SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION

2019 ◽  
Vol 22 (08) ◽  
pp. 1950038
Author(s):  
J. LARS KIRKBY ◽  
SHI-JIE DENG
Keyword(s):  
Dynamic Programming ◽  
Cash Flows ◽  
General Purpose ◽  
Future Research ◽  
Unified Framework ◽  
Swing Options ◽  
Early Exercise ◽  
Swing Option ◽  
Financial Derivative ◽  
Exponential Lévy Models

Swing options are a type of exotic financial derivative which generalize American options to allow for multiple early-exercise actions during the contract period. These contracts are widely traded in commodity and energy markets, but are often difficult to value using standard techniques due to their complexity and strong path-dependency. There are numerous interesting varieties of swing options, which differ in terms of their intermediate cash flows, and the constraints (both local and global) which they impose on early-exercise (swing) decisions. We introduce an efficient and general purpose transform-based method for pricing discrete and continuously monitored swing options under exponential Lévy models, which applies to contracts with fixed rights clauses, as well as recovery time delays between exercise. The approach combines dynamic programming with an efficient method for calculating the continuation value between monitoring dates, and applies generally to multiple early-exercise contracts, providing a unified framework for pricing a large class of exotic derivatives. Efficiency and accuracy of the method are supported by a series of numerical experiments which further provide benchmark prices for future research.

THE ORIGINS OF MUSIC: INNATENESS, UNIQUENESS, AND EVOLUTION

2005 ◽  
Vol 23 (1) ◽  
pp. 29-59 ◽  
Author(s):  
JOSH McDERMOTT ◽  
MARC HAUSER
Keyword(s):  
Side Effects ◽  
Music Perception ◽  
Comparative Psychology ◽  
General Purpose ◽  
Adaptive Significance ◽  
Future Research ◽  
Relative Pitch ◽  
The Past ◽  
Evolution Of Music ◽  
Basic Features

THE ORIGINS and adaptive significance of music, long an elusive target, are now active topics of empirical study, with many interesting developments over the past few years. This article reviews research in anthropology, ethnomusicology, developmental and comparative psychology, neuropsychology, and neurophysiology that bears on questions concerning the origins and evolution of music. We focus on the hypothesis that music perception is constrained by innate, possibly human- and musicspecific principles of organization, as these are candidates for evolutionary explanations. We begin by discussing the distinct roles of different fields of inquiry in constraining claims about innateness and adaptation, and then proceed to review the available evidence. Although research on many of these topics is still in its infancy, at present there is converging evidence that a few basic features of music (relative pitch, the importance of the octave, intervals with simple ratios, tonality, and perhaps elementary musical preferences) are determined in part by innate constraints. At present, it is unclear how many of these constraints are uniquely human and specific to music. Many, however, are unlikely to be adaptations for music, but rather are probably side effects of more general-purpose mechanisms. We conclude by reiterating the significance of identifying processes that are innate, unique to humans, and specific to music, and highlight several possible directions for future research.

Statistical methods for unidirectional switch designs: Past, present, and future

2017 ◽  
Vol 27 (9) ◽  
pp. 2872-2882 ◽  
Author(s):  
Zhuozhao Zhan ◽  
Geertruida H de Bock ◽  
Edwin R van den Heuvel
Keyword(s):  
Statistical Methods ◽  
Large Scale ◽  
Sample Size Calculation ◽  
Complex Interventions ◽  
New Drugs ◽  
Control Treatment ◽  
Future Research ◽  
Control Group ◽  
Unified Framework ◽  
New Treatment

