Translations in the exponential Orlicz space with Gaussian weight

We study the continuity of space translations on non-parametric exponential families based on the exponential Orlicz space with Gaussian reference density.Comment: Submitted to GSI 2017, Pari

The importance of dynamic risk constraints for limited liability operators

Previous literature shows that prevalent risk measures such as value at risk or expected shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio optimisation. However, these conclusions hold only when the constraints are static in the sense that the risk measure is just applied to the terminal portfolio value. In this paper, we consider a portfolio optimisation problem featuring S-shaped utility and a dynamic risk constraint which is imposed throughout the entire trading horizon. Provided that the risk control policy is sufficiently strict relative to the Sharpe ratio of the asset, the trader’s portfolio strategies and the resulting maximal expected utility can be effectively constrained by a dynamic risk measure. Finally, we argue that dynamic risk constraints might still be ineffective if the trader has access to a derivatives market

Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting

This paper generalizes the framework for arbitrage-free valuation of bilateral counterparty risk to the case where collateral is included, with possible re-hypotecation. We analyze how the payout of claims is modified when collateral margining is included in agreement with current ISDA documentation. We then specialize our analysis to interest-rate swaps as underlying portfolio, and allow for mutual dependences between the default times of the investor and the counterparty and the underlying portfolio risk factors. We use arbitrage-free stochastic dynamical models, including also the effect of interest rate and credit spread volatilities. The impact of re-hypotecation, of collateral margining frequency and of dependencies on the bilateral counterparty risk adjustment is illustrated with a numerical example

Nonlinear valuation with XVAs: two converging approaches

When pricing OTC contracts in the presence of additional risk factors and costs, such as credit risk and funding and collateral costs, the starting “clean price” is modified additively by valuation adjustments (XVAs) that account for each factor or cost in isolation, while seemingly ignoring the combined effects. Instead, risk factors and costs can be jointly accounted for ab initio in the pricing mechanism at the level of cash flows, and this “adjusted cash flow" approach leads to a nonlinear valuation formula. While for practitioners this made more sense because it showed which discount factor is used for which cash flow (recall the multi-curve environment post-crisis), for academics, the focus was on checking that the resulting nonlinear valuation formula is consistent with the theoretical arbitrage-free “replication approach” that we also analyse in the paper. We formulate specific reasonable assumptions, which ensure that the valuation formulae obtained by the two approaches coincide, thus reinforcing both academics’ and practitioners’ confidence in adopting such nonlinear valuation formulae in a multi-curve setup

Convertible bond valuation in a jump diffusion setting with stochastic interest rates

This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the framework of affine jump diffusion processes of Duffie et al. [Econometrica, 2000, 68, 1343–1376] with tractable behaviour. We define the firm’s optimal call policy and investigate its impact on the computed convertible bond prices. We illustrate the performance of the numerical scheme and highlight the effects originated by the inclusion of jumps, stochastic interest rates and a non-zero correlation structure between firm value and interest rates

Terminology for psychogenic nonepileptic seizures:Making the case for "functional seizures"

PURPOSE: The purpose of the study was to review the literature on the terminologies for psychogenic nonepileptic seizures (PNES) and make a proposal on the terminology of this condition. This proposal reflects the authors' own opinions.METHODS: We systematically searched MEDLINE (accessed from PubMed) and EMBASE from inception to October 10, 2019 for articles written in English with a main focus on PNES (with or without discussion of other functional neurological disorders) and which either proposed or discussed the accuracy or appropriateness of PNES terminologies.RESULTS: The search strategy reported above yielded 757 articles; 30 articles were eventually included, which were generally of low quality. "Functional seizures" (FS) appeared to be an acceptable terminology to name this condition from the perspective of patients. In addition, FS is a term that is relatively popular with clinicians.CONCLUSION: From the available evidence, FS meets more of the criteria proposed for an acceptable label than other popular terms in the field. While the term FS is neutral with regard to etiology and pathology (particularly regarding whether psychological or not), other terms such as "dissociative", "conversion", or "psychogenic" seizures are not. In addition, FS can potentially facilitate multidisciplinary (physical and psychological) management more than other terms. Adopting a universally accepted terminology to describe this disorder could standardize our approach to the illness and facilitate communication between healthcare professionals, patients, their families, carers, and the wider public.</p

Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model

The recent financial crisis has led to so-called multi-curve models for the term structure. Here we study a multi-curve extension of short rate models where, in addition to the short rate itself, we introduce short rate spreads. In particular, we consider a Gaussian factor model where the short rate and the spreads are second order polynomials of Gaussian factor processes. This leads to an exponentially quadratic model class that is less well known than the exponentially affine class. In the latter class the factors enter linearly and for positivity one considers square root factor processes. While the square root factors in the affine class have more involved distributions, in the quadratic class the factors remain Gaussian and this leads to various advantages, in particular for derivative pricing. After some preliminaries on martingale modeling in the multi-curve setup, we concentrate on pricing of linear and optional derivatives. For linear derivatives, we exhibit an adjustment factor that allows one to pass from pre-crisis single curve values to the corresponding post-crisis multi-curve values

Sulfide-, fluorite-, barite-bearing siliceous "crusts" related to unconformity surfaces of different ages in Pyrenees and Alps: a new model in carbonate-hosted deposits?

Wumerous stratabound sulfide-, barite-, fluonte-bearing siliceous crusts, from dm to some tens of in thick, occur over large areas of the Alpine belt, ;.e. the Alps and the Pyrenees. They are linked to unconformlty landscapes evolved on various carbonate units of Paieozoic and Triassic sedimentq sequences. Since the study mineralizations constitute the transition between the underlying carbonates and the overlying detrital units, they can be considered as an independent lithostratigraphic units that record a particular metalogenetic process not only in the alpine chains but worldwide. These mineralizations exhibit several morphologies: tabular concordant with the unconfonnities bodies, columnar bodies, karstic cavity-fillings, laminites and veins. In addition, the study deposits are clearly affected by remobilization process occuned during diagenesis or metamorphism. Such processes are responsible for masking the occunence of the breccia/conglomerate typically located at the base of the orebodies.Although the study mineralizations have usually been included in MVT deposit class, constrastirig differences between their diagnostic features and those of MVT mineralizations, suggest that the inclusion of the mineralized crust deposits in the MVT group seem incorrect.These peculiar ore-bearing quartz-crusts, persistent over large areas and showing an independent and distinct character and constituting an important marker for some sedimentary sequences of different ages in Alpine belts, allow the authors to define a new metallogenic model named as "crust-type" (CT) deposits. Comparable mineralization in other geotectonic environments outside Alpine belts point out to CT deposits being a worldwide significant metallogenic event

Can a Loan Valuation Adjustment (LVA) Approach Immunize Collateralized Debt from Defaults?

This study focuses on structuring tangible asset backed loans to inhibit their endemic option to default. We adapt the pragmatic approach of a margin loan in the configuring of collateralized debt to yield a quasi‐default‐free facility. We link our practical method to the current Basel III (2017) regulatory framework. Our new concept of the Loan Valuation Adjustment (LVA) and novel method to minimize the LVA converts the risky loan into a quasi risk‐free loan and achieves value maximization for the lending financial institution. As a result, entrepreneurial activities are promoted and economic growth invigorated. Information asymmetry, costly bailouts and resulting financial fragility are reduced while depositors are endowed with a safety net equivalent to deposit insurance but without the associated moral hazard between risk‐averse lenders and borrowers

Central motor and sensory conduction in patients with hepatic myelopathy

n/