Conditional sampling for barrier option pricing under the LT method

We develop a conditional sampling scheme for pricing knock-out barrier options under the Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new method to an existing conditional Monte Carlo scheme from Glasserman and Staum (2001), and show that a substantial variance reduction is achieved. We extend the method to allow pricing knock-in barrier options and introduce a root-finding method to obtain a further variance reduction. The effectiveness of the new method is supported by numerical results

KINEMATICAL MODEL OF HURDLE CLEARANCE TECHNIQUE

The objective of our study was to determine the major kinematic parameters that generate a model of hurdle clearance technique on the 4th hurdle in the 110 metres hurdles. A biomechanic analysis was performed on one of the best hurdlers, a world record holder, Colin Jackson. The analysis of the hurdle clearance technique was made by means of 3D kinematic system ARIEL. The subject of the study was kinematic analysis of the take-off, flight and landing. The results showed that the rational technique of hurdle clearance is defined by the following parameters: horizontal speed of CM (centre of mass) in the moment of take-off, the level of CM in take-off, speed of the swing leg during take-off, take-off angle, time of the flight over a hurdle, level of CM above a hurdle, horizontal speed of CM in the landing phase, level of CM in the landing phase, and contact time in the landing phase

CORRELATION BETWEEN ANTHROPOMETRIC CHARACTERISTICS AND COMPETITIVE RESULTS OF ELITE JUNIOR JAVELIN THROWERS

The purpose of this study was to find the anthropometric characteristics of elite junior javelin throwers on a sample of eleven finalists of the European Athletic Junior Championship (MEPA, 1998). The chosen subjects were measured with a set of nine anthropometric variables, according to the methodology prescribed by the International Biologic Programme. The results show that no common constitutional type of a junior javelin thrower exists, but that the anthropometric characteristics are very individually defined. Correlational analysis shows that no statistically significant (

Liberal outcomes through undemocratic means: the reform of the Code de statut personnel in Morocco

The 2004 reform of the family code in Morocco has been held as one of the most significant liberal reforms undertaken in the country, and has led scholars and policy makers to argue that this demonstrates the democratic progress Morocco and the King are making. At the same time, the role of the women's movement in getting the reform approved has seemingly confirmed that associational life is crucial in promoting democratisation. This paper, building on theoretical work questioning the linkage between a strong civil society and democratic outcomes, argues that civil society activism does not necessarily lead to democratisation, and may reinforce authoritarian practices. Far from demonstrating the centrality of civil society, the process through which the new family code was passed highlights the crucial institutional role of the monarch, whose individual decision-making power has driven the whole process. Authoritarianism finds itself strengthened in Morocco despite the liberal nature and outcome of the reform

Distonija kao manifestacija korea-akantocitoze

The aim of this article is to present two Slovenian chorea-acanthocytosis (ChAc) siblings with an unusual predominantly dystonic ChAc phenotype. For diagnostic purposes, the genomic DNA was screened for VPS13A mutations. Movement disorder was evaluated and scored according to the Dystonia Movement and Disability Scale (DMDS) in order to evaluate the effects of L-dopa on dystonia. Brain imaging was performed with the use of magnetic resonance imaging scan and 99m Tc-ethyl cysteinate dimmer single photon emission computed tomography (Tc-ECD SPECT). Clinical neurological examination disclosed gait dystonia. Marked swallowing difficulty due to tongue and feeding dystonia was observed. Both siblings were found to be heterozygous for a substitution in exon 22 (c.2191C>T) and for a deletion in exon 35 (c.3995_3996delinsA) leading to mutation in VPS13A. After being administered L-dopa for three months, both subjects showed significant symptomatic improvement documented by reduced DMDS scores. It is concluded that VPS13A mutation testing may improve diagnosis of dystonia and recognition of atypical ChAc phenotypes. It seems that L-dopa could be effective in the treatment of dystonia due to VPS13A mutations.Prikazuje se dvoje slovenskih bolesnika, brat i sestra, s koreom-akantocitozom, s neuobičajenim pretežito distoničnim fenotipom korea-akantocitoze. Proveden je dijagnostički probir genomske DNA na mutacije VPS13A. Poremećaj kretanja procijenjen je i ocijenjen prema Dystonia Movement and Disability Scale (DMDS) kako bi se procijenili učinci L-dopa na distoniju. Slikovni prikazi mozga napravljeni su pomoću magnetske rezonance i Tc-ECD SPECT (99m Tc-ethyl cysteinate dimmer single photon emission computed tomography). Klinički neurološki pregled otkrio je distoniju hoda. Zapažene su znatne teškoće pri gutanju zbog distonije jezika i distonija hranjenja. I brat i sestra bili su heterozigotni za supstituciju u eksonu 22 (c.2191C>T) i za deleciju u eksonu 35 (c.3995_3996delinsA), koje uzrokuju mutaciju u VPS13A. Nakon davanja L-dopa kroz tri mjeseca oboje je pokazalo značajno poboljšanje simptoma, što je dokumentirano sniženim zbirom na DMDS. Zaključuje se da testiranje na mutaciju VPS13A može pomoći u dijagnosticiranju distonije i prepoznavanju atipičnih fenotipova korea-akantocitoze. Čini se da bi L-dopa mogla biti učinkovita u liječenju distonije uzrokovane mutacijama VPS13A

High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids

We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order accurate in space and second-order accurate in time for vanishing correlation. In our numerical study we obtain high-order numerical convergence also for non-zero correlation and non-smooth payoffs which are typical in option pricing. In all numerical experiments a comparative standard second-order discretisation is significantly outperformed. We conduct a numerical stability study which indicates unconditional stability of the scheme