Clinical trials may apply or use a sequential introduction of a new treatment to determine its efficacy or effectiveness with respect to a control treatment. The reasons for choosing a particular switch design have different origins. For instance, they may be implemented for ethical or logistic reasons or for studying disease-modifying effects. Large-scale pragmatic trials with complex interventions often use stepped wedge designs (SWDs), where all participants start at the control group, and during the trial, the control treatment is switched to the new intervention at different moments. They typically use cross-sectional data and cluster randomization. On the other hand, new drugs for inhibition of cognitive decline in Alzheimer’s or Parkinson’s disease typically use delayed start designs (DSDs). Here, participants start in a parallel group design and at a certain moment in the trial, (part of) the control group switches to the new treatment. The studies are longitudinal in nature, and individuals are being randomized. Statistical methods for these unidirectional switch designs (USD) are quite complex and incomparable, and they have been developed by various authors under different terminologies, model specifications, and assumptions. This imposes unnecessary barriers for researchers to compare results or choose the most appropriate method for their own needs. This paper provides an overview of past and current statistical developments for the USDs (SWD and DSD). All designs are formulated in a unified framework of treatment patterns to make comparisons between switch designs easier. The focus is primarily on statistical models, methods of estimation, sample size calculation, and optimal designs for estimation of the treatment effect. Other relevant open issues are being discussed as well to provide suggestions for future research in USDs.

FINANCIAL DERIVATIVES - INTEREST RATE SWAP

2004 ◽  
Vol 10 (3-4) ◽  
pp. 161-168
Author(s):  
Zoran Ivanović ◽  
Elvis Mujačević
Keyword(s):  
Cash Flows ◽  
Basic Form ◽  
Over The Counter ◽  
Interest Rate Swap ◽  
Market Participants ◽  
Forward Contract ◽  
Financial Derivative ◽  
Future Cash Flows ◽  
Interest Payments ◽  
Rate Swap

Swap as a portfolio of forward contract is a financial derivative traded on the over-the-counter market. In its basic form, swap is based on the exchange of future cash flows between two market participants in accordance with the agreed terms. The cash flows that are exchanged are the interest payments and in some circumstances even the notional amount, and transactions are carried out in a period of two to thirty years. Swaps first appeared in 80's, and have evolved from back-to-back loans.

scholarly journals Lot-sizing problem with several production centers

2005 ◽  
Vol 25 (3) ◽  
pp. 479-492 ◽  
Author(s):  
Franklina Maria Bragion de Toledo ◽  
André Luís Shiguemoto
Keyword(s):  
Dynamic Programming ◽  
Lot Sizing ◽  
Dynamic Programming Algorithm ◽  
Production Capacity ◽  
Efficient Implementation ◽  
Programming Algorithm ◽  
Future Research ◽  
Production Environment ◽  
Lot Sizing Problem ◽  
Forward Dynamic Programming

In this paper, a case study is carried out concerning the lot-sizing problem involving a single item production planning in several production centers that do not present capacity constraints. Demand can be met with backlogging or not. This problem results from simplifying practical problems, such as the material requirement planning (MRP) system and also lot-sizing problems with multiple items and limited production capacity. First we propose an efficient implementation of a forward dynamic programming algorithm for problems with one single production center. Although this does not reduce its complexity, it has shown to be rather effective, according to computational tests. Next, we studied the problem with a production environment composed of several production centers. For this problem two algorithms are implemented, the first one is an extension of the dynamic programming algorithm for one production center and the second one is an efficient implementation of the first algorithm. Their efficiency are shown by computational testing of the algorithms and proposals for future research are presented.

scholarly journals Nurturing Grandchildren With Down Syndrome: A Qualitative Study on Grandparents’ Needs Using Digital Tools†

2021 ◽  
Vol 12 ◽  
Author(s):  
María C. Sánchez Gómez ◽  
Rocío Martín-Sevillano ◽  
María V. Martín-Cilleros ◽  
J. J. Mena Marcos ◽  
Francisco J. García-Peñalvo
Keyword(s):  
Down Syndrome ◽  
General Purpose ◽  
Future Research ◽  
Personal Perspective ◽  
Social Emotional ◽  
Individual Interviews ◽  
Open Questions ◽  
Future Research Directions ◽  
Qualitative Phenomenological ◽  
Negative Feelings

