Information-Based Models for Finance and Insurance

In financial markets, the information that traders have about an asset is reflected in its price. The arrival of new information then leads to price changes. The ‘information-based framework’ of Brody, Hughston and Macrina (BHM) isolates the emergence of information, and examines its role as a driver of price dynamics. This approach has led to the development of new models that capture a broad range of price behaviour. This thesis extends the work of BHM by introducing a wider class of processes for the generation of the market filtration. In the BHM framework, each asset is associated with a collection of random cash flows. The asset price is the sum of the discounted expectations of the cash flows. Expectations are taken with respect (i) an appropriate measure, and (ii) the filtration generated by a set of so-called information processes that carry noisy or imperfect market information about the cash flows. To model the flow of information, we introduce a class of processes termed Levy random bridges (LRBs), generalising the Brownian and gamma information processes of BHM. Conditioned on its terminal value, an LRB is identical in law to a Levy bridge. We consider in detail the case where the asset generates a single cash flow XT at a fixed date T. The flow of information about XT is modelled by an LRB with random terminal value XT. An explicit expression for the price process is found by working out the discounted conditional expectation of XT with respect to the natural filtration of the LRB. New models are constructed using information processes related to the Poisson process, the Cauchy process, the stable-1/2 subordinator, the variance-gamma process, and the normal inverse-Gaussian process. These are applied to the valuation of credit-risky bonds, vanilla and exotic options, and non-life insurance liabilities

Mathematical logic applied to the semantics of computer programs

Imperial Users onl

The Impact of Past Performance on Expectations of Future Success: An Investigation of Australian Managers

Competition among firms for market share and differential advantage is at an all-time high [3]. Moreover, investment in research and development (R&D) is seen as a major strategy in attaining and maintaining any competitive edge [4]. Little is known, however, about how experiencing poor performance in R&D endeavors affects managers\u27 perceptions of future opportunities for success in his or her company. Do managers believe that success breeds success, while poor performance is an indication of continued problems in the future? Or do managers believe that poor past performance is unrelated to future performance? Additionally, are some individuals prone to experience feelings of loss of control, while other individuals believe that they can influence future outcomes? When considering the importance of R&D endeavors to competitive strategy, these questions deserve attention and constitute the focus for this paper

The Pattern Practice Of Meanings

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/98399/1/j.1467-1770.1949.tb01155.x.pd

AN EXAMINATION OF A DEVELOPMENT RIGHTS PURCHASE PROGRAM FOR ALASKA AGRICULTURAL LANDS

A report submitted to the Department of Natural Resources, State of Alaska, in accordance with terms of research contract OCTO 1142.Many Alaskans are concerned about the conversion of highly productive agricultural lands to nonagricultural uses now occurring in the state. Land on the urban fringes of Anchorage and Fairbanks that once produced vegetables and grains or supported dairy farms appears most vulnerable to this conversion. As major population centers grow, residential, shopping center and industrial land uses displace agriculture because they render greater returns. This displacement is viewed by some as not being in society's best interest. Those concerned about the loss of agricultural lands argue that these lands are some of the best agricultural lands in the state and are vital to maintaining the agricultural economy of the state. In addition, it is suggested that their preservation will help to maintain a much desired way of life and to provide needed open space. The state and municipal governments in Alaska have made attempts to intervene in the land market to slow down or stop agricultural land conversion. Methods employed to date include tax incentives and the sale of only the agricultural rights on state or municipal lands. This report discusses the feasibility of an alternative means of preserving agricultural lands, namely, the public purchase of development rights from private landowners. Under this voluntary arrangement, private agricultural landowners would be compensated for giving up their option to develop their land for nonagricultural purposes.Introduction: Overview, Plan of Report -- Market Failure and the Allocation of Agricultural Land Resources -- Agricultural Land Conversion in Alaska -- Present and Potential Agricultural Development in Alaska: Introduction, Present Agricultural Situation, Agricultural Lands for Future Development, Future Agricultural Development in Alaska -- Purchase of Development Rights: Suffolk County: History, Maryland, New Jersey, Massachusetts and Connecticut, Definition of Development Rights, Strengths and Weaknesses of Development Rights Purchases -- Applicability of a Development Rights Program in Alaska: Introduction, Development Rights Survey in Alaska: Response, Farm Size of Respondents, Interest in Selling Development Rights, Market Values of Cleared and Uncleared Agricultural Lands, Value of Development Rights, Distance from a Population Center, Interest in Selling Development Rights, and Perceived Value of Development Rights -- Economic Size Agricultural Operations -- Potential Costs of a Purchase of Development Rights Program: Other Costs -- Benefits of Development Rights Acquisition: Maintenance of the Local Agricultural Economy, Locally Produced Food, Open Space and Other Public Good Amenities, Removal of Uncertainty -- Other Agricultural Land Control Tools: Comparison of Agricultural Land Preservation Tools -- Summary and Conclusions -- References -- Appendix A: Operation of of Purchase of Development Rights Programs -- Appendix B: Alaska Agricultural Lands Survey -- Appendix C: Additional Comments from Respondents -- Appendix D: Alternative Agricultural Land Control Technique

Robust fixed order dynamic compensation for large space structure control

A simple formulation for designing fixed order dynamic compensators which are robust to both uncertainty at the plant input and structured uncertainty in the plant dynamics is presented. The emphasis is on designing low order compensators for systems of high order. The formulation is done in an output feedback setting which exploits an observer canonical form to represent the compensator dynamics. The formulation also precludes the use of direct feedback of the plant output. The main contribution lies in defining a method for penalizing the states of the plant and of the compensator, and for choosing the distribution on initial conditions so that the loop transfer matrix approximates that of a full state design. To improve robustness to parameter uncertainty, the formulation avoids the introduction of sensitivity states, which has led to complex formulations in earlier studies where only structured uncertainty has been considered

Difference and Demand: Toward a Levinasian Psychopathology

Difference and Demand: Toward a Levinasian Psychopatholog

Development of an improved internal dose assessment methodology for plutonium

Plutonium is carcinogenic when it is taken into the body because it is an alpha particle emitter. There is limited direct epidemiological evidence of the scale of specific risks from plutonium intake. Assessing doses arising from plutonium exposure is an onerous task. Doses have to be assessed from urine samples and mathematical models which describe the passage of plutonium through the body. Information on plutonium absorption, distribution, metabolism and excretion is very limited. Models of plutonium transport within the body continue to evolve. Different assessment methodologies have been employed to assess plutonium doses for worker cohorts. A review of existing methodologies for producing plutonium doses has been conducted. A strategy for setting research priorities based on their potential impact on estimates of risk is discussed. Ways of improving plutonium dose reconstruction, including the production of reliability/uncertainty estimates are investigated. Efforts to harmonize approaches to the production of doses for the major plutonium worker cohorts are discussed. Recommendations are made for methodological approaches to plutonium dosimetry to meet current epidemiological research needs. The way in which the recommended methodological approach has been implemented for one major plutonium worker cohort is described. Some potential future research priorities are suggested