EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL

2012 ◽  
Vol 15 (07) ◽  
pp. 1250050 ◽  
Author(s):  
SERGEI LEVENDORSKIĬ
Keyword(s):  
Financial Markets ◽  
Numerical Scheme ◽  
Empirical Studies ◽  
General Scheme ◽  
Error Tolerance ◽  
Heston Model ◽  
Standard Approach ◽  
European Options ◽  
The One ◽  
Better Than

We suggest a general scheme for improvement of FT-pricing formulas for European options and give efficient recommendations for the choice of the parameters of the numerical scheme, which allow for very accurate and fast calculations. The efficiency of the method stems from the properties of functions analytical in a strip, which were introduced to finance by Feng and Linetsky (2008). We demonstrate that an indiscriminate choice of parameters of a numerical scheme leads to an inaccurate pricing and calibration. As applications, we consider the Heston model and its generalization. For many parameter sets documented in empirical studies of financial markets, relative accuracy better than 0.01% can be achieved by summation of less than 10-20 terms even in the situations in which the standard approach requires more than 200. In some cases, the one-term formula produces an error of several percent, and the summation of two terms — less than 0.5%. Typically, 10 terms and fewer suffice to achieve the error tolerance of several percent and smaller.

Martin Shapiro: An Appreciation

The Forum ◽  
2016 ◽  
Vol 14 (2) ◽  
Author(s):  
R. Shep Melnick
Keyword(s):  
Institutional Environment ◽  
Empirical Studies ◽  
The Political ◽  
Public Officials ◽  
Thick Description ◽  
Past Half Century ◽  
The Us ◽  
The Matrix ◽  
The One ◽  
Better Than

AbstractOver the past half century no judicial politics scholar has been more respected or influential than Martin Shapiro. Yet it is hard to identify a school of thought one could call “Shapiroism.” Rather than offer convenient methodologies or grand theories, Shapiro provides rich empirical studies that show us how to think about the relationship between law and courts on the one hand and politics and governing on the other. Three key themes run through Shapiro’s impressive oevre. First, rather than study courts in isolation, political scientists should view them as “one government agency among many,” and seek to “integrate the judicial system in the matrix of government and politics in which it actually operates.” Law professors may understand legal doctrines better than political scientists, but we know (or should know) the rest of the political system better than they do. Second, although judges inevitably make political decisions, their institutional environment leads them to act differently from other public officials. Most importantly, their legitimacy rests on their perceived impartiality within the plaintiff-defendant-judge triad. The conflict between judges’ role as impartial arbiter and enforcer of the laws of the regime can never be completely resolved and places powerful constraints on their actions. Third, the best way to understand the complex relationship between courts and other elements of the regime is comparative analysis. Shapiro played a major role in resuscitating comparative law, especially in his work comparing the US and the EU. All this he did with a rare combination of thick description and crisp, jargon-free analysis, certainly a rarity the political science of our time.

Taiwan: International Cooperation in Fighting Financial Fraud

2000 ◽  
Vol 8 (1) ◽  
pp. 93-95
Author(s):  
Philip W. Ong
Keyword(s):  
Financial Crisis ◽  
Financial Markets ◽  
East Asia ◽  
Financial Fraud ◽  
South East Asia ◽  
Debt Ratio ◽  
Economic Base ◽  
International Media ◽  
The One ◽  
Better Than

The financial crisis that started in South‐East Asia is still making its sweeping power felt by many countries. Interestingly, located in the middle of the turmoil, Taiwan seems to have fared better than most of its neighbours. The performance of Taiwan's financial markets has therefore attracted the attention of the international media. Among commonly asked questions, the one most frequently raised has been how Taiwan could have weathered the storm relatively unscathed. Many reasons have been given, such as a strong economic base, private businesses' desire to maintain a low debt ratio, liquid and efficient financial markets, carefully managed capital flow control and so on.

