Dynamic dependence networks: Financial time series forecasting and portfolio decisions (with discussion)

We discuss Bayesian forecasting of increasingly high-dimensional time series, a key area of application of stochastic dynamic models in the financial industry and allied areas of business. Novel state-space models characterizing sparse patterns of dependence among multiple time series extend existing multivariate volatility models to enable scaling to higher numbers of individual time series. The theory of these "dynamic dependence network" models shows how the individual series can be "decoupled" for sequential analysis, and then "recoupled" for applied forecasting and decision analysis. Decoupling allows fast, efficient analysis of each of the series in individual univariate models that are linked-- for later recoupling-- through a theoretical multivariate volatility structure defined by a sparse underlying graphical model. Computational advances are especially significant in connection with model uncertainty about the sparsity patterns among series that define this graphical model; Bayesian model averaging using discounting of historical information builds substantially on this computational advance. An extensive, detailed case study showcases the use of these models, and the improvements in forecasting and financial portfolio investment decisions that are achievable. Using a long series of daily international currency, stock indices and commodity prices, the case study includes evaluations of multi-day forecasts and Bayesian portfolio analysis with a variety of practical utility functions, as well as comparisons against commodity trading advisor benchmarks.Comment: 31 pages, 9 figures, 3 table

Path integral approach to the pricing of timer options with the Duru-Kleinert time transformation

In this paper, a time substitution as used by Duru and Kleinert in their treatment of the hydrogen atom with path integrals is performed to price timer options under stochastic volatility models. We present general pricing formulas for both the perpetual timer call options and the finite time-horizon timer call options. These general results allow us to find closed-form pricing formulas for both the perpetual and the finite time-horizon timer options under the 3/2 stochastic volatility model as well as under the Heston stochastic volatility model. For the treatment of timer option under the 3/2 model we will rely on the path integral for the Morse potential, with the Heston model we will rely on the Kratzer potential

ТЕНДЕНЦИИ РАЗВИТИЯ МЕЖДУНАРОДНОГО РЫНКА ДОЛГОВЫХ ЦЕННЫХ БУМАГ

With the global financial market liberalization, countries are getting increasingly dependent on the external financing realized through the infrastructure and mechanisms of the international debt market. Since over 4/5 of the total international debt market falls on various types of debt securities, the analysis of the dynamics and trends in the development of this segment of the international debt market is of particular interest. The paper focuses on the dynamics, structure and trends in the international debt securities market development for the last two decades. The international debt securities market is viewed in the context of its players, principal financial tools and currencies. Based on the performed analysis, it is concluded that the normal progressive development of the international debt securities market was upset by the global financial and economic crisis of 2007 to 2009. Among the key features of the international debt securities market for the reviewed period, the paper points out the growing role of emerging economies; an increased share of issued international debt securities denominated in euro, as well as expansion of non-bank financial institutions involved in the issuance of debt securities on the background of weakening banks’ positions in the recent years.По мере либерализации функционирования мирового финансового рынка происходит усиление зависимости различных стран от внешнего финансирования, которое реализуется через инфраструктуру и механизмы международного долгового рынка. Поскольку более 4/5 совокупного объема международного долгового рынка приходится на различные виды долговых ценных бумаг, особый интерес представляет анализ динамики и тенденций развития данного сегмента международного долгового рынка. В статье рассматриваются динамика, структура, а также основные тенденции развития международного рынка долговых ценных бумаг за последние двадцать лет. Международный рынок долговых ценных бумаг анализируется с точки зрения его участников, основных финансовых инструментов и видов валют. На основе проведенного анализа делается вывод о том, что нормальное поступательное развитие международного рынка долговых ценных бумаг было нарушено глобальным финансово-экономическим кризисом 2007-2009 гг. Среди основных особенностей развития международного рынка долговых ценных бумаг за рассматриваемый период времени в статье отмечается заметное усиление роли развивающихся стран, повышение удельного веса евро в валютной структуре выпусков международных долговых ценных бумаг, а также активизация в последние годы роли нефинансовых организаций в качестве эмитентов на фоне ослабления позиций банков

Desarrollo metodológico de la estructuración y emisión de warrants como mecanismo de financiación empresarial y de inversión en el mercado público colombiano

