scholarly journals ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE

2008 ◽  
Vol 11 (08) ◽  
pp. 841-867 ◽  
Author(s):  
SHANE M. MILLER ◽  
ECKHARD PLATEN

This article derives a series of analytic formulae for various contingent claims under the real-world probability measure using the stylised minimal market model (SMMM). This model provides realistic dynamics for the growth optimal portfolio (GOP) as a well-diversified equity index. It captures both leptokurtic returns with correct tail properties and the leverage effect. Under the SMMM, the discounted GOP takes the form of a time-transformed squared Bessel process of dimension four. From this property, one finds that the SMMM possesses a special and interesting relationship to non-central chi-square random variables with zero degrees of freedom. The analytic formulae derived under the SMMM include options on the GOP, options on exchange prices and options on zero-coupon bonds. For options on zero-coupon bonds, analytic prices facilitate efficient calculation of interest rate caps and floors.

2014 ◽  
Vol 18 (1) ◽  
pp. 1-21 ◽  
Author(s):  
Jan Baldeaux ◽  
Katja Ignatieva ◽  
Eckhard Platen

AbstractThe growth optimal portfolio (GOP) plays an important role in finance, where it serves as the numéraire portfolio, with respect to which contingent claims can be priced under the real world probability measure. This paper models the GOP using a time dependent constant elasticity of variance (TCEV) model. The TCEV model has high tractability for a range of derivative prices and fits well the dynamics of a global diversified world equity index. This is confirmed when pricing and hedging various derivatives using this index.


2012 ◽  
Vol 2 (2) ◽  
pp. 150-157 ◽  
Author(s):  
Phil McDermott

Peck’s (2012) reaction to the colonizing impulse of economics is a call to consolidation of economic geography, better connecting diverse sites of inquiry. This appears to be a reaction to the current incursion of orthodoxy in the form of the New Economic Geography into the domain of the old economic geography. This incursion carries with it the ideological eminence of the market which oversimplifies the nature of exchange and consequently obscures the processes which shape places. I question Peck’s proposition. From an applied perspective our understanding of the real world benefits from the heterogeneity of economic geography. Academic resilience comes from diversity. As a result, economic geography already provides a strong and grounded basis for resisting the monotheism of orthodox economics. (I also question the use of the island life analogy as a didactic device in a critique of a similar device, the neoclassical market model.)


2021 ◽  
Vol 39 (6_suppl) ◽  
pp. 57-57
Author(s):  
Alexander Watson ◽  
Richard Gagnon ◽  
Eugene Batuyong ◽  
Nimira S. Alimohamed ◽  
Richard M. Lee-Ying

57 Background: The TROPIC trial demonstrated an overall survival (OS) benefit of Cbz after Dtx in metastatic castrate-resistant prostate cancer (mCRPC). However, the novel anti-androgens (NAA) Abi and Enz have demonstrated similar improvements post-Dtx. The recent CARD trial suggests Cbz may provide the greatest OS benefit in selected patients who were rapid progressors ( < 12 months, RP) on first NAA, however Cbz use and efficacy in the real-world is uncertain. We sought to quantify the real-world use of Cbz and evaluate outcomes post-Dtx. Methods: mCRPC patients who received Dtx at the two tertiary referral centres in the Canadian province of Alberta from October 2012 (Cbz funding approval) to December 31st 2017 were assessed. We examined Cbz eligibility per TROPIC and CARD trial criteria, tracked therapies received, and documented objective and subjective reasoning for therapeutic decisions. OS was measured using the Kaplan-Meier method and the log-rank test was used to compare outcomes. The Chi-Square test was used to compare relative therapy utilization. Results: 463 mCRPC patients received Dtx over the study period, including 83 (18%) for castrate sensitive disease. At Dtx progression, 262 patients (56%) were eligible for Cbz per TROPIC trial criteria, while only 162 (62%) of those were RP on first NAA. Post-Dtx OS was lower among TROPIC-eligible patients receiving Cbz compared to those receiving Abi or Enz (9.1 vs 14.2 months, p = 0.001). This OS difference was not demonstrated among RP patients (11.2 vs 12 months, p = 0.664). The most common reasons for TROPIC ineligibility were Dtx intolerance (13%), serious comorbidities (12%), unacceptable blood counts (11%), performance status (9%) or, for CARD ineligible patients, no progression within 12 months on first NAA (38%). The most common agent immediately post-Dtx was Abi (n = 180, 39%), followed by Enz (n = 129, 28%). Significantly fewer patients (n = 56, 12%) received Cbz immediately post-Dtx (p = 0.001), and 149 (32%) received Cbz overall. First line post-Dtx, 286 patients (62%) did not have a documented discussion about Cbz, and in 172 cases (38%) consideration of Cbz was never documented. Patient choice against Cbz chemotherapy was recorded in 15% of discussions. Conclusions: In a real-world cohort of mCRPC patients, Cbz was a significantly less common choice than Abi or Enz after progression on Dtx. In a majority of these cases, no first line discussion of Cbz was documented, and in documented discussions, patient choice was the driving factor in a minority. OS post-Dtx in patients who met TROPIC trial criteria was lower for those receiving Cbz, noting that, unlike in TROPIC, these patients also received NAAs. This OS difference was not seen in those who also progressed rapidly on first NAA. These data suggest ongoing hesitation towards Cbz use in mCRPC and support careful selection of patients who may obtain benefit.