Subjective Time Preference and Willingness to Pay for an Energy-Saving Durable Good

2001 ◽  
Vol 32 (3) ◽  
pp. 133-141 ◽  
Author(s):  
Gerrit Antonides ◽  
Sophia R. Wunderink
Keyword(s):  
Willingness To Pay ◽  
Energy Saving ◽  
Subjective Time ◽  
Durable Good ◽  
Discount Function ◽  
Hyperbolic Discount ◽  
The One ◽  
Two Parameter ◽  
Difference Effect ◽  
Better Than

Summary: Different shapes of individual subjective discount functions were compared using real measures of willingness to accept future monetary outcomes in an experiment. The two-parameter hyperbolic discount function described the data better than three alternative one-parameter discount functions. However, the hyperbolic discount functions did not explain the common difference effect better than the classical discount function. Discount functions were also estimated from survey data of Dutch households who reported their willingness to postpone positive and negative amounts. Future positive amounts were discounted more than future negative amounts and smaller amounts were discounted more than larger amounts. Furthermore, younger people discounted more than older people. Finally, discount functions were used in explaining consumers' willingness to pay for an energy-saving durable good. In this case, the two-parameter discount model could not be estimated and the one-parameter models did not differ significantly in explaining the data.

Exploring the Multidimensional Facets of Authoritarianism: Authoritarian Aggression and Social Dominance Orientation

2008 ◽  
Vol 67 (1) ◽  
pp. 51-60 ◽  
Author(s):  
Stefano Passini
Keyword(s):  
Social Dominance ◽  
Factor Model ◽  
Three Dimensional ◽  
Social Dominance Orientation ◽  
Model Fit ◽  
Regression Analyses ◽  
One Dimensional ◽  
Confirmatory Factor ◽  
The One ◽  
Better Than

The relation between authoritarianism and social dominance orientation was analyzed, with authoritarianism measured using a three-dimensional scale. The implicit multidimensional structure (authoritarian submission, conventionalism, authoritarian aggression) of Altemeyer’s (1981, 1988) conceptualization of authoritarianism is inconsistent with its one-dimensional methodological operationalization. The dimensionality of authoritarianism was investigated using confirmatory factor analysis in a sample of 713 university students. As hypothesized, the three-factor model fit the data significantly better than the one-factor model. Regression analyses revealed that only authoritarian aggression was related to social dominance orientation. That is, only intolerance of deviance was related to high social dominance, whereas submissiveness was not.

Handwriting Analysis and Personality Assessment

2000 ◽  
Vol 5 (1) ◽  
pp. 44-51 ◽  
Author(s):  
Peter Greasley
Keyword(s):  
Personality Traits ◽  
Personality Assessment ◽  
Personnel Selection ◽  
Empirical Studies ◽  
Handwriting Analysis ◽  
Recruitment Process ◽  
Academic Literature ◽  
Personnel Recruitment ◽  
The Subject ◽  
Better Than

It has been estimated that graphology is used by over 80% of European companies as part of their personnel recruitment process. And yet, after over three decades of research into the validity of graphology as a means of assessing personality, we are left with a legacy of equivocal results. For every experiment that has provided evidence to show that graphologists are able to identify personality traits from features of handwriting, there are just as many to show that, under rigorously controlled conditions, graphologists perform no better than chance expectations. In light of this confusion, this paper takes a different approach to the subject by focusing on the rationale and modus operandi of graphology. When we take a closer look at the academic literature, we note that there is no discussion of the actual rules by which graphologists make their assessments of personality from handwriting samples. Examination of these rules reveals a practice founded upon analogy, symbolism, and metaphor in the absence of empirical studies that have established the associations between particular features of handwriting and personality traits proposed by graphologists. These rules guide both popular graphology and that practiced by professional graphologists in personnel selection.

Designing Women

2018 ◽  
Author(s):  
J. E. Smyth
Keyword(s):  
Working Women ◽  
Costume Design ◽  
Creative Force ◽  
Women's Fashion ◽  
The One ◽  
Studio Era ◽  
Average Woman ◽  
Better Than

During the early 1940s, journalists observed that after years of men controlling women’s fashion, Hollywood had become “a fashion center in which women designers are getting to be a big power.” In a town where “the working girl is queen,” it was women who really knew how to dress working women. Edith Head’s name dominates Hollywood costume design. Though a relatively poor sketch artist who refused to sew in public, Head understood what the average woman wanted to wear and knew better than anyone how to craft her image as the-one-and-only Edith Head. However, she was one of many women who designed Hollywood glamour in the studio era. This chapter juxtaposes Head’s career with that of a younger, fiercely independent designer who would quickly upstage Head as a creative force. In many senses, Dorothy Jeakins’s postwar career ascent indicated the waning of the Hollywood system and the powerful relationship between female designers, stars, and fans.