El presente documento presenta la propuesta para estructurar los Warrants en el mercado público de valores colombiano, aquí se dan a conocer tanto las ventajas como las desventajas que pueden representar el uso de Warrants como mecanismo de financiación de las empresas inscritas en la Bolsa de Valores de Colombia; Lo anterior, con base a la experiencia que se ha logrado en los mercados de países como España y México, los cuales ya cuentan con una trayectoria a lo largo de varias décadas con este instrumento financiero. Para el caso de Colombia, se propone la estructuración de Warrants como endulzante de una emisión de bonos de forma que sea una alternativa mucho más viable para determinado tipo de empresas que por asuntos restrictivos, les es muy costoso participar activamente en la emisión de papeles y otros títulos valores como acciones.This document gives a proposal to structure Warrants in the public Colombian stock market, here are published advantages and disadvantages that could represent the Warrants usage as finanting instrument for companies listed in the Colombia Stock Exchange; therefore, based in the experience achieved for both financial markets in countries such as Spain and Mexico, which have a noted development along the decades with this financial instrument. For Colombia, is proposed the launch of Warrants structure as sweetener for bonds issue, so that, it is converted in a more feasible alternative for such companies with strong restrictions, that could not participate in active way in the use of bonds or other stocks or shares. In this way, an application has been developed to simulate a Warrants issue which inputs are the necessary parameters for the mathematical model that has the instrument valuation to determinate the financing cost. Besides, through the Warrants implementation is possible to get other financial ratios, useful for the companies to form their instrument based in the liquidity or cash flow. In this thesis, three cases have been simulated as examples, which are real companies, and data that belong to target companies which main feature is the low trading volume. As results for this analysis, the main factors that affect the value and issue fundamentals are shown. Finally, it’s identified the legal framework in Colombia applicable for issue and structure procedures for new derivative products, the requirements and valuation methods for the risks and the instrument itself, they are cited from the Colombian Financial Superintendence Authority. In the same way, the taxation policy is a prominent aspect to define the appropriate framework around a future public bond issue attached to Warrants

Montanan, Spring 2011

This is the magazine of the University of Montana with news about the University for UM alumni as well as current faculty, students, staff, and administrators. This is volume 28, number 2.https://scholarworks.umt.edu/montanan/1168/thumbnail.jp

Institutional Stretching: How Moroccan NGOs Illuminate the Nexus of Climate, Migration, Gender and Development

The global migration crisis the world has experienced thus far is only the tip of the iceberg. As the earth’s temperature continues to warm and extreme weather conditions worsen, millions of people across the globe will be displaced, and women in particular will face more difficult challenges. What the climate migration literature fails to study is these longer-term impacts beyond sudden onset disasters. Governments and institutions will be forced to respond and adapt to the new reality resulting from the climate crisis. This research provides a case study of Morocco and, by using institutional ethnography, investigates how NGOs working in areas of development, gender and the environment are responding and adapting to the growing concerns of climate change in a country that is already seeing an increase in rural-to-urban migration flows due to the troubles of the agriculture industry. Moroccan girls are also at greater risk of child marriage and labor exploitation as a result of drought and the water crisis. Are NGOs becoming more aware of this nexus between climate, migration, gender and development? And to what extent are NGOs being stretched beyond their mandates in order to address their community’s pressing needs? My study of 30 NGOs’ online presence shows that Moroccan organizations are consciously aware that their work indirectly addresses the impacts of climate migration, but they do this unintentionally. The NGOs choose to put climate migration on the back-burner in order to fulfill short-term needs. This study provides a micro-level view that represents a much bigger problem of climate inaction at the global level

Desarrollo metodológico de la estructuración y emisión de warrants como mecanismo de financiación empresarial y de inversión en el mercado público colombiano

