8,093 research outputs found
Interest Rates and Information Geometry
The space of probability distributions on a given sample space possesses
natural geometric properties. For example, in the case of a smooth parametric
family of probability distributions on the real line, the parameter space has a
Riemannian structure induced by the embedding of the family into the Hilbert
space of square-integrable functions, and is characterised by the Fisher-Rao
metric. In the nonparametric case the relevant geometry is determined by the
spherical distance function of Bhattacharyya. In the context of term structure
modelling, we show that minus the derivative of the discount function with
respect to the maturity date gives rise to a probability density. This follows
as a consequence of the positivity of interest rates. Therefore, by mapping the
density functions associated with a given family of term structures to Hilbert
space, the resulting metrical geometry can be used to analyse the relationship
of yield curves to one another. We show that the general arbitrage-free yield
curve dynamics can be represented as a process taking values in the convex
space of smooth density functions on the positive real line. It follows that
the theory of interest rate dynamics can be represented by a class of processes
in Hilbert space. We also derive the dynamics for the central moments
associated with the distribution determined by the yield curve.Comment: 20 pages, 3 figure
Asset Management in Volatile Markets
The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to understand what happens in their investment universe. In the present SUERF Study, we have collected a sample of outstanding colloquium contributions under the fitting headline: Asset Management in Volatile Markets.derivatives, financial innovation, asset management, finance-growth-nexus; Relative Value Strategy, Pair Trading, Slippage, Implementation Shortfall, Asset Management, Fin4Cast
Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models
Consider power utility maximization of terminal wealth in a 1-dimensional
continuous-time exponential Levy model with finite time horizon. We discretize
the model by restricting portfolio adjustments to an equidistant discrete time
grid. Under minimal assumptions we prove convergence of the optimal
discrete-time strategies to the continuous-time counterpart. In addition, we
provide and compare qualitative properties of the discrete-time and
continuous-time optimizers.Comment: 18 pages, to appear in Mathematical Methods of Operations Research.
The final publication is available at springerlink.co
Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion
On a multi-assets Black-Scholes economy, we introduce a class of barrier
options. In this model we apply a generalized reflection principle in a context
of the finite reflection group acting on a Euclidean space to give a valuation
formula and the semi-static hedge.Comment: Asia-Pacific Financial Markets, online firs
Risk-Seeking versus Risk-Avoiding Investments in Noisy Periodic Environments
We study the performance of various agent strategies in an artificial
investment scenario. Agents are equipped with a budget, , and at each
time step invest a particular fraction, , of their budget. The return on
investment (RoI), , is characterized by a periodic function with
different types and levels of noise. Risk-avoiding agents choose their fraction
proportional to the expected positive RoI, while risk-seeking agents
always choose a maximum value if they predict the RoI to be positive
("everything on red"). In addition to these different strategies, agents have
different capabilities to predict the future , dependent on their
internal complexity. Here, we compare 'zero-intelligent' agents using technical
analysis (such as moving least squares) with agents using reinforcement
learning or genetic algorithms to predict . The performance of agents is
measured by their average budget growth after a certain number of time steps.
We present results of extensive computer simulations, which show that, for our
given artificial environment, (i) the risk-seeking strategy outperforms the
risk-avoiding one, and (ii) the genetic algorithm was able to find this optimal
strategy itself, and thus outperforms other prediction approaches considered.Comment: 27 pp. v2 with minor corrections. See http://www.sg.ethz.ch for more
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Price differentials for slaughter hogs
Price differentials mean the difference or spread between two related series of prices. This bulletin reports on two types of differentials: (1 ) market differentials, the difference in the price of hogs of the same weight and grade between specific markets; (2 ) weight differentials, the difference in the price of hogs of different weights, usually of comparable grades, at the same market. Both market differentials and weight differentials may change from one period to another.
The study of price differentials for slaughter hogs will aid in choosing among several available markets the most profitable place to sell each weight and grade of hogs. The study will also show the time of the year when prices are likely to be highest for different weights of hogs
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Are academics willing to forgo citations to publish in high-status journals? Examining preferences for 4* and 4-rated journal publication among UK business and management academics
Academics often judge themselves and are judged by others according to the status of the journals in which they publish. Little is known about whether individual scholars would choose to publish an article in a high-status journal if it would garner similar or lower levels of scholarly impact than an article published in a lower-status journal. Drawing upon status theory, we explore whether and how much business school academics are willing to âpayâ, as captured by a hypothetical level of âforfeitedâ citations, to publish in high-status 4* journals rather than leading specialized 4-rated journals. Using choice-set design and survey data from UK business and management scholars, we suggest and empirically demonstrate that the willingness to forgo citations to publish in 4* journals is strongest among academics who have already published in 4* and/or 4-rated journals. Contrary to our expectations, we find that an individualâs existing scholarly impact, as captured by prior citations, has no effect on this preference. We also show that academics working in high-ranked institutions would give up more citations for 4* journal publication than those working at lower-ranked institutions. We explore the implications of these findings for theories of academic status, journal rankings and research assessment systems
Stochastic Cellular Automata Model for Stock Market Dynamics
In the present work we introduce a stochastic cellular automata model in
order to simulate the dynamics of the stock market. A direct percolation method
is used to create a hierarchy of clusters of active traders on a two
dimensional grid. Active traders are characterised by the decision to buy,
(+1), or sell, (-1), a stock at a certain discrete time step. The remaining
cells are inactive,(0). The trading dynamics is then determined by the
stochastic interaction between traders belonging to the same cluster. Most of
the stylized aspects of the financial market time series are reproduced by the
model.Comment: 17 pages and 7 figure
In vitro production of bovine embryos derived from individual donors in the CorralÂź dish
Background: Since the identity of the embryo is of outmost importance during commercial in vitro embryo production, bovine oocytes and embryos have to be cultured strictly per donor. Due to the rather low yield of oocytes collected after ovum pick-up (OPU) per individual cow, oocyte maturation and embryo culture take place in small groups, which is often associated with inferior embryo development. The objective of this study was to improve embryonic development in small donor groups by using the Corral (R) dish. This commercial dish is designed for human embryo production. It contains two central wells that are divided into quadrants by a semi-permeable wall. In human embryo culture, one embryo is placed per quadrant, allowing individual follow-up while embryos are exposed to a common medium. In our study, small groups of oocytes and subsequently embryos of different bovine donors were placed in the Corral (R) dish, each donor group in a separate quadrant.
Results: In two experiments, the Corral (R) dish was evaluated during in vitro maturation (IVM) and/or in vitro culture (IVC) by grouping oocytes and embryos of individual bovine donors per quadrant. At day 7, a significantly higher blastocyst rate was noted in the Corral (R) dish used during IVM and IVC than when only used during IVM (12.9% +/- 2.10 versus 22.8% +/- 2.67) (P < 0.05). However, no significant differences in blastocyst yield were observed anymore between treatment groups at day 8 post insemination.
Conclusions: In the present study, the Corral (R) dish was used for in vitro embryo production (IVP) in cattle; allowing to allocate oocytes and/or embryos per donor. As fresh embryo transfers on day 7 have higher pregnancy outcomes, the Corral (R) dish offers an added value for commercial OPU/IVP, since a higher blastocyst development at day 7 is obtained when the Corral (R) dish is used during IVM and IVC
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