Options hedging under liquidity costs

Following the framework of Cetin, Jarrow and Protter (CJP) we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of the hedging strategies in a generalized Black-Scholes economy. We find that the minimal super-replication price is different than the one suggested by the Black-Scholes formula and is the unique viscosity solution of the associated dynamic programming equation. This is in contrast with the results of CJP who find that the arbitrage free price of a contingent claim coincides with the Black-Scholes price. However, in CJP a larger class of admissible portfolio processes is used and the replication is achieved in the L^2 approximating sense

Linear inverse problems for Markov processes and their regularisation

We study the solutions of the inverse problem g(z)=∫f(y)P T(z,dy)for a given g, where (P t(⋅,⋅)) t≥0 is the transition function of a given symmetric Markov process, X, and T is a fixed deterministic time, which is linked to the solutions of the ill-posed Cauchy problem u t+Au=0,u(0,⋅)=g,where A is the generator of X. A necessary and sufficient condition ensuring square integrable solutions is given. Moreover, a family of regularisations for above problems is suggested. We show in particular that these inverse problems have a solution when X is replaced by ξX+(1−ξ)J, where ξ is a Bernoulli random variable and J is a suitably constructed jump process. The probability of success for ξ can be chosen arbitrarily close to 1 and thereby leading to a jump component whose jumps are rarely visible in the practical implementations of the regularisation

Minimal subharmonic functions and related integral representations

A Choquet-type integral representation result for non-negative subharmonic functions of a one-dimensional regular diusion is established. The representation allows in particular an integral equation for strictly positive subharmonic functions that is driven by the Revuz measure of the associated continuous additive functional. Moreover, via the aforementioned integral equation, one can construct an It^o-Watanabe pair (g;A) that consist of a subharmonic function g and a continuous additive functional A is with Revuz measure A such that g(X) exp(A) is a local martingale. Changes of measures associated with It^o- Watanabe pairs are studied and shown to modify the long term behaviour of the original diusion process to exhibit transience

On pricing rules and optimal strategies in general Kyle-Back models

The folk result in Kyle-Back models states that the value function of the insider remains unchanged when her admissible strategies are restricted to absolutely continuous ones. In this paper we show that, for a large class of pricing rules used in current literature, the value function of the insider can be finite when her strategies are restricted to be absolutely continuous and infinite when this restriction is not imposed. This implies that the folk result doesn’t hold for those pricing rules and that they are not consistent with equilibrium. We derive the necessary conditions for a pricing rule to be consistent with equilibrium and prove that, when a pricing rule satisfies these necessary conditions, the insider’s optimal strategy is absolutely continuous, thus obtaining the classical result in a more general setting. This, furthermore, allows us to justify the standard assumption of absolute continuity of insider’s strategies since one can construct a pricing rule satisfying the necessary conditions derived in the paper that yield the same price process as the pricing rules employed in the modern literature when insider’s strategies are absolutely continuous

Uniqueness in Cauchy problems for diffusive real-valued strict local martingales

For a real-valued one dimensional diffusive strict local martingale, we provide a set of smooth functions in which the Cauchy problem has a unique classical solution. We exemplify our results using the inverse 2D Bessel process and quadratic normal volatility models

Path transformations for local times of one-dimensional diffusions

Let X be a regular one-dimensional transient diffusion and Ly be its local time at y. The stochastic differential equation (SDE) whose solution corresponds to the process X conditioned on [Ly ∞ = a] for a given a ≥ 0 is constructed and a new path decomposition result for transient diffusions is given. In the course of the construction Bessel-type motions as well as their SDE representations are studied. Moreover, the Engelbert-Schmidt theory for the weak solutions of one dimensional SDEs is extended to the case when the initial condition is an entrance boundary for the diffusion. This extension was necessary for the construction of the Bessel-type motion which played an essential part in the SDE representation of X conditioned on [Ly∞ = a]

