbing solid surfaces. The thin film has a different response to an ultrasonic shear wave than liquid in bulk. In this work, this response is investigated with the aim of measuring viscosity in situ in a lubricating film. The proportion of the wave reflected at a thin layer depends on the layer stiffness. A shear wave is reflected by the shear stiffness of the thin layer. For a thin viscous liquid layer, the stiffness is a complex quantity dependent on the viscosity, wave frequency, and film thickness. This stiffness is incorporated into a quasi-static spring model of ultrasonic reflection. In this way, the viscosity can be determined from shear-wave reflection if the oil-film thickness is known. The approach has been experimentally evaluated on some static oil film between Perspex plates. Predictions of the spring model gave good measurement up to layer thicknesses of around 15 μm. For thicker layers, the shear stiffness reduces to such an extent that almost all the wave is reflected and the difference associated with the layer response is hard to distinguish from background noise

Identification of Colour Reconnection using Factorial Correlator

A new signal is proposed for the colour reconnection in the hadronic decay of W+ W- in e+e- collisions. Using Pythia Monte Carlo it is shown that this signal, being based on the factorial correlator, is more sensitive than the ones using only averaged quantities.Comment: 6 pages 1 postscript figur

Regional Indexes of Activity: Combining the Old with the New

This paper proposes a framework to construct indexes of activity which links two strands of the index literature – the traditional business cycle analysis and the latent variable approach. To illustrate the method, we apply the framework to Australian regional data, namely to two resource-rich and two service-based states. The results reveal differences in the evolution and drivers of economic activity across the four states. We also demonstrate the value of the Index in a broader context by using a structural vector autoregression (SVAR) approach to analyse the effects of shocks from the US and from China. This Index-SVAR approach facilitates a richer analysis because the unique feature of the index method proposed here allows impulse responses to be traced back to the components.Regional economic activity, coincident indicators, dynamic latent factor model

Pendidikan Karakter Berbasis Nilai

Internalization of values-based character education on student himself can be done through an objective and transparent assessment system. This will be useful to foster honesty, discipline, and responsibility of students. Objective assessmentwas actually born of conscience. The real truth in it as something that is produced by conscience is something that is pure and candid. Transparent assessment of the implementation of the assessment should be known, from the aspect of the valuesobtained, the basic decision-making, processing until the final result indicated value, and acceptable. With such a rating system that would give birth to a student who has a character to help form a strong mental. Strong mental is precondition to be qualified competitive human.AbstrakInternalisasi pendidikan karakter berbasis nilai pada diri mahasiswa dapat dilakukan melalui sistem penilaian yang objektif dan transparan. Hal ini akan berguna untuk memupuk kejujuran, kedisiplinan, dan tanggung jawab pada diri mahasis-wa. Penilaian yang objektif itu sebetulnya terlahir dari hati nurani. Kebenaran sejati ada di dalamnya karena sesuatu yang dihasilkan oleh hati nurani merupakan sesuatu yang murni dan apa adanya. Penilaian yang transparan harus diketahuipelaksanaan penilaiannya, dari aspek nilai yang didapat, dasar pengambilan keputusan, pengolahan nilai sampai hasil akhirnya tertera, dan dapat diterima. Dengan sistem penilaian yang demikian akan melahirkan mahasiswa yang memiliki karakter dalam membantu pembentukan mental yang kuat. Mental yang kuat merupakan prasyarat untuk menjadi manusia yang berkualitas dan kompetitif.

INDONESIAN STANDARDIZED EXAMINATION IN ISLAMIC RELIGIOUS EDUCATION

This study aimed to determine the quality of Indonesian nationally standardized examination instrument (Soal Ujian Sekolah Berstandar Nasional/SUSBN) in Islamic religious education subjects (Pendidikan Agama Islam/PAI), on 2011/2012 academic year, in high school of Gorontalo City, Celebes, Indonesia. It was assessed from the aspect of qualitative analysis and quantitative analysis based on classical-modern test theory and iteman program. This is an ex post facto research. Data were collected by document analysis technique and used 215 sample from 1321 population of learners. The result shows that items of the question has a good validity level; the distribution of cognitive domain comprehenship enough; it reliability was stable; level of difficulty was categorized as fair; criteria different power are well accepted; effectiveness of detractors items are effective. However, on several points need revised in order to in line with the Regulation of the Minister of Religious Affairs and National Education Standards Agency

The Pedagogical Legacy of Vicente Scaramuzza: The Relationship Between Anatomy of the Hand, Tone Production, and Musical Goals

