Option bounds for multinomial stock returns in Jump-Diffusion processes - a Monte Carlo simulation for a multi-jump process

This paper addresses the problem of option bounds computation under the assumption that the price of the underlying asset follows a jump-diffusion Merton process as formulated in Perrakis (1993) extending the number of the jumps from one jump up and one jump down with fixed sizes to a finite number of jumps with sizes drawn from the lognormal distribution. The objective of this paper is to create a Monte Carlo simulation for the estimation of the bounds with various numbers of jumps and periods to maturity.Monte Carlo simulation, Jump-Diffusion processes, multi-jump process

International services trade patterns and specialization potential: a comparative Assessment

The main purpose of this paper is to comparatively examine the international competitiveness of services trade, by determining its pattern and structure of specialization for Romania and Bulgaria, on the EU-25 services market. In other words, the research attempts to identify Romania's and Bulgaria’s ability to overcome difficulties and challenges that might arise from the hard competition within the enlarged EU, in the field of foreign trade in services. To this end, the paper attempts to suggest a multilevel framework for assessing the international competitiveness of Romania’s and Bulgaria’s services trade.international services trade, international competitiveness, specialization

Empirical Evidence On The Correlation Between The Exchange Rate And Romanian Exports

Few subjects of international economics are so much exposed to heated debates as the exchange rate problem. From monetary crises and balance-of-payments adjustments to monetary zones, dealing with currency swings seems to embody any economist's worries about the rightfulness of economic models and the relevance of empirical analyses he or she has to choose. Is appreciation or depreciation good for a country's welfare? Would that answer still be valid in the long run? The unsettled character of the problem largely resides in the manifest contradiction between the firm theoretical predictions and their unconvincing empirical testing. One of the least uncontroversial tenets refers to the positive correlation between currency depreciation or devaluation (although of different origins, their effects are generally the same) and a country's current account. This paper attempts to test this prediction on the case of Romanian economy and to conclude on possible explanations of the theoretical-empirical conflict.exports, exchange rate, elasticity

The Factors of the Capital Structure in Eastern Europe

The paper proposes a test of the extent to which the financial indicators of the companies listed on the stock exchanges in Romania, Poland, Hungary and Czech Republic and representing four sectors of activity - Food, Chemistry, Energy and Farmaceuticals - influence the debt ratios of these companies. We use linear regression and principal components analysis in order to test for the influence of 12 different financial indicators in each of the years from 2002 until 2006. The results show that there is evidence in support of the influence of the proposed factors because the coefficients are significant and maintain their signs in all the years of our analysis.leverage ratio, principal components analysis, financial indicators, capital markets, Eastern Europe.

SecMon: End-to-End Quality and Security Monitoring System

The Voice over Internet Protocol (VoIP) is becoming a more available and popular way of communicating for Internet users. This also applies to Peer-to-Peer (P2P) systems and merging these two have already proven to be successful (e.g. Skype). Even the existing standards of VoIP provide an assurance of security and Quality of Service (QoS), however, these features are usually optional and supported by limited number of implementations. As a result, the lack of mandatory and widely applicable QoS and security guaranties makes the contemporary VoIP systems vulnerable to attacks and network disturbances. In this paper we are facing these issues and propose the SecMon system, which simultaneously provides a lightweight security mechanism and improves quality parameters of the call. SecMon is intended specially for VoIP service over P2P networks and its main advantage is that it provides authentication, data integrity services, adaptive QoS and (D)DoS attack detection. Moreover, the SecMon approach represents a low-bandwidth consumption solution that is transparent to the users and possesses a self-organizing capability. The above-mentioned features are accomplished mainly by utilizing two information hiding techniques: digital audio watermarking and network steganography. These techniques are used to create covert channels that serve as transport channels for lightweight QoS measurement's results. Furthermore, these metrics are aggregated in a reputation system that enables best route path selection in the P2P network. The reputation system helps also to mitigate (D)DoS attacks, maximize performance and increase transmission efficiency in the network.Comment: Paper was presented at 7th international conference IBIZA 2008: On Computer Science - Research And Applications, Poland, Kazimierz Dolny 31.01-2.02 2008; 14 pages, 5 figure

A Model to Simulate the Convergence Process in the EU and in the Balkans Region Based on Empirical Evidence

In the context of many new challenges for the EU economy, convergence continues to be one of the main goals in the long run. This paper provides empirical evidence in support of a significant trend of convergence for the EU28 countries after 2000. Investigating the drivers of this trend, we concurrently developed an analysis of convergence for each of the three EU conventional groups and we document rather different results, i.e. strong convergence for the group of former eastern communist countries (EU11E), slow convergence in the group of Southern countries (EU6S), and a trend of slow divergence for the group of North-Western countries (EU11NW). Moreover, taking into account the new Western Balkan candidate countries (EU6B, comprising Albania, Bosnia and Herzegovina, Kosovo, North Macedonia, Montenegro, and Serbia), we analyzed the convergence among these four groups of countries in an extended EU, conventionally denoted as EU34. Our study suggests the existence of complex dynamics that feature the EU34 economic system of heterogeneous economies. When separating the region into two zones based on the average level of income per capita, we notice completely different behaviors: on the left side an accelerated convergence to the average level of the system prevails, while the right side features a general slow divergence interrupted by some periods of convergence; the distribution could be far from a normal distribution for which the behavior is linear; around the average level, the behavior may change dramatically, uncovering an instability sub-zone, with higher stability only far from the average level on the right side. Keywords: European Union, Balkans region, Convergence, Divergence, Economic Growth, Behavioural regime

The Effect of ECB's Quantitative Easing on Credit Default Swap Instruments in Central and Eastern Europe

AbstractThis paper focuses on the quantitative easing policies launched by the European Central Bank (ECB), analysing their effects on the dynamics of a series of five-year sovereign credit default swap instruments that belong to seven Central and Eastern European States. In an econometric event study setup that follows the methodology developed in Albu et al. (2014), we calibrate an ARMA-GARCH model and analyse the abnormal and squared abnormal returns for each CDS instrument. The results indicate that the quantitative easing events issued by the European Central Bank have a significant effect on the evolution of the analysed sovereign credit default swap instruments

Empirical Evidence On The Correlation Between The Exchange Rate And Romanian Exports

Few subjects of international economics are so much exposed to heated debates as the exchange rate problem. From monetary crises and balance-of-payments adjustments to monetary zones, dealing with currency swings seems to embody any economist's worries about the rightfulness of economic models and the relevance of empirical analyses he or she has to choose. Is appreciation or depreciation good for a country's welfare? Would that answer still be valid in the long run? The unsettled character of the problem largely resides in the manifest contradiction between the firm theoretical predictions and their unconvincing empirical testing. One of the least uncontroversial tenets refers to the positive correlation between currency depreciation or devaluation (although of different origins, their effects are generally the same) and a country's current account. This paper attempts to test this prediction on the case of Romanian economy and to conclude on possible explanations of the theoretical-empirical conflict