Grandparents who have grandchildren with disabilities are an underrepresented group in existing research related to the field. This qualitative phenomenological study’s general purpose is to analyze, from a personal perspective, the situations and needs of grandparents who have grandchildren with Down syndrome. The participants’ ages range from 65 to 85, and the ages of their grandchildren with Down syndrome range from 3 to 21 years. All participants had one grandchild with a disability, except for two, who each had two. A sociodemographic questionnaire was administered, and individual interviews were conducted, using open questions, through phone and/or video calls. An analysis of the participants’ speech was carried out, which implied the development of a system of meta-categories and categories. This analysis was developed manually, given the COVID-19 environment. The results indicate a substantial change from negative feelings caused by the knowledge of the diagnosis to feelings related to positive experiences expressed currently. The participants see themselves as a fundamental source of support (informal, instrumental, practical, social, emotional, and economic) for their families and, mainly, for their grandchildren with Down syndrome. A need for information and training was observed when the grandparents talked about first being informed of the diagnosis and their concerns about the future of these grandchildren and their siblings. They made social demands, such as greater government involvement or more significant opportunities to access resources and rights for their grandchildren. The results are discussed, as are possible future research directions.

scholarly journals Behavioural effects of temperature on ectothermic animals: unifying thermal physiology and behavioural plasticity

2016 ◽  
Author(s):  
Paul K. Abram ◽  
Guy Boivin ◽  
Joffrey Moiroux ◽  
Jacques Brodeur
Keyword(s):  
Future Research ◽  
Behavioural Plasticity ◽  
Behavioural Ecology ◽  
Behavioural Thermoregulation ◽  
Unified Framework ◽  
Behavioural Changes ◽  
Behavioural Effects ◽  
Effects Of Temperature ◽  
Kinetic Effects

AbstractTemperature imposes significant constraints on ectothermic animals, and these organisms have evolved numerous adaptations to respond to these constraints. While the impacts of temperature on the physiology of ectotherms have been extensively studied, there are currently no frameworks available that outline the multiple and often simultaneous pathways by which temperature can affect behaviour. Drawing from the literature on insects, we propose a unified framework that should apply to all ectothermic animals, generalizing temperature's behavioural effects into (1) Kinetic effects, resulting from temperature's bottom-up constraining influence on metabolism and neurophysiology over a range of timescales (from short-to long-term), and (2) Integrated effects, where the top-down integration of thermal information intentionally initiates or modifies a behaviour (behavioural thermoregulation, thermal orientation, thermosensory behavioural adjustments). We discuss the difficulty in distinguishing adaptive behavioural changes due to temperature from behavioural changes that are the products of constraints, and propose two complementary approaches to help make this distinction and class behaviours according to our framework: (i) behavioural kinetic null modeling and (ii) behavioural ecology experiments using temperature-insensitive mutants. Our framework should help to guide future research on the complex relationship between temperature and behaviour in ectothermic animals.

DESIGN AND VALUATION OF CORPORATE SECURITIES WITH STRATEGIC DEBT SERVICE AND ASYMMETRIC INFORMATION

1999 ◽  
Vol 02 (02) ◽  
pp. 201-219 ◽  
Author(s):  
YONGHUA PAN
Keyword(s):  
Asymmetric Information ◽  
Information Asymmetry ◽  
Risk Premium ◽  
High Growth ◽  
Cash Flows ◽  
Debt Service ◽  
Growth Potential ◽  
Unified Framework ◽  
Financing Decisions ◽  
Corporate Securities

This paper studies the effects of strategic debt service, asymmetric information and their interaction on the valuation of corporate securities and on corporate financing decisions. By introducing information asymmetry into a continuous-time setting, our model is able to integrate these two factors in a unified framework. Such a model allows for obtaining valuation results in a separating equilibrium. The basic results of this paper imply that the risk premium of debt could be partly contributed by information effect. This part of risk premium could be very significant for those good firms with a project which will produce much higher cash flows than what the market expects. We also find that a firm's financing decision depends on its primitives: firms are more apt to rely on equity if they have: (1) high growth potential, (2) riskier projects, (3) higher ratio of intangible assets to total assets and (4) lesser information asymmetry; firms would prefer debt, otherwise.

scholarly journals Social Security Benefit Valuation, Risk, and Optimal Retirement

Risks ◽  
2019 ◽  
Vol 7 (4) ◽  
pp. 124
Author(s):  
Yassmin Ali ◽  
Ming Fang ◽  
Pablo A. Arrutia Sota ◽  
Stephen Taylor ◽  
Xun Wang
Keyword(s):  
Social Security ◽  
Interest Rates ◽  
Term Structure ◽  
Principal Component ◽  
Disease Diagnosis ◽  
Cash Flows ◽  
Future Research ◽  
Demographic Groups ◽  
Numerical Studies ◽  
Future Research Directions

