Assessing the performance of symmetric and assymetric implied volatility functions

This study examines several alternative symmetric and asymmetric model specifications of regression-based deterministic volatility models to identify the one that best characterizes the implied volatility functions of S&P 500 Index options in the period 1996–2009. We find that estimating the models with nonlinear least squares, instead of ordinary least squares, always results in lower pricing errors in both in- and out-of-sample comparisons. In-sample, asymmetric models of the moneyness ratio estimated separately on calls and puts provide the overall best performance. However, separating calls from puts violates the put-call-parity and leads to severe model mis-specification problems. Out-of-sample, symmetric models that use the logarithmic transformation of the strike price are the overall best ones. The lowest out-of-sample pricing errors are observed when implied volatility models are estimated consistently to the put-call-parity using the joint data set of out-of-the-money options. The out-of-sample pricing performance of the overall best model is shown to be resilient to extreme market conditions and compares quite favorably with continuous-time option pricing models that admit stochastic volatility and random jump risk factors

Rivalry and uncertainty in complementary investments with dynamic market sharing

We study the effects of revenue and investment cost uncertainty, as well non- preemption duopoly competition, on the timing of investments in two complementary inputs, where either spillover-knowledge is allowed or proprietary-knowledge holds. We find that the ex-ante and ex-post revenue market shares play a very important role in firms’ behavior. When competition is considered, the leader’s behavior departs from that of the monopolist firm of Smith (Ind Corp Change 14:639–650, 2005). The leader is justified in following the conventional wisdom (i.e., synchronous investments are more likely), whereas, the follower’s behavior departs from that of the conventional wisdom (i.e., asynchronous investments are more likely)

Combinatorial and compositional aspects of bilingual aligned corpora

The subject of investigation of this thesis is the building blocks of translation in Statistical Machine Translation (SMT). We find that these building blocks, namely phrase-level dictionary entries, which are extracted from bilingual aligned corpora (training data), admit richer structure than previously known. A rigorous explanation of the extraction mechanism shows that the resulting set of building blocks is amenable to mathematical investigation with the potential of developing tools and new frameworks for translation. To this end we bridge previously unseen gaps between graph theory and probability theory within SMT in order to derive probability mass functions for phrase-level sentence segmentations and rules of translation. For the latter, experimental results support the claim of a statistical (principle of) compositionality of translation rules which fosters future work on data generation. In addition, since the constituents of composition are the original building blocks of translation, as extracted from the training process, we investigate whether they generalize monolingual building blocks (phrases), and if so, of what type. This leads to identifying the role of pointwise mutual information as the distance metric on segmentation refinements. Experiments show that such a partially ordered framework is more appropriate than a standard language model approach for finding the 'natural' building blocks of monolingual corpora

Real (investment) option games with incomplete information and learning spillovers

SIGLEAvailable from British Library Document Supply Centre-DSC:7755.0364(14/2001) / BLDSC - British Library Document Supply CentreGBUnited Kingdo

Low occurrence of epileptic seizures and epilepsy in a defined area of Northwest Greece

Purpose: The aim of the present study was to investigate the epidemiologic profile of epileptic seizures in the general population of a defined area of Northwest Greece. We also investigated the frequency of epilepsy in the same population. Methods: The study area was the District of Corfu representing a population of about 113 000 inhabitants. Cases have been recorded prospectively in the frame of a systematic recording system, using multiple sources of retrieval, developed in the study area. All patients referred between 1 July 2004 and 30 June 2005, representing a case of diagnosed epilepsy or a new case of epileptic seizure, resident in the study area, were included in the study. Cases were confirmed and classified according to ILAE guidelines for epidemiologic studies on epilepsy. Results: A total of 68 new cases of epileptic seizures were recorded. The age adjusted mean annual incidence rate was 58.4 (95% CI, 43.9-72.9) cases per 105 inhabitants (55.6 for men, and 62.3 for women). Thirty-seven cases were classified as unprovoked seizures (32.6 cases per 105), and 13 of them were related to stable conditions. The age adjusted prevalence estimate of diagnosed epilepsy was 226.1 (95% CI, 199.4-252.7) cases per 105 inhabitants (223.3 for men, and 228.6 for women). Discussion: The study population presents a relatively low incidence of unprovoked seizures and a low frequency of epilepsy, in comparison to other populations studied. The low incidence of unprovoked seizures seems to be related to a low occurrence of cases associated with conditions resulting to a static encephalopathy. © 2008 British Epilepsy Association