El presente documento presenta la propuesta para estructurar los Warrants en el mercado público de valores colombiano, aquí se dan a conocer tanto las ventajas como las desventajas que pueden representar el uso de Warrants como mecanismo de financiación de las empresas inscritas en la Bolsa de Valores de Colombia; Lo anterior, con base a la experiencia que se ha logrado en los mercados de países como España y México, los cuales ya cuentan con una trayectoria a lo largo de varias décadas con este instrumento financiero. Para el caso de Colombia, se propone la estructuración de Warrants como endulzante de una emisión de bonos de forma que sea una alternativa mucho más viable para determinado tipo de empresas que por asuntos restrictivos, les es muy costoso participar activamente en la emisión de papeles y otros títulos valores como acciones.This document gives a proposal to structure Warrants in the public Colombian stock market, here are published advantages and disadvantages that could represent the Warrants usage as finanting instrument for companies listed in the Colombia Stock Exchange; therefore, based in the experience achieved for both financial markets in countries such as Spain and Mexico, which have a noted development along the decades with this financial instrument. For Colombia, is proposed the launch of Warrants structure as sweetener for bonds issue, so that, it is converted in a more feasible alternative for such companies with strong restrictions, that could not participate in active way in the use of bonds or other stocks or shares. In this way, an application has been developed to simulate a Warrants issue which inputs are the necessary parameters for the mathematical model that has the instrument valuation to determinate the financing cost. Besides, through the Warrants implementation is possible to get other financial ratios, useful for the companies to form their instrument based in the liquidity or cash flow. In this thesis, three cases have been simulated as examples, which are real companies, and data that belong to target companies which main feature is the low trading volume. As results for this analysis, the main factors that affect the value and issue fundamentals are shown. Finally, it’s identified the legal framework in Colombia applicable for issue and structure procedures for new derivative products, the requirements and valuation methods for the risks and the instrument itself, they are cited from the Colombian Financial Superintendence Authority. In the same way, the taxation policy is a prominent aspect to define the appropriate framework around a future public bond issue attached to Warrants

Hybridity as a dynamic process of evolution: hybrid transitions in the banking sector

This work project explores hybridity as a dynamic process of evolution. Whilst past research has focused on hybridity as a characteristic determined upon foundation, it left under explored the case of incumbent traditional organizations gradually incorporating a hybrid logic. Drawing on the analysis of 57 reportsfrom15 commercial banks, from 2017 to2019,thiswork project applies a thematic trajectory analysis to assess the growing degrees of hybridity visible in the intensification of the social logic, and its convergence with the economic logic in terms of relative importance. The study concludes that hybrid evolution is detectable across different dimensions, thus, advancing scholarship to better reflect the reality of organizations going through a process of ideological transformation

Option pricing for Fractal Activity Time Geometric Brownian Motion (FATGBM)

This thesis examines option pricing for a Long Range Dependent (LRD) stochastic process with student marginal distributions called Fractal Activity Time Geometric Brownian Motion (FATGBM), introduced in Heyde (1999). We address four separate problems involving the pricing of options under FATGBM and other LRD stochastic processes. Following an introduction into the mechanics of derivative pricing, the thesis begins by addressing the problem of derivative pricing under FATGBM. We first develop the properties of FATGBM and show that the market is arbitrage-free but incomplete under this model. We then prove that there is no replicating strategy for this model except under special circumstances. We show that those special circumstances lead to the hedging of a Timer Option where interest rates are zero and we conclude by discussing the issue of completing the market by calibrating FATGBM to liquid risky assets such as European Options, as discussed in Carr et al. (2001). We then describe how to price path dependent options under FATGBM. We first propose a non-recombining tree that is used to then construct a recombining tree to price path dependent options. Further, we prove that our discrete time model converges to the continuous time one, resulting in a discrete approximation scheme for path dependent options. We then prove that the discrete approximation scheme results in an upper bound for the price of an American put. The next chapter addresses the problem of sampling from the distribution of FATGBM conditional on price history. Given that FATGBM is a LRD process, it is imperative to be able to simulate future price paths given a price path history. We propose a Markov Chain Monte Carlo (MCMC) approach to develop two algorithms for two different LRD processes, one FATGBM and one similar to FATGBM that we call FATGBM 2. We prove that the algorithms result in a Markov chain with a stationary distribution identical to the conditional distribution from which we wish to sample. We then discuss the implementation of both algorithms and compare the mixing times and features of the resultant conditional distribution. The final chapter combines the themes and results of the preceding chapters by using the MCMC algorithm in conjunction with the recombining tree developed in Chapter 2. The result is an analysis of the effect of long range dependence on option prices, the most compelling finding being that LRD has more of an impact on the option price than the impact of heavy tails alone, a phenomenon that has thus far been overlooked by the literature on option pricing. We conclude with an analysis of the implied volatility surface arising from FATGBM and discuss the implications of our research in the context of the existing literature