We develop valuation and risk techniques for the future benefits of a retiree who participates in the American Social Security program based on their chosen date of retirement, the term structure of interest rates, and forecasted life expectancy. These valuation methods are then used to determine the optimal retirement time of a beneficiary given a specific wage history and health profile in the sense of maximizing the present value of cash flows received during retirement years. We then examine how a number of risk factors including interest rates, disease diagnosis, and mortality risks impact benefit value. Specifically, we utilize principal component analysis in order to assess both interest rate and mortality risk. We then conduct numerical studies to examine how such risks range over distinct income and demographic groups and finally summarize future research directions.

Adjusting Thread Parallelism Dynamically to Accelerate Dynamic Programming with Irregular Workload Distribution on GPGPUs

2014 ◽  
Vol 6 (1) ◽  
pp. 1-20 ◽  
Author(s):  
Chao-Chin Wu ◽  
Jenn-Yang Ke ◽  
Heshan Lin ◽  
Syun-Sheng Jhan
Keyword(s):  
Dynamic Programming ◽  
Inventory Management ◽  
Optimization Problems ◽  
Optimization Technique ◽  
General Purpose ◽  
Processing Unit ◽  
Computing Power ◽  
Workload Distribution ◽  
The Difference ◽  
Level Parallelism

Dynamic Programming (DP) is an important and popular method for solving a wide variety of discrete optimization problems such as scheduling, string-editing, packaging, and inventory management. DP breaks problems into simpler subproblems and combines their solutions into solutions to original ones. This paper focuses on one type of dynamic programming called Nonserial Polyadic Dynamic Programming (NPDP). To run NPDP applications efficiently on an emerging General-Purpose Graphic Processing Unit (GPGPU), the authors have to exploit more parallelism to fully utilize the computing power of the hundreds of processing units in it. However, the parallelism degree varies significantly in different phases of the NPDP applications. To address the problem, the authors propose a method that can adjust the thread-level parallelism to provide a sufficient and steadier parallelism degree for different phases. If a phase has insufficient parallelism, the authors split threads into subthreads. On the other hand, the authors can limit the total number of threads in a phase by merging threads. The authors also examine the difference between the conventional problem of finding the minimum on a GPU and the NPDP-featured problem of finding the minimums of many independent sets on a GPU. Finally, the authors examine how to design an appropriate data structure to apply the memory coalescing optimization technique. The experimental results demonstrate our method can obtain the best speedup of 13.40 over the algorithm published previously.

scholarly journals Information Fusion for Multi-Source Material Data: Progress and Challenges

2019 ◽  
Vol 9 (17) ◽  
pp. 3473 ◽  
Author(s):  
Zhou ◽  
Hong ◽  
Jin
Keyword(s):  
Artificial Intelligence ◽  
Big Data ◽  
Data Fusion ◽  
Manufacturing Industry ◽  
Data Representation ◽  
Source Material ◽  
Future Research ◽  
Unified Framework ◽  
Open Problems ◽  
Material Data

The development of material science in the manufacturing industry has resulted in a huge amount of material data, which are often from different sources and vary in data format and semantics. The integration and fusion of material data can offer a unified framework for material data representation, processing, storage and mining, which can further help to accomplish many tasks, including material data disambiguation, material feature extraction, material-manufacturing parameters setting, and material knowledge extraction. On the other side, the rapid advance of information technologies like artificial intelligence and big data, brings new opportunities for material data fusion. To the best of our knowledge, the community is currently lacking a comprehensive review of the state-of-the-art techniques on material data fusion. This review first analyzes the special properties of material data and discusses the motivations of multi-source material data fusion. Then, we particularly focus on the recent achievements of multi-source material data fusion. This review has a few unique features compared to previous studies. First, we present a systematic categorization and comparison framework for material data fusion according to the processing flow of material data. Second, we discuss the applications and impact of recent hot technologies in material data fusion, including artificial intelligence algorithms and big data technologies. Finally, we present some open problems and future research directions for multi-source material data fusion.

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