On the suboptimality of path-dependent pay-offs in Lévy markets.

Cox & Leland (2000) use techniques from the field of stochastic control theory to show that in the particular case of a Brownian motion for the asset returns all risk averse decisionmakers with a fixed investment horizon prefer path-independent payoffs over path-dependent ones. We will provide a novel and simple proof for the Cox&Leland result and we will extend it to general, not necessarily complete, Lévymarkets. It is also shown that in these markets optimal path-independent pay-offs have final values increasing with the underlying asset value. Our results imply that path-dependent investment payoffs, the use of which is widespread in financial markets, do not appear to offer good value for risk averse decisionmakers with a fixed investment horizonResearch; Approximation; Distribution; Risk; Risk measure; Lognormal; Random variables; Variables; Lower bounds; Choice; Variance; Goodness of fit; Actuarial; Problems; Framework; Requirements; Credit; Portfolio; Impact; Software; Value; Data; Markets; Market; Field; Control; Control theory; Theory; Brownian motion; Investment; IT; Optimal;

Asset correlations: shifting tides.

The Basel II accord outlines a general framework for determining regulatory capital requirements for credit risk portfolios. Different obligors usually operate independent socio-economic environments and these structural correlations are the main reason why regulatory capital is needed. Therefore, it is not surprising that an important component of the regulatory regime for capital is the asset correlation between obligors. Basel II has set a range for corporate asset correlations from 8 to 24 %, the exact value depending on several individual firm characteristics.We use monthly asset value data to calculate asset correlations and compare these with Basel II as well as results from other papers. Our results are in line with literature but a clear difference is found between the majority of these results and the results from Basel II and some major software providers. We discuss these differences and offer some explanations as an attempt to reconcile the differences. The impact of horizon is considered as wellResearch; Approximation; Distribution; Risk; Risk measure; Lognormal; Random variables; Variables; Lower bounds; Choice; Variance; Goodness of fit; Actuarial; Problems; Framework; Requirements; Credit; Portfolio; Impact; Software; Value; Data;

Closed form representations and properties of the generalised Wendland functions

In this paper we investigate the generalisation of Wendland’s compactly supported radial basis functions to the case where the smoothness parameter is not assumed to be a positive integer or half-integer and the parameter ℓ, which is chosen to ensure positive definiteness, need not take on the minimal value. We derive sufficient and necessary conditions for the generalised Wendland functions to be positive definite and deduce the native spaces that they generate. We also provide closed form representations for the generalised Wendland functions in the case when the smoothness parameter is an integer and where the parameter ℓ is any suitable value that ensures positive definiteness, as well as closed form representations for the Fourier transform when the smoothness parameter is a positive integer or half-integer

Closed form representations and properties of the generalised Wendland functions

In this paper we investigate the generalisation of Wendland’s compactly supported radial basis functions to the case where the smoothness parameter is not assumed to be a positive integer or half-integer and the parameter ℓ, which is chosen to ensure positive definiteness, need not take on the minimal value. We derive sufficient and necessary conditions for the generalised Wendland functions to be positive definite and deduce the native spaces that they generate. We also provide closed form representations for the generalised Wendland functions in the case when the smoothness parameter is an integer and where the parameter ℓ is any suitable value that ensures positive definiteness, as well as closed form representations for the Fourier transform when the smoothness parameter is a positive integer or half-integer

АКТУАЛЬНЫЕ ПРОБЛЕМЫ ПРОВЕДЕНИЯ СУДЕБНО-ЭКОЛОГИЧЕСКИХ ИССЛЕДОВАНИЙ В РОССИИ

In the article, a brief description of the current state of environmental crime in Russia is given on the basis of an analysis of official statistics. There is a tendency to reduce the number of registered environmental crimes and the low effectiveness of the application of criminal liability for their commission. As one of the effective ways to combat environmental crime, the development of judicial ecology as an independent scientific direction is considered. The main problems associated with the practical implementation of forensic environmental expert activity are analyzed. To solve them, an innovative interdisciplinary system of training "universal" specialists, capable of applying knowledge of the environment in the process of legal proceedings, is proposed.В статье на основе анализа официальных статистических данных приводится краткая характеристика современного состояния экологической преступности в России. Отмечается тенденция к снижению количества зарегистрированных экологических преступлений и низкая эффективность применения мер уголовной ответственности за их совершение. В качестве одного из эффективных способов борьбы с экологической преступностью рассматривается развитие судебной экологии как самостоятельного научного направления. Анализируются основные проблемы, связанные с практической реализацией судебно-экологической экспертной деятельности. Для их решения предлагается инновационная междисциплинарная система подготовки «универсальных» специалистов, способных применить знания экологии в процессе судопроизводств