Pricing and Hedging American Fixed-Income Derivatives with Implied Volatility Structures in the Two-Factor Heath–Jarrow–Morton Model

Most previous empirical studies using the Heath–Jarrow–Morton model (hereafter referred to as the HJM model) have focused on the one-factor model. In contrast, this study implements the Das (1999) two-factor Poisson–Gaussian version of the HJM model that incorporates a jump component as the second-state variable. This study aims at examining the performance of the two-factor model through comparing it with the one-factor model in pricing and hedging the Eurodollar futures option. The degree of impact arising from the jump factor also is examined. In addition, three new volatility specifications are constructed to enhance further the pricing performance of the model. Their performances are compared according to three performance yardsticks—in-sample fitting, out-of-sample pricing, and the hedging test. The result indicates that the two-factor model outperforms the one-factor model in both the in-sample and out-sample price fitting, but the one-factor model performs better in the hedging test. In addition, the HJM model, coupled with the proposed volatility specification, leads to good fitting results that will be of considerable use to practitioners and academics in guiding model choice for interest-rate derivatives

Closed form summation of C-finite sequences

We consider sums of the form $$\sum_{j=0}^{n-1}F_1(a_1n+b_1j+c_1)F_2(a_2n+b_2j+c_2)... F_k(a_kn+b_kj+c_k),$$ in which each $\{F_i(n)\}$ is a sequence that satisfies a linear recurrence of degree $D(i)<\infty$, with constant coefficients. We assume further that the $a_i$'s and the $a_i+b_i$'s are all nonnegative integers. We prove that such a sum always has a closed form, in the sense that it evaluates to a linear combination of a finite set of monomials in the values of the sequences $\{F_i(n)\}$ with coefficients that are polynomials in $n$. We explicitly describe two different sets of monomials that will form such a linear combination, and give an algorithm for finding these closed forms, thereby completely automating the solution of this class of summation problems. We exhibit tools for determining when these explicit evaluations are unique of their type, and prove that in a number of interesting cases they are indeed unique. We also discuss some special features of the case of ``indefinite summation," in which $a_1=a_2=... = a_k = 0$

Perfect countably infinite Steiner triple systems

We use a free construction to prove the existence of perfect Steiner triple systems on a countably infinite point set. We use a specific countably infinite family of partial Steiner triple systems to start the construction, thus yielding 2ℵ0 non-isomorphic perfect systems

Aplikasi Evaluasi Pembelajaran Berbasis Multimedia Interaktif Menggunakan Php dan Mysql

This research discusses the evaluation or online exam using the computer interactively. This system is not using paper or print media, but only uses a set of computer and connected to the network, so the students can carry out the exam anytime and anywhere. The lecturers or admins do not need paper and correct test results for Quiz, Midterm Exam, and Final Exam. The Quiz, Midterm Exam and Final Exam are automatically corrected by the system, and then making it easier for lecturers to process values. This application was created using FLASH, PHP and MySQL as the database. This application was designed using Unified Modeling Language (UML), that are Use Case, Class, Activity, and Sequence Diagram

A Modified Distortion Measurement Algorithm for Shape Coding

Efficient encoding of object boundaries has become increasingly prominent in areas such as content-based storage and retrieval, studio and television post-production facilities, mobile communications and other real-time multimedia applications. The way distortion between the actual and approximated shapes is measured however, has a major impact upon the quality of the shape coding algorithms. In existing shape coding methods, the distortion measure do not generate an actual distortion value, so this paper proposes a new distortion measure, called a modified distortion measure for shape coding (DMSC) which incorporates an actual perceptual distance. The performance of the Operational Rate Distortion optimal algorithm [1] incorporating DMSC has been empirically evaluated upon a number of different natural and synthetic arbitrary shapes. Both qualitative and quantitative results confirm the superior results in comparison with the ORD lgorithm for all test shapes, without any increase in computational complexity

The Effects of Race, Sociopolitical Attitudes, and Geographic Location on Criminal Scripts

Recent social unrest has highlighted differences in how crime is perceived based upon the race of the perpetrator. Decades of research suggests criminality is more easily associated with racial and ethnic minorities leading to the racialization of crime. Mutz (1994) noted there are personal factors as well as impersonal factors influencing views regarding race and crime. Research suggests the strongest impersonal influence on society’s perception is the media (Gilliam et al., 2002; Umair, 2016). Therefore, the narrative of linking race and crime, which is prevalent in news media, is reinforced every time viewers tune in to their local news. Additionally, personal factors such as values, personality, the area in which one resides, and political beliefs influence one’s acceptance of the racialized crime narrative (Gilliam, Valentino, & Beckmann, 2002). Thus, the primary aim of the current study was two-fold: ( a) to examine differences in the saliency racial bias regarding who commits crime in rural and non-rural areas and (b) to examine if the presence racially stereotypical name within a crime vignette elicits prejudicial beliefs when compared to a non-descript crime vignette. Results were inconsistent with expected findings. Specifically, neither geographic location nor vignette type significantly influenced participant’s racial bias regarding crime, punitive judgments, or sentencing recommendations. Additionally, Social Dominance Orientation (SDO) and Right-Wing Authoritarianism (RWA) are associated with racially prejudicial beliefs and influence views on who commits crime (e.g., Crawford, Jussim, Cain, & Cohen, 2014). Therefore, the second aim of the study was to examine the association between sociopolitical constructs, as measured by SDO and RWA, and punitive judgments and sentencing recommendations. Results revealed punitive judgments were positively related to both SDO (r = .194, p \u3c .05) and RWA (r = .246, p \u3c .01). Similar findings revealed a significant association between racial bias and SDO (r = -.222, p \u3c .05) and RWA (r = -.132, p \u3c .01), respectively. Surprisingly, length of sentencing recommendations failed to significantly correlate with either SDO (r = -.033, p \u3e .05) or RWA (r = .024, p \u3e .05). These findings support current literature noting multiple factors contributing to racially prejudicial ideas about racial minorities. Thus, interventions to reduce racial bias, and subsequent discrimination, must target various factors. Research suggests that inter-group contact may be beneficial in reducing the saliency of these beliefs (Allport, 1954; Pettigrew, 1998)

Evaluation of matrix-assisted laser desorption ionisation time-of-flight mass spectrometry (MALDI-TOF MS) for the Identification of Group B Streptococcus.

Objective Group B Streptococcus (GBS) is a leading cause of neonatal meningitis and sepsis worldwide. Intrapartum antibiotics given to women carrying GBS are an effective means of reducing disease in the first week of life. Rapid and reliable tests are needed to accurately identify GBS from these women for timely intrapartum antibiotic administration to prevent neonatal disease. Many laboratories now use matrix-assisted laser desorption ionisation time-of-flight mass spectrometry (MALDI-TOF MS) by direct plating or cell lysis for the identification of GBS isolates. The cell lysis step increases time to results for clinical samples and is more complex to perform. Therefore, we seek to evaluate the sensitivity and specificity of the quicker and more rapid direct plating method in identifying GBS. Results We directly compared swab isolates analysed by both direct plating and cell lysis method and demonstrated that direct plating has a sensitivity and specificity of 0.97 and 1, respectively, compared to an additional cell lysis step. We demonstrated that MALDI-TOF MS can be successfully used for batch processing by the direct plating method which saves time. These results are reassuring for laboratories worldwide who seek to identify GBS from swabs samples as quickly as possible