A Note Concerning the Dynamics of Government Bond Yields

2021 ◽  
pp. 056943452098827
Author(s):  
Tanweer Akram
Keyword(s):  
Interest Rate ◽  
Financial Markets ◽  
Yield Curve ◽  
Empirical Studies ◽  
State Theory ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Government Bonds

Keynes argued that the central bank can influence the long-term interest rate on government bonds and the shape of the yield curve mainly through the short-term interest rate. Several recent empirical studies that examine the dynamics of government bond yields not only substantiate Keynes’s view that the long-term interest rate responds markedly to the short-term interest rate but also have relevance for macroeconomic theory and policy. This article relates Keynes’s discussions of money, the state theory of money, financial markets, investors’ expectations, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Investors’ psychology, herding behavior in financial markets, and uncertainty about the future reinforce the effects of the short-term interest rate and the central bank’s monetary policy actions on the long-term interest rate. JEL classifications: E12; E40; E43; E50; E58; E60; F30; G10; G12; H62; H63

scholarly journals A Business Model Framework to Characterize Digital Multisided Platforms

2020 ◽  
Vol 6 (1) ◽  
pp. 10 ◽  
Author(s):  
Marco Ardolino ◽  
Nicola Saccani ◽  
Federico Adrodegari ◽  
Marco Perona
Keyword(s):  
Information And Communication Technologies ◽  
Assessment Tool ◽  
Empirical Studies ◽  
Communication Technologies ◽  
Model Framework ◽  
Recent Developments ◽  
Information And Communication ◽  
Multiple Case ◽  
The One

Businesses grounded upon multisided platforms (MSPs) are found in a growing number of industries, thanks to the recent developments in Internet and digital technologies. Digital MSPs enable multiple interactions among users of different sides through information and communication technologies. The understanding of the characteristics and constituents of MSPs is fragmented along different literature streams. Moreover, very few empirical studies have been carried out to date. In order to fill this gap, this paper presents a three-level framework that describes a digital MSP. The proposed framework is based on literature analysis and multiple case study. On the one hand, the framework can be used to describe MSP as it provides an operationalization of the concept through the identification of specific dimensions, variables and items; on the other hand, it can be used as an assessment tool by practitioners, as exemplified by the three empirical applications presented in this paper.

Development of a Single-Code/Default Coding Strategy in Pigeons

2000 ◽  
Vol 11 (3) ◽  
pp. 261-264 ◽  
Author(s):  
Tricia S. Clement ◽  
Thomas R. Zentall
Keyword(s):  
Conditional Discrimination ◽  
The Other ◽  
Matching Accuracy ◽  
Efficient Coding ◽  
Coding Strategy ◽  
One To One ◽  
Retention Intervals ◽  
The Many ◽  
The One ◽  
Better Than

We tested the hypothesis that pigeons could use a cognitively efficient coding strategy by training them on a conditional discrimination (delayed symbolic matching) in which one alternative was correct following the presentation of one sample (one-to-one), whereas the other alternative was correct following the presentation of any one of four other samples (many-to-one). When retention intervals of different durations were inserted between the offset of the sample and the onset of the choice stimuli, divergent retention functions were found. With increasing retention interval, matching accuracy on trials involving any of the many-to-one samples was increasingly better than matching accuracy on trials involving the one-to-one sample. Furthermore, following this test, pigeons treated a novel sample as if it had been one of the many-to-one samples. The data suggest that rather than learning each of the five sample-comparison associations independently, the pigeons developed a cognitively efficient single-code/default coding strategy.

Dreams of Truck Drivers: A Test of the Continuity Hypothesis of Dreaming

2005 ◽  
Vol 25 (2) ◽  
pp. 179-186 ◽  
Author(s):  
Michael Schredl ◽  
Arthur Funkhouser ◽  
Nicole Arn
Keyword(s):  
Empirical Studies ◽  
Truck Drivers ◽  
The Other ◽  
Continuity Hypothesis ◽  
Future Studies ◽  
Daytime Activity ◽  
Close Relationship ◽  
The One ◽  
Dream Emotions ◽  
The Relationship

Empirical studies largely support the continuity hypothesis of dreaming. The present study investigated the frequency and emotional tone of dreams of truck drivers. On the one hand, the findings of the present study partly support the continuity regarding the time spent with driving/being in the truck and driving dreams and, on the other hand, a close relationship was found between daytime mood (feelings of stress, job satisfaction) and dream emotions, i.e., different dream characteristics were affected by different aspects of daytime activity. The results, thus, indicate that it is necessary to define very clearly how this continuity is to be conceptualized. The approach of formulating a mathematical model (cf. [1]) should be adopted in future studies in order to specify the factors and their magnitude in the relationship between waking and dreaming.

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