Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis

This paper considers a financial market where the asset prices and the corresponding volatility are driven by a multidimensional mixture of Wiener shocks and Poisson jumps. While implied volatility is characterized by spikes, the existing models rely on the restrictive assumption of positive jumps in volatility. To overcome this inadequacy, the present paper introduces normally distributed jumps in the logvariance process. The model proposed is able to mimic empirically observed spikes in volatility and, consequently, improves upon the existing literature as it replicates the main features of both the stock return series and the corresponding option prices. After estimating the stock returns via the Efficient Method of Moments, the expression for the valuation of a plain vanilla European call option is derived, using the no-arbitrage argument. S&P500 option prices are used to assess quantitatively the empirical performance of the innovative features of the proposed model. The estimates indicate that spikes in volatility introduce a significant improvement in option pricing and provide evidence for stochastic jump risk premia.

Anthropologists in/of the neoliberal academy

This special Forum brings together short commentaries from anthropologists working in a variety of university settings and roles, to reflect on our immediate recent experiences with the imposition of public sector educational reforms. The contributions explore ongoing institutional transformations in Australia and New Zealand, Romania, Denmark, Greece, Finland, Mexico, US, Holland, Spain, Canada and the UK. We aim to establish a platform to host ongoing discussions about the changing nature of higher education and its implications for the future of anthropology. We are confident that these exchanges in Anuac will enable colleagues coping with the impacts of austerity to move together toward a coalition in favour of the university as we think it should be. Contributions of Cris Shore & Susan Wright, Vintilă Mihăilescu, Sarah F. Green, Gabriela Vargas-Cetina & Steffan Igor Ayora-Diaz, Tracey Heatherington, Dimitris Dalakoglou, Noelle Molé Liston, Susana Narotzky, Jaro Stacul, Meredith Welch-Devine, Jon P. Mitchell

Perturbations and Stability of Black Ellipsoids

We study the perturbations of two classes of static black ellipsoid solutions of four dimensional vacuum Einstein equations. Such solutions are described by generic off--diagonal metrics which are generated by anholonomic transforms of diagonal metrics. The analysis is performed in the approximation of small eccentricity deformations of the Schwarzschild solution. We conclude that such anisotropic black hole objects may be stable with respect to the perturbations parametrized by the Schrodinger equations in the framework of the one--dimensional inverse scattering theory.Comment: Published variant in IJMD with small modifications in formulas and new reference

Neuroplasticity, neural reuse, and the language module

What conception of mental architecture can survive the evidence of neuroplasticity and neural reuse in the human brain? In particular, what sorts of modules are compatible with this evidence? I aim to show how developmental and adult neuroplasticity, as well as evidence of pervasive neural reuse, forces us to revise the standard conception of modularity and spells the end of a hardwired and dedicated language module. I argue from principles of both neural reuse and neural redundancy that language is facilitated by a composite of modules (or module-like entities), few if any of which are likely to be linguistically special, and that neuroplasticity provides evidence that (in key respects and to an appreciable extent) few if any of them ought to be considered developmentally robust, though their development does seem to be constrained by features intrinsic to particular regions of cortex (manifesting as domain-specific predispositions or acquisition biases). In the course of doing so I articulate a schematically and neurobiologically precise framework for understanding modules and their supramodular interactions

Neural redundancy and its relation to neural reuse

Evidence of the pervasiveness of neural reuse in the human brain has forced a revision of the standard conception of modularity in the cognitive sciences. One persistent line of argument against such revision, however, draws from a large body of experimental literature attesting to the existence of cognitive dissociations. While numerous rejoinders to this argument have been offered over the years, few have grappled seriously with the phenomenon. This paper offers a fresh perspective. It takes the dissociations seriously, on the one hand, while affirming that traditional modularities of mind do not do justice to the evidence of neural reuse, on the other. The key to the puzzle is neural redundancy. The paper offers both a philosophical analysis of the relation between reuse and redundancy, as well as a plausible solution to the problem of dissociations

Questo numero

Introduzione del nuovo numero della rivista Anuac (vol. 5, n.1, 2016

La nuova Anuac: editoriale

Editorial article from the new Editor-in-Chief

Aesthetic Judgment and the Public Sphere in the Thought of Hannah Arendt

This essay is on the conception of political space as a space of singular events, rhetorical speech and plurality. It shows that Arendt’s deep suspicion of a cognitively-based practice of political judgment is not based on a naïve concept of logical reasoning. Her point is not to exclude so-called rational discourse or knowledge claims from the practice of aesthetic or political judgment – as if something or someone could stop us from making arguments in public contexts – but to press us to think about what we are doing when we reduce the practice of politics or judgment to the contest of better arguments. She disputes not the idea of argument as such but rather the assumption (central to Habermas’ discourse ethics) that agreement in procedures for making arguments ought to produce agreement in conclusions, hence agreement in the political realm can be reached in the manner of giving proofs.This essay is on the conception of political space as a space of singular events, rhetorical speech and plurality. It shows that Arendt’s deep suspicion of a cognitively-based practice of political judgment is not based on a naïve concept of logical reasoning. Her point is not to exclude so-called rational discourse or knowledge claims from the practice of aesthetic or political judgment – as if something or someone could stop us from making arguments in public contexts – but to press us to think about what we are doing when we reduce the practice of politics or judgment to the contest of better arguments. She disputes not the idea of argument as such but rather the assumption (central to Habermas’ discourse ethics) that agreement in procedures for making arguments ought to produce agreement in conclusions, hence agreement in the political realm can be reached in the manner of giving proofs