The Italian pianist and pedagogue Vicente Scaramuzza has become one of the most prominent musical figures in Argentina. His students achieved international recognition and his school of piano playing is still being passed on by his former students. My piano teacher in Buenos Aires, Nilda Somma, studied for fourteen years under his supervision, and shared with me his annotations, fingerings, and re-distributions (it is important to point out that decades ago, redistributing notes between both hands in certain passages was not a controversial practice). Among Vicente Scaramuzza’s most renowned students are Martha Argerich, Bruno Gelber, Enrique Barenboim (who later taught his son Daniel), Nilda Somma, Antonio de Raco, Sylvia Kersenbaum, Daniel Rivera, Daniel Levy, and Cristina Viñas. Only one book has been published about Vicente Scaramuzza’s approach to piano technique and tone production. Enseñanzas de un gran Maestro, written by his former student Maria Rosa Oubiña de Castro, provides detailed explanations and illustrations of his unique approach. During lessons, Vicente Scaramuzza would circle a problematic passage and then, in a separate notebook write a full explanation of the necessary steps to solve the issue. My former piano teacher, Nilda Somma, kept her notebooks with Scaramuzza’s annotations, in addition to scores with fingerings and re-distributions. A closer examination of these invaluable materials will help shed light on the musical intelligence and technical mastery of Scaramuzza. The most distinctive characteristic of his school of piano playing is the strong connection between awareness of the anatomy of the hand, re-distributions, tone production, and musical goals. Advisor: Paul Barne

Pricing volatility derivatives with stochastic volatility

Volatility derivatives are products where the volatility is the main underlying notion. These products are particularly important for market investors as they use them to have insight into the level of volatility to efficiently manage the market volatility risk. This thesis makes a contribution to literature by presenting a set of closed-form exact solutions for the pricing of volatility derivatives. The first issue is the pricing of variance swaps, which is discussed in Chapter 2, 3, and 4. We first present an approach to solve the partial differential equation (PDE), based on the Heston (1993) two-factor stochastic volatility, to obtain closed-form exact solutions to price variance swaps with discrete sampling times. We then extend our approach to price forward-start variance swaps to obtain closed-form exact solutions. Finally, our approach is extended to price discretely sampled variance by further including random jumps in the return and volatility processes. We show that our solutions can substantially improve the pricing accuracy in comparison with those approximations in literature. Our approach is also very versatile in terms of treating the pricing problem of variance swaps with different definitions of discretely-sampled realized variance in a highly unified way. The second issue, which is covered in Chapter 5, and 6, is the pricing method for volatility swaps. Papers focusing on analytically pricing discretely-sampled volatility swaps are rare in literature, mainly due to the inherent difficulty associated with the nonlinearity in the pay-off function. We present a closed-form exact solution for the pricing of discretely-sampled volatility swaps, under the framework of Heston (1993) stochastic volatility model, based on the definition of the so-called average of realized volatility. Our closed-form exact solution for discretely-sampled volatility swaps can significantly reduce the computational time in obtaining numerical values for the discretely-sampled volatility swaps, and substantially improve the computational accuracy of discretely-sampled volatility swaps, comparing with the continuous sampling approximation. We also investigate the accuracy of the well-known convexity correction approximation in pricing volatility swaps. Through both theoretical analysis and numerical examples, we show that the convexity correction approximation would result in significantly large errors on some specifical parameters. The validity condition of the convexity correction approximation and a new improved approximation are also presented. The last issue, which is covered in Chapter 7 and 8, is the pricing of VIX futures and options. We derive closed-form exact solutions for the fair value of futures and VIX options, under stochastic volatility model with simultaneous jumps in the asset price and volatility processes. As for the pricing of VIX futures, we show that our exact solution can substantially improve the pricing accuracy in comparison with the approximation in literature. We then demonstrate how to estimate model parameters, using the Markov Chain Monte Carlo (MCMC) method to analyze a set of coupled VIX and S&P500 data. We also conduct empirical studies to examine the performance of the four different stochastic volatility models with or without jumps. Our empirical studies show that the Heston stochastic volatility model can well capture the dynamics of S&P500 already and is a good candidate for the pricing of VIX futures. Incorporating jumps into the underlying price can indeed further improve the pricing the VIX futures. However, jumps added in the volatility process appear to add little improvement for pricing VIX futures. As for the pricing of VIX options, we point out the solution procedure of Lin & Chang (2009)’s pricing formula for VIX options is wrong, and alert the research community that this formula should not be further used. More importantly, we present a new closed-form pricing formula for VIX options and demonstrate its high efficiency in computing the numerical values of the price of a VIX option. The numerical examples show that results obtained from our formula consistently match up with those obtained from Monte Carlo simulation perfectly, verifying the correctness of our formula; while the results obtained from Lin & Chang (2009)’s pricing formula significantly differ from those from Monte Carlo simulation. Some other important and distinct properties of the VIX options (e.g., put-call parity, the hedging ratios) have also been discussed