Valuing defaultable bonds: an excursion time approach

Recently there has been some interest in the credit risk literature in models which involve stopping times related to excursions. The classical Black-Scholes-Merton-Cox approach postulates that default may occur, either at or before maturity, when the firm's value process falls below a critical threshold. In the excursion approach the duration of default, the time period from the financial distress announcement through its resolution, is explicitly modeled. In this contribution, we provide a review of the literature on excursion time models of credit risk. Moreover, we examine the effects on credit spreads structure of different specifications of the event that triggers default.Credit risk, structural models, excursion approach, default threshold, default probability.

Strike point splitting induced by the application of magnetic perturbations on MAST

Divertor strike point splitting induced by resonant magnetic perturbations (RMPs) has been observed on MAST for a variety of RMP configurations in a plasma scenario with Ip=750kA where those configurations all have similar resonant components. Complementary measurements have been obtained with divertor Langmuir probes and an infrared camera. Clear splitting consistently appears in this scenario only in the even configuration of the perturbation coils, similarly to the density pump-out. These results present a challenge for models of plasma response to RMPs.Comment: 9 pages, 4 figures, submitted to the proceedings of the 20th Conference on Plasma Surface Interactions, to be published in the Journal of Nuclear Material

Simulation techniques for generalized Gaussian densities

This contribution deals with Monte Carlo simulation of generalized Gaussian random variables. Such a parametric family of distributions has been proposed in many applications in science to describe physical phenomena and in engineering, and it seems also useful in modeling economic and financial data. For values of the shape parameter a within a certain range, the distribution presents heavy tails. In particular, the cases a=1/3 and a=1/2 are considered. For such values of the shape parameter, different simulation methods are assessed.Generalized Gaussian density, heavy tails, transformations of rendom variables, Monte Carlo simulation, Lambert W function

An efficient binomial approach to the pricing of options on stocks with cash dividends

In this contribution, we consider options written on stocks which pay cash dividends. Dividend payments have an effect on the value of options: high dividends imply lower call premia and higher put premia. While exact solutions to problems of evaluating both European and American call options and European put options are available in the literature, for American-style put options early exercise may be optimal at any time prior to expiration even in the absence of dividends. In this case numerical techniques, such as lattice approaches, are required. Discrete dividends produce a shift in the tree; as a result, the tree is no longer reconnecting beyond any dividend date. Methods based on non-recombining trees give consistent results, but they are computationally expensive. We analyze binomial algorithms and performed some empirical experiments.Options on stocks, discrete dividends, binomial lattices

On the efficient application of the repeated Richardson extrapolation technique to option pricing

Richardson extrapolation (RE) is a commonly used technique in financial applications for accelerating the convergence of numerical methods. Particularly in option pricing, it is possible to refine the results of several approaches by applying RE, in order to avoid the difficulties of employing slowly converging schemes. But the effectiveness of such a technique is fully achieved when its repeated version (RRE) is applied. Nevertheless, its application in financial literature is pretty rare. This is probably due to the necessity to pay special attention to the numerical aspects of its implementation, such as the choice of both the sequence of the stepsizes and the order of the method. In this contribution, we consider several numerical schemes for the valuation of American options and investigate the possibility of an appropriate application of RRE. As a result, we find that, in the analyzed approaches in which the convergence is monotonic, RRE can be used as an effective tool for improving significantly the accuracy.Richardson extrapolation, repeated Richardson extrapolation, American options, randomization technique, flexible binomial method

Measuring orthographic and phonological vocabulary size in EFL learners: the impact of cognateness and out-of-school exposure

Màster de Lingüística Aplicada i Adquisició de Llengües en Contextos Multilingües, Departament de Filologia Anglesa i Alemanya, Universitat de Barcelona, Curs: 2019-2020, Tutora: Carme MuñozThe present study compares the orthographic and phonological vocabulary size of second language (L2) learners in intermediate-advanced stages of language acquisition and investigates the impact of cognateness and out-of-school exposure across vocabularies. Ten Spanish-Catalan bilinguals and twenty Italian university learners of English were administered with two comparable vocabulary size tests adapted from the V_Yes/No vocabulary size test. Evidence of a significant gap between the orthographic and phonological vocabulary size in favour of the former was found. As V_Yes/No employs both real words and nonwords, the target items in the vocabulary tests which overlapped with learners’ L1 were coded as cognates or nonword-cognates. Upon closer examination of these items, a positive relationship between cognateness and learners’ lexical choices was revealed. Furthermore, by means of a questionnaire, data regarding learners’ out-of-school exposure to English was gathered. Correlation analyses revealed differences between the two input modalities; significant relationships were found between the orthographic vocabulary size, watching captioned audio-visual material, reading and listening to music. The strongest correlation with phonological vocabulary size was instead obtained with reading. Pedagogical implications which could bridge the divide between the orthographic vocabulary and its phonological counterpart are discussed

