MAXIMIZING THE PROBABILITY OF A PERFECT HEDGE USING AN IMPERFECTLY CORRELATED INSTRUMENT

2005 ◽  
Vol 08 (06) ◽  
pp. 763-789 ◽  
Author(s):  
DAVID HOBSON ◽  
JEREMY PENN
Keyword(s):  
Time Horizon ◽  
Fixed Time ◽  
Contingent Claim ◽  
Brownian Motions ◽  
Quantile Hedging ◽  
Terminal Wealth ◽  
Hedging Problem ◽  
Geometric Brownian Motions ◽  
The Impact ◽  
Concrete Model

Let Xϕ denote the trading wealth generated using a strategy ϕ, and let CT be a contingent claim which is not spanned by the traded assets. Consider the problem of finding the strategy which maximizes the probability of terminal wealth meeting or exceeding the claim value at some fixed time horizon, i.e., of finding [Formula: see text]. This problem is sometimes referred to as the quantile hedging problem. We consider the quantile hedging problem when the traded asset and the contingent claim are correlated geometric Brownian motions. This fits with several important examples. One of the benefits of working with such a concrete model is that although it is incomplete we can still do calculations. In particular, we can consider some detailed issues such as the impact of the timing at which information about CT is revealed.

scholarly journals Risk-Adjusted Impact of Administrative Costs on the Distribution of Terminal Wealth for Long-Term Investment

2014 ◽  
Vol 2014 ◽  
pp. 1-12 ◽  
Author(s):  
Montserrat Guillén ◽  
Søren Fiig Jarner ◽  
Jens Perch Nielsen ◽  
Ana M. Pérez-Marín
Keyword(s):  
Mutual Funds ◽  
Risk Adjustment ◽  
Hedge Funds ◽  
Time Horizon ◽  
Simple Formula ◽  
Investment Funds ◽  
Terminal Wealth ◽  
Administrative Costs ◽  
The Impact

The impact of administrative costs on the distribution of terminal wealth is approximated using a simple formula applicable to many investment situations. We show that the reduction in median returns attributable to administrative fees is usually at least twice the amount of the administrative costs charged for most investment funds, when considering a risk-adjustment correction over a reasonably long-term time horizon. The example we present covers a number of standard cases and can be applied to passive investments, mutual funds, and hedge funds. Our results show investors the potential losses they face in performance due to administrative costs.

scholarly journals Present value of firm asset in case of correlated defaults: a generalized structural approach of credit risk

2007 ◽  
Vol 47 ◽  
Author(s):  
Mantas Valužis
Keyword(s):  
Credit Risk ◽  
Financial Market ◽  
Structural Approach ◽  
Present Value ◽  
Brownian Motions ◽  
Value Of Firm ◽  
Correlated Defaults ◽  
Geometric Brownian Motions ◽  
The Impact ◽  
Implied Correlation

This article investigatesthe present value of a firm’s asset in the case of n \geq 2 correlateddefaults. The structural approach of credit risk is developed in the case when default boundaries follow geometric Brownian motions. Correlated defaults are defined by the implied correlation of Brownian motions. The operational risk and the risk of financial market changes are allowed in this model. Also, the impact of implied correlation to the present value of firm’s asset is shown numerically.

scholarly journals The Value of Vaccination in Older Adults: The Why

2020 ◽  
Vol 4 (Supplement_1) ◽  
pp. 806-807
Author(s):  
Philip Buck
Keyword(s):  
Older Adults ◽  
Time Horizon ◽  
Pneumococcal Disease ◽  
Population Aging ◽  
Indirect Costs ◽  
Health Behavior Change ◽  
Vaccine Preventable Diseases ◽  
Time Period ◽  
The Us ◽  
The Impact

