837 research outputs found
Bessel bridges decomposition with varying dimension. Applications to finance
We consider a class of stochastic processes containing the classical and
well-studied class of Squared Bessel processes. Our model, however, allows the
dimension be a function of the time. We first give some classical results in a
larger context where a time-varying drift term can be added. Then in the
non-drifted case we extend many results already proven in the case of classical
Bessel processes to our context. Our deepest result is a decomposition of the
Bridge process associated to this generalized squared Bessel process, much
similar to the much celebrated result of J. Pitman and M. Yor. On a more
practical point of view, we give a methodology to compute the Laplace transform
of additive functionals of our process and the associated bridge. This permits
in particular to get directly access to the joint distribution of the value at
t of the process and its integral. We finally give some financial applications
to illustrate the panel of applications of our results
Probability tree algorithm for general diffusion processes
Motivated by path-integral numerical solutions of diffusion processes,
PATHINT, we present a new tree algorithm, PATHTREE, which permits extremely
fast accurate computation of probability distributions of a large class of
general nonlinear diffusion processes
Science and Morality: Mind the Gap, Use Happiness as a Safe Bridge! Book review of ‘‘Exploring Happiness: from Aristotle to Brain Science’’ by Sissela Bok, Yale University Press, New Haven and London, 2010
Abstract In 2002 Sissela Bok re-published her book ‘‘Common Values’’, first published
in 1995, about her search for a minimal set of values to be respected all over the world. In
her view such a set of values is needed to facilitate international communication and
cooperation. Values already recognized in every society can be included as a starting point.
In her book ‘‘Exploring happiness’’, published in 2010, she explains why she finds happiness
unfit to be included. She observes that there are discordant claims about what
happiness is. Any particular vision can lead to practical choices that either adhere or violate
the values she prefers. In my view subjective happiness should be included, because there
are no discordant claims about the meaning of subjective happiness, and subjective happiness
is simultaneously attractive as a moral value and as an object of scientific research.
Subjective happiness can function as a bridge between science and morality. The only
discordant claims are about ‘objective’ happiness, as a wider interpretation of well-being in
the context of some specific morality or ideology
Professionalism, Golf Coaching and a Master of Science Degree: A commentary
As a point of reference I congratulate Simon Jenkins on tackling the issue of professionalism in coaching. As he points out coaching is not a profession, but this does not mean that coaching would not benefit from going through a professionalization process. As things stand I find that the stimulus article unpacks some critically important issues of professionalism, broadly within the context of golf coaching. However, I am not sure enough is made of understanding what professional (golf) coaching actually is nor how the development of a professional golf coach can be facilitated by a Master of Science Degree (M.Sc.). I will focus my commentary on these two issues
The institutional shaping of management: in the tracks of English individualism
Globalisation raises important questions about the shaping of economic action by cultural factors. This article explores the formation of what is seen by some as a prime influence on the formation of British management: individualism. Drawing on a range of historical sources, it argues for a comparative approach. In this case, the primary comparison drawn is between England and Scotland. The contention is that there is a systemic approach to authority in Scotland that can be contrasted to a personal approach in England. An examination of the careers of a number of Scottish pioneers of management suggests the roots of this systemic approach in practices of church governance. Ultimately this systemic approach was to take a secondary role to the personal approach engendered by institutions like the universities of Oxford and Cambridge, but it found more success in the different institutional context of the USA. The complexities of dealing with historical evidence are stressed, as is the value of taking a comparative approach. In this case this indicates a need to take religious practice as seriously as religious belief as a source of transferable practice. The article suggests that management should not be seen as a simple response to economic imperatives, but as shaped by the social and cultural context from which it emerges
Reciprocity as a foundation of financial economics
This paper argues that the subsistence of the fundamental theorem of contemporary financial mathematics is the ethical concept ‘reciprocity’. The argument is based on identifying an equivalence between the contemporary, and ostensibly ‘value neutral’, Fundamental Theory of Asset Pricing with theories of mathematical probability that emerged in the seventeenth century in the context of the ethical assessment of commercial contracts in a framework of Aristotelian ethics. This observation, the main claim of the paper, is justified on the basis of results from the Ultimatum Game and is analysed within a framework of Pragmatic philosophy. The analysis leads to the explanatory hypothesis that markets are centres of communicative action with reciprocity as a rule of discourse. The purpose of the paper is to reorientate financial economics to emphasise the objectives of cooperation and social cohesion and to this end, we offer specific policy advice
- …