Learning cultures on the fly - towards a global mindset

Recent technological advancements have pushed both the pace and complexity of globalization to new heights, making it possible to collaborate—or compete—globally from anywhere in the world, regardless of one's country of origin or cultural background. This presents important challenges to managers which must deal effectively with a wide variety of cultures. Traditional prescriptions based on adaptation are no longer sufficient given the speed in which new intercultural interactions take place. Newer prescriptions based on developing a global mindset are time consuming and do not address immediate issues facing managers. This paper addresses this conundrum by suggesting global managers must learn to learn cultures in action, that is, “learn cultures on the fly”. Implications are discussed

Valuing Virtual Worlds: The Role of Categorization in Technology Assessment

Virtual worlds offer great potential for supporting the collaborative work of geographically distributed teams. However, reports indicate the existence of substantial barriers to the acceptance and use of virtual worlds in business settings. In this paper, we explore how individuals' interpretations of virtual worlds influence their judgments of the value of the technology. We conducted a qualitative analysis set in the context of a large computer and software company that was in the process of adopting virtual worlds for distributed collaboration. We identified interpretations of virtual worlds that suggest three mental categories: virtual worlds as a medium, virtual worlds as a place, and virtual worlds as an extension of reality. We associated these mental categories with different criteria for assessing the value of virtual worlds in a business setting. This study contributes particularly to the acceptance of virtual worlds but also more generally to the understanding of technology acceptance by demonstrating that the relative importance of the criteria for assessing a technology varies with potential users' interpretations and mental categorizations

The genetic control of ovariole number in Sitophilus oryzae L (Coleoptera, Curculionidae) is temperature sensitive

The influence of genetical and epigenetical factors on the determinism of the ovariole number was studied in Sitophilus oryzae. This weevil normally possesses 4 ovarioles with apical bacteriomes harbouring symbiotes. By selecting females with a reduced number of ovarioles, the genetic control of this trait was demonstrated with regard to the easy selection of this character and its similar transmission to the progeny by females and males. Several genes could be implicated and a weak maternal effect cannot be rejected. The character is temperature sensitive: at 30°C, abnormal females with 2 or 3 ovarioles prevail, and conversely, normal females appear at 20°C. The reduction of the number of ovarioles is correlated with a decrease in fitness (reduced progeny and lighter body weight of females). Only ovary formation seems to be affected, because a higher progeny per ovariole in abnormal females can be indicative of a normal yolk production in the fat body. Counting bacteria in ovaries shows that the regulation of symbiote number per female occurs at the ovariole itself and not within the whole insect.L’influence de facteurs génétiques et épigénétiques sur le déterminisme du nombre des ovarioles a été étudiée chez Sitophilus oryzae. Ce charançon possède normalement 4 ovarioles terminés par un bactériome apical hébergeant des symbiotes. En sélectionnant les femelles ayant un nombre réduit d’ovarioles, nous avons pu démontrer le contrôle génétique de ce caractère : sélection aisée et transmission à la descendance aussi bien par les femelles que par les mâles. Plusieurs gènes pourraient être impliqués et un léger effet maternel se manifeste par ailleurs. Le caractère est thermo-sensible : à 30°C, les femelles anormales à 2 ou 3 ovarioles sont majoritaires, alors que, à 20°C, le phénotype normal prédomine. La réduction du nombre des ovarioles est corrélée avec une diminution de la fitness (descendance réduite et poids corporel des femelles plus faible). Seule la formation de l’ovaire semble être affectée, car une fertilité plus grande par ovariole chez les femelles anormales indiquerait une production normale de vitellus dans le corps adipeux. Les dénombrements de bactéries dans les ovaires ont montré que la régulation du nombre de symbiotes par femelle intervient au niveau de l’ovariole lui-même, plutôt qu’au niveau de l’insecte entier