Marrying European and Domestic Politics? The Marriage Referendum in Croatia and Value-Based Euroscepticism

On 1 December 2013, Croatia voted in a referendum on the constitutional definition of marriage. Whilst recent scholarship highlighted the symbolism nature of the referendum in domestic politics, its European dimension has not been reflected on.Using Leconte’s notion of value-based Euroscepticism this article explores the role of European politics in the marriage referendum, using electoral data at the municipal level. As the analysis demonstrates that the referendum, at least partly, was a proactive attempt to halt the Europeanisation of same-sex marriage, the article also sheds light on local resistance to EU’s homonationalist politics

Optimal Investment with Transaction Costs and Stochastic Volatility

Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment problem has a long history, especially in the use of asymptotic approximations when the cost is small. Under stochastic volatility, but with no transaction costs, the Merton problem under general utility functions can also be analyzed with asymptotic methods. Here, we look at the long-run growth rate problem when both complexities are present, using separation of time scales approximations. This leads to perturbation analysis of an eigenvalue problem. We find the first term in the asymptotic expansion in the time scale parameter, of the optimal long-term growth rate, and of the optimal strategy, for fixed small transaction costs.Comment: 27 pages, 4 figure

Activities of the Pilot Land Data System project

The University of Maryland's Remote Sensing Systems Laboratory submitted to NASA/Goddard an interim progress report on the work being conducted within its Pilot Land Data System IPLDS project. The Remote Sensing Systems Laboratory addressed the following tasks: (1) identify data types and data sources needed to describe the selected test sites in collaboration with Goddard's Hydrological Sciences Branch; (2) define the procedures necessary to access/acquire this data; (3) conduct meetings with the PLDS Systems Engineering Group to identify functional specification priorities for PLDS development; (4) assemble documentation on historical remotely sensed imagery and transfer of such information to the PLDS Data Management Group; (5) collect data identified by Goodard's Hydrological Sciences Branch for data set inventory in PLD; (6) develop a Workstation-PLDS system interface over high speed lines, (7) develop and test through a Phase 1 demonstration of a micro workstation to access PLDS; and (8) establish interdepartmental agreement of development of computer link for electronic access of water resources data from USGS

Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations

We consider the problem of optimal portfolio selection under forward investment performance criteria in an incomplete market. The dynamics of the prices of the traded assets depend on a pair of stochastic factors, namely, a slow factor (e.g. a macroeconomic indicator) and a fast factor (e.g. stochastic volatility). We analyze the associated forward performance SPDE and provide explicit formulae for the leading order and first order correction terms for the forward investment process and the optimal feedback portfolios. They both depend on the investor's initial preferences and the dynamically changing investment opportunities. The leading order terms resemble their time-monotone counterparts, but with the appropriate stochastic time changes resulting from averaging phenomena. The first-order terms compile the reaction of the investor to both the changes in the market input and his recent performance. Our analysis is based on an expansion of the underlying ill-posed HJB equation, and it is justified by means of an appropriate remainder estimate.Comment: 26 page

American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics

American options are actively traded worldwide on exchanges, thus making their accurate and efficient pricing an important problem. As most financial markets exhibit randomly varying volatility, in this paper we introduce an approximation of American option price under stochastic volatility models. We achieve this by using the maturity randomization method known as Canadization. The volatility process is characterized by fast and slow scale fluctuating factors. In particular, we study the case of an American put with a single underlying asset and use perturbative expansion techniques to approximate its price as well as the optimal exercise boundary up to the first order. We then use the approximate optimal exercise boundary formula to price American put via Monte Carlo. We also develop efficient control variates for our simulation method using martingales resulting from the approximate price formula. A numerical study is conducted to demonstrate that the proposed method performs better than the least squares regression method popular in the financial industry, in typical settings where values of the scaling parameters are small. Further, it is empirically observed that in the regimes where scaling parameter value is equal to unity, fast and slow scale approximations are equally accurate