2018 ◽  
Vol 21 (04) ◽  
pp. 1892001 ◽  
Author(s):  
GABRIEL FRAHM

In order to prove the third fundamental theorem of asset pricing for financial markets with infinite lifetime [G. Frahm (2016) Pricing and valuation under the real-world measure, International Journal of Theoretical and Applied Finance 19, 1650006], we shall assume that the discounted price process is locally bounded. Otherwise, some principal results developed by [F. Delbaen & W. Schachermayer (1997) The Banach space of workable contingent claims in arbitrage theory, Annales de l’Institut Henri Poincaré 1, 114–144] cannot be applied.


2018 ◽  
Vol 9 (6) ◽  
pp. 9
Author(s):  
Somayyeh Sabah

The present study considered the definitions of and differences between the concepts of task, exercise, and drill in the related literature on L2 practices. The concept of task has been commonly differentiated from the exercise and drill with respect to certain criteria. Task is, in the main, meaning-based, goal-oriented, and purposeful with a nonlinguistic and communicative outcome. Based on Long (2016), task demands the L2 use in the real world. Also, as said by Swales (1990), tasks are more relatable to the genre than the other two language practices. Moreover, the task performance endows L2 learners with higher degrees of freedom than the accomplishment of the exercise and drilling, respectively. Furthermore, this study examined and supported a systems-thinking perspective on task-based language teaching (TBLT) (Finch, 2001). However, considering the task phase as a complex system seems to be still under debate and thus needs more research and analysis.


Author(s):  
Xiaoyang Dong ◽  
Xiaoyun Wang

Since Knudsen and Rijmen proposed the known-key attacks in ASIACRYPT 2007, the open-key model becomes more and more popular. As the other component of the open-key model, chosen-key model was applied to the full attacks on AES-256 by Biryukov et al. in CRYPTO 2009. In this paper, we explore how practically the chosen-key model affect the real-world cryptography and show that 11-round generic Feistel-SP block cipher is no longer safe in its hashing modes (MMO and MP mode) as there exist collision attacks. This work improves Sasaki and Yasuda’s collision attacks by 2 rounds with two interesting techniques. First, we for the first time use the available degrees of freedom in the key to reduce the complexity of the inbound phase, which extends the previous 5-round inbound differential to a 7-round one. This results in a 12-round chosen-key distinguisher of Feistel-SP block cipher. Second, inspired by the idea of Wang et al., we construct collisions using two blocks. The rebound attack is used in the second compression function. We carefully balance the freedom of the first block and the complexity of the rebound attack, and extend the chosen-key attack to a 11-round collision attack on its hashing modes (MMO and MP mode).


2013 ◽  
Vol 16 (04) ◽  
pp. 1350024 ◽  
Author(s):  
TAKASHI YASUOKA

This paper consists of two parts. The first part aims to construct a LIBOR market model under the real-world measure (LMRW) according to the Jamshidian framework. Then, LIBOR rates, bond prices and a state price deflator are explicitly described under the LMRW. The second part aims to estimate the market price of risk, as well as to investigate the fundamental properties of real-world simulations. Then, the following subjects are theoretically investigated: (1) a method for determining the number of factors for real-world simulations, (2) the properties of real-world simulations, and (3) the value of the market price of risk in connection with sample data. Numerical examples demonstrate our results.


2020 ◽  
Vol 63 (6) ◽  
pp. 2016-2026
Author(s):  
Tamara R. Almeida ◽  
Clayton H. Rocha ◽  
Camila M. Rabelo ◽  
Raquel F. Gomes ◽  
Ivone F. Neves-Lobo ◽  
...  

Purpose The aims of this study were to characterize hearing symptoms, habits, and sound pressure levels (SPLs) of personal audio system (PAS) used by young adults; estimate the risk of developing hearing loss and assess whether instructions given to users led to behavioral changes; and propose recommendations for PAS users. Method A cross-sectional study was performed in 50 subjects with normal hearing. Procedures included questionnaire and measurement of PAS SPLs (real ear and manikin) through the users' own headphones and devices while they listened to four songs. After 1 year, 30 subjects answered questions about their usage habits. For the statistical analysis, one-way analysis of variance, Tukey's post hoc test, Lin and Spearman coefficients, the chi-square test, and logistic regression were used. Results Most subjects listened to music every day, usually in noisy environments. Sixty percent of the subjects reported hearing symptoms after using a PAS. Substantial variability in the equivalent music listening level (Leq) was noted ( M = 84.7 dBA; min = 65.1 dBA, max = 97.5 dBA). A significant difference was found only in the 4-kHz band when comparing the real-ear and manikin techniques. Based on the Leq, 38% of the individuals exceeded the maximum daily time allowance. Comparison of the subjects according to the maximum allowed daily exposure time revealed a higher number of hearing complaints from people with greater exposure. After 1 year, 43% of the subjects reduced their usage time, and 70% reduced the volume. A volume not exceeding 80% was recommended, and at this volume, the maximum usage time should be 160 min. Conclusions The habit of listening to music at high intensities on a daily basis seems to cause hearing symptoms, even in individuals with normal hearing. The real-ear and manikin techniques produced similar results. Providing instructions on this topic combined with measuring PAS SPLs may be an appropriate strategy for raising the awareness of people who are at risk. Supplemental Material https://doi.org/10.23641/asha.12431435


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