Abstract The incidence of vaccine-preventable diseases remains high among older adults in the US, despite longstanding immunization recommendations, and is projected to increase as the population ages. The impact of US population aging on the burden of four vaccine-preventable diseases (influenza, pneumococcal disease, shingles, and pertussis) was modeled over a 30-year time horizon, with cumulative direct and indirect costs increasing from $378 billion over 10 years to $1.28 trillion over 30 years. Compared to current levels of vaccination coverage, increasing coverage was predicted to avert over 33 million cases of disease and greater than $96 billion in disease-associated costs, with a corresponding increase in vaccination costs of approximately $83 billion over the entire 30-year time period. Specific examples of cost-effectiveness analyses that assess the epidemiologic and economic impact of vaccination against shingles and pertussis in older adults will be discussed. Part of a symposium sponsored by the Health Behavior Change Interest Group.

scholarly journals Considerations of the Scale of Radiocarbon Offsets in the East Mediterranean, and Considering a Case for the Latest (Most Recent) Likely Date for the Santorini Eruption

Radiocarbon ◽  
2012 ◽  
Vol 54 (3-4) ◽  
pp. 449-474 ◽  
Author(s):  
Sturt W Manning ◽  
Bernd Kromer
Keyword(s):  
Time Horizon ◽  
Weighted Average ◽  
17Th Century ◽  
Data Sets ◽  
East Mediterranean ◽  
Average Value ◽  
Accuracy And Precision ◽  
Wide Range ◽  
The Impact ◽  
East Mediterranean Region

The debate over the dating of the Santorini (Thera) volcanic eruption has seen sustained efforts to criticize or challenge the radiocarbon dating of this time horizon. We consider some of the relevant areas of possible movement in the14C dating—and, in particular, any plausible mechanisms to support as late (most recent) a date as possible. First, we report and analyze data investigating the scale of apparent possible14C offsets (growing season related) in the Aegean-Anatolia-east Mediterranean region (excluding the southern Levant and especially pre-modern, pre-dam Egypt, which is a distinct case), and find no evidence for more than very small possible offsets from several cases. This topic is thus not an explanation for current differences in dating in the Aegean and at best provides only a few years of latitude. Second, we consider some aspects of the accuracy and precision of14C dating with respect to the Santorini case. While the existing data appear robust, we nonetheless speculate that examination of the frequency distribution of the14C data on short-lived samples from the volcanic destruction level at Akrotiri on Santorini (Thera) may indicate that the average value of the overall data sets is not necessarily the most appropriate14C age to use for dating this time horizon. We note the recent paper of Soter (2011), which suggests that in such a volcanic context some (small) age increment may be possible from diffuse CO2emissions (the effect is hypothetical at this stage and hasnotbeen observed in the field), and that "if short-lived samples from the same stratigraphic horizon yield a wide range of14C ages, the lower values may be the least altered by old CO2." In this context, it might be argued that a substantive “low” grouping of14C ages observable within the overall14C data sets on short-lived samples from the Thera volcanic destruction level centered about 3326–3328 BP is perhaps more representative of the contemporary atmospheric14C age (without any volcanic CO2contamination). This is a subjective argument (since, in statistical terms, the existing studies using the weighted average remain valid) that looks to support as late a date as reasonable from the14C data. The impact of employing this revised14C age is discussed. In general, a late 17th century BC date range is found (to remain) to be most likelyeven ifsuch a late-dating strategy is followed—a late 17th century BC date range is thus a robust finding from the14C evidence even allowing for various possible variation factors. However, the possibility of a mid-16th century BC date (within ∼1593–1530 cal BC) is increased when compared against previous analyses if the Santorini data are considered in isolation.