EM BUSCA DOS PRINCÍPIOS DA GESTÃO DA QUALIDADE TOTAL EM SERVIÇOS DE PROJETO DE ARQUITETURA: DESTAQUES DA TURQUIA

Proposal: Architectural design companies increasingly recognize that time spent on management is not at the expense of their production and there are always better ways to organize business. Although architects have long placed a traditional emphasis on quality, quality management is still a new concept for the majority of architectural design companies, which have to organize relatively more complicated operations nowadays to meet their clients’ expectations. This study aims to understand how architectural design companies define quality and explores the extent to which Total Quality Management (TQM) principles like continual improvement, employee involvement, customer satisfaction and others can be pertinent in these companies. Adopting a qualitative research strategy, the authors interviewed with the owner-managers of 10 widely-recognized architectural design companies of different size in Istanbul. The results from the content analysis of semi-structured interview data suggest that i) TQM principles cannot be directly applied in architectural design companies without an appropriate translation; ii) special characteristics of design services are important to explain quality-related perceptions of owner-managers; iii) the owner-managers feel the pressure from the changing internal and external environmental conditions, however few of them adopt a systematic and documented approach to quality management. Architectural design offices which aim to establish a quality management system can benefit from this study to understand potential problem areas on their road.As empresas de projeto de arquitetura cada vez mais reconhecem que o tempo dedicado à gestão não onera a sua produção e que há sempre maneiras de organizar melhor as atividades empresariais. Embora arquitetos tenham colocado durante muito tempo uma ênfase tradicional na qualidade, a gestão da qualidade ainda é um conceito novo para a maioria das empresas de projeto de arquitetura, que, hoje em dia, têm de organizar operações relativamente mais complicadas para atender às expectativas de seus clientes. Este estudo visa compreender de que modo as empresas de projeto de arquitetura definem qualidade e exploram os limites nos quais os princípios da gestão da qualidade total (TQM), como melhoria contínua, envolvimento dos funcionários, satisfação do cliente e outros, podem ser pertinentes para essas empresas. Adotando uma estratégia de pesquisa qualitativa, os autores entrevistaram os proprietários-gerentes de 10 empresas de projeto de arquitetura amplamente reconhecidas, de diferentes tamanhos, em Istambul. Os resultados da análise de conteúdo dos dados de entrevistas semi-estruturadas sugerem que: i) os princípios do TQM não podem ser aplicados diretamente em empresas de projeto de arquitetura, sem uma tradução adequada; ii) as características especiais dos serviços de projeto são importantes para explicar as percepções de proprietários-gerentes relacionadas à qualidade; iii) os proprietários-gerentes sentem a pressão da mudança interna e externa das condições ambientais, porém poucos deles adotam uma abordagem sistemática e documentada para a gestão da qualidade. Empresas de projeto de arquitetura que têm como objetivo estabelecer um sistema de gestão da qualidade podem se beneficiar deste estudo para conhecer as áreas potencialmente problemáticas que encontrarão

Relatório de estágio em farmácia comunitária

Relatório de estágio realizado no âmbito do Mestrado Integrado em Ciências Farmacêuticas, apresentado à Faculdade de Farmácia da Universidade de Coimbr

Explicit construction of a dynamic Bessel bridge of dimension 3

Given a deterministically time-changed Brownian motion Z starting from 1, whose time-change V(t) satisfies V(t) > t for all t > 0, we perform an explicit construction of a process X which is Brownian motion in its own filtration and that hits zero for the first time at V(τ), where τ:= inf {t > 0: Zt = 0}. We also provide the semimartingale decomposition of X under the filtration jointly generated by X and Z. Our construction relies on a combination of enlargement of filtration and filtering techniques. The resulting process X may be viewed as the analogue of a 3-dimensional Bessel bridge starting from 1 at time 0 and ending at 0 at the random time V(τ). We call this a dynamic Bessel bridge since V(τ) is not known in advance. Our study is motivated by insider trading models with default risk, where the insider observes the firm's value continuously on time. The financial application, which uses results proved in the present paper, has been developed in the companion paper [6]

Modeling credit risk with partial information

This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001) 633–664] for obtaining a reduced form credit risk model from a structural model. Duffie and Lando obtain a reduced form model by constructing an economy where the market sees the manager’s information set plus noise. The noise makes default a surprise to the market. In contrast, we obtain a reduced form model by constructing an economy where the market sees a reduction of the manager’s information set. The reduced information makes default a surprise to the market. We provide an explicit formula for the default intensity based on an Azéma martingale, and we use excursion theory of Brownian motions to price risky debt