Option Hedging with Smooth Market Impact

2016 ◽  
Vol 02 (01) ◽  
pp. 1650002 ◽  
Author(s):  
Robert Almgren ◽  
Tianhui Michael Li
Keyword(s):  
Discrete Time ◽  
Market Impact ◽  
Large Collection ◽  
Public Markets ◽  
The Public ◽  
Option Hedging ◽  
A Value ◽  
First Case ◽  
Black Scholes ◽  
Optimal Hedge

We consider intraday hedging of an option position, for a large trader who experiences temporary and permanent market impact. We formulate the general model including overnight risk, and solve explicitly in two cases which we believe are representative. The first case is an option with approximately constant gamma: the optimal hedge trades smoothly towards the classical Black–Scholes delta, with trading intensity proportional to instantaneous mishedge and inversely proportional to illiquidity. The second case is an arbitrary non-linear option structure but with no permanent impact: the optimal hedge trades toward a value offset from the Black–Scholes delta. We estimate the effects produced on the public markets if a large collection of traders all hedge similar positions. We construct a stable hedge strategy with discrete time steps.

Assessment of COVID-19 Related Misinformation among the Community in Basrah, Iraq

2020 ◽  
Vol 2 (CSI) ◽  
pp. 12-18
Author(s):  
Ali Al-Rubaye ◽  
Dhurgham Abdulwahid ◽  
Aymen Albadran ◽  
Abbas Ejbary ◽  
Laith Alrubaiy
Keyword(s):  
Cross Sectional Study ◽  
Bachelor's Degree ◽  
Public Knowledge ◽  
Age Group ◽  
Cross Sectional ◽  
Educational Levels ◽  
The Public ◽  
First Case ◽  
Significant Difference ◽  
Central District

Background: There has been a rapid rise in cases of COVID-19 infection and its mortality rate since the first case reported in February 2020. This led to the rampant dissemination of misinformation and rumors about the disease among the public. Objectives: To investigate the scale of public misinformation about COVID-19 in Basrah, Iraq. Methods: A cross-sectional study based on a 22-item questionnaire to assess public knowledge and understanding of information related to the COVID-19 infection. Results: A total of 483 individuals completed the questionnaire. The most frequent age group was 26–35 years (28.2%); there were 280 (58%) males and 203 (42%) females. Of the participants, 282 (58.4%) were with an education level below the Bachelor’s degree, 342 (70.8%) were married, and 311 (64%) were living in districts in Basra other than the central district. Overall, 50.8% (11.8/ 22 * 100%) of individuals had the correct information regarding COVID-19. There was a significant association between the level of COVID-19 related misinformation and participants’ educational levels and occupation (p <0.05). However, there was no significant difference found across sex, age group, marital state, and area of residence. Conclusions: Misinformation related to COVID-19 is widely spread and has to be addressed in order to control the pandemic. Keywords: COVID-19, misinformation, knowledge, Iraq

scholarly journals Plaque erosion causing ST-elevation myocardial infarction after consumption of cannabis and N2O in a 27-year old man: a case report

2021 ◽  
Vol 21 (1) ◽  
Author(s):  
Sarah Bär ◽  
Fabien Praz ◽  
Lorenz Räber
Keyword(s):  
Myocardial Infarction ◽  
Case Report ◽  
Adverse Effects ◽  
Cardiovascular Effects ◽  
Drug