Material Modeling of Concrete for the Numerical Simulation of Steel Plate Reinforced Concrete Panels Subjected to Impacting Loading

2017 ◽  
Vol 139 (2) ◽  
Author(s):  
Huiyun Li ◽  
Guangyu Shi
Keyword(s):  
Numerical Simulation ◽  
Reinforced Concrete ◽  
Steel Plate ◽  
Material Model ◽  
Tensile Failure ◽  
Scale Model ◽  
Flow Rule ◽  
Plastic Damage ◽  
The Impact ◽  
Concrete Model

The steel plate reinforced concrete (SC) walls and roofs are effective protective structures in nuclear power plants against aircraft attacks. The mechanical behavior of the concrete in SC panels is very complicated when SC panels are under the action of impacting loading. This paper presents a dynamic material model for concrete subjected to high-velocity impact, in which pressure hardening, strain rate effect, plastic damage, and tensile failure are taken into account. The loading surface of the concrete undergoing plastic deformation is defined based on the extended Drucker–Prager strength criterion and the Johnson–Cook material model. The associated plastic flow rule is utilized to evaluate plastic strains. Two damage parameters are introduced to characterize, respectively, the plastic damage and tensile failure of concrete. The proposed concrete model is implemented into the transient nonlinear dynamic analysis code ls-dyna. The reliability and accuracy of the present concrete material model are verified by the numerical simulations of standard compression and tension tests with different confining pressures and strain rates. The numerical simulation of the impact test of a 1/7.5-scale model of an aircraft penetrating into a half steel plate reinforced concrete (HSC) panel is carried out by using ls-dyna with the present concrete model. The resulting damage pattern of concrete slab and the predicted deformation of steel plate in the HSC panel are in good agreement with the experimental results. The numerical results illustrate that the proposed concrete model is capable of properly charactering the tensile damage and failure of concrete.

scholarly journals Assessing the Skill of Medium-Range Ensemble Precipitation and Streamflow Forecasts from the Hydrologic Ensemble Forecast Service (HEFS) for the Upper Trinity River Basin in North Texas

2018 ◽  
Vol 19 (9) ◽  
pp. 1467-1483 ◽  
Author(s):  
Sunghee Kim ◽  
Hossein Sadeghi ◽  
Reza Ahmad Limon ◽  
Manabendra Saharia ◽  
Dong-Jun Seo ◽  
...  
Keyword(s):  
River Basin ◽  
Time Horizon ◽  
Weather Prediction ◽  
Ensemble Forecast ◽  
Trinity River ◽  
Daily Streamflow ◽  
Emergency Managers ◽  
Medium Range ◽  
Streamflow Forecasts ◽  
The Impact

Abstract To issue early warnings for the public to act, for emergency managers to take preventive actions, and for water managers to operate their systems cost-effectively, it is necessary to maximize the time horizon over which streamflow forecasts are skillful. In this work, we assess the value of medium-range ensemble precipitation forecasts generated with the Hydrologic Ensemble Forecast Service (HEFS) of the U.S. National Weather Service (NWS) in increasing the lead time and skill of streamflow forecasts for five headwater basins in the upper Trinity River basin in north-central Texas. The HEFS uses ensemble mean precipitation forecasts from the Global Ensemble Forecast System (GEFS) of the National Centers for Environment Prediction (NCEP). For comparative evaluation, we verify ensemble streamflow forecasts generated with the HEFS forced by the GEFS forecast with those forced by the short-range quantitative precipitation forecasts (QPFs) from the NWS West Gulf River Forecast Center (WGRFC) based on guidance from the NCEP’s Weather Prediction Center. We also assess the benefits of postprocessing the raw ensemble streamflow forecasts and evaluate the impact of selected parameters within the HEFS on forecast quality. The results show that the use of medium-range precipitation forecasts from the GEFS with the HEFS extends the time horizon for skillful forecasting of mean daily streamflow by 1–3 days for significant events when compared with using only the 72-h River Forecast Center (RFC) QPF with the HEFS. The HEFS forced by the GEFS also improves the skill of two-week-ahead biweekly streamflow forecast by about 20% over climatological forecast for the largest 1% of the observed biweekly flow.

scholarly journals 215SUCCESSFUL OUT-OF-BREEDING SEASON ESTRUS SYNCHRONIZATION FOLLOWED BY FIXED TIME INSEMINATION IN WATERBUFFALO (BUBALUS BUBALIS)

2004 ◽  
Vol 16 (2) ◽  
pp. 229 ◽  
Author(s):  
R.M. Züge ◽  
U. Rodacki ◽  
A.T. Grandi ◽  
J.M.J. Aerts ◽  
P.E.J. Bols
Keyword(s):  
Breeding Season ◽  
Buenos Aires ◽  
Fixed Time ◽  
Estradiol Benzoate ◽  
Sao Paulo ◽  
Reproductive Efficiency ◽  
São Paulo ◽  
Estrus Synchronization ◽  
The Impact ◽  
Synchronization Protocol

The most important barrier to the increase of buffalo productivity is an overall poor reproductive efficiency, characterized by late sexual maturity, seasonal anestrus and long periods of postpartum ovarian inactivity resulting in extended calving intervals and poor expression of estrus behavior (Singh J et al., 2000, Anim. Reprod. Sci. 60–61, 593–604). Buffaloes are seasonal breeders with the highest reproductive activities during winter (short day lengths) and a high frequency of anestrus during the summer months (Singh G et al. 1985, Ind. J. Anim. Res. 19, 57–60). Recent research demonstrated that a combination of progesterone, estradiol benzoate and equine chorionic gonadotropin (eCG) was effective for estrus induction and synchronization in buffalo heifers under Mediterranean conditions (Barile et al. 2001, Livestock Prod. Sci. 68, 283–287). The aim of the present study was to investigate the impact of an estrus synchronization protocol on reproductive efficiency of water buffalo during out of the normal breeding season. A total of six heifers (21 to 23 months of age) and three cows (5, 6 and 18 years of age) were enrolled in an estrus synchronization protocol lasting for 12 days. All animals were kept under tropical conditions in the coastal part of Paraná (Antonina), about 450km south of São Paulo. The experiment was performed in December, 2002, during the Brazilian summer season, when reproductive efficiency of buffaloes is greatly reduced. On the first day of the protocol (Day 0), animals were implanted with an intravaginal device containing 1g of progesterone (DIB, Syntex SA, Buenos Aires, Argentina) and injected with 10mg estradiol benzoate (Estrogin, Famavet, São Paulo, Brazil). On Day 9, the DIB implant was removed and the animals received 150μg (i.m.) of cloprostenol (Prolise, Syntex SA, Buenos Aires, Argentina) and 2500 IU of eCG (Novormon, Syntex SA, Buenos Aires, Argentina). On Day 11, all animals received 1500 IU of hCG (Vetecor, Lab. Calier, Spain). Artificial insemination (AI) was performed on Day 12 using frozen-thawed semen from a bull of proven fertility. Only one AI was performed per heifer/cow. Pregnancies were determined by ultrasound examination at 53 days following AI and confirmed by rectal palpation at 90 days post AI. The use of this estrus synchronization protocol, followed by fixed-time insemination, resulted in four pregnant heifers (66%) and three pregnant cows (100%). Our results demonstrate that buffalo reproduction can be successful during out-of-breeding season when adequate hormonal treatment is used. Additional experiments should be done to validate the protocol.

scholarly journals Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations

2011 ◽  
Vol 2011 ◽  
pp. 1-20 ◽  
Author(s):  
Guangchen Wang ◽  
Zhen Wu
Keyword(s):  
Control Systems ◽  
Partial Information ◽  
Random Variable ◽  
Contingent Claim ◽  
Linear Quadratic ◽  
Linear Quadratic Optimal Control ◽  
Quadratic Optimal Control ◽  
Hedging Problem ◽  
Mean Variance ◽  
Markov Control

This paper is concerned with a mean-variance hedging problem with partial information, where the initial endowment of an agent may be a decision and the contingent claim is a random variable. This problem is explicitly solved by studying a linear-quadratic optimal control problem with non-Markov control systems and partial information. Then, we use the result as well as filtering to solve some examples in stochastic control and finance. Also, we establishbackwardandforward-backwardstochastic differential filtering equations which aredifferentfrom the classical filtering theory introduced by Liptser and Shiryayev (1977), Xiong (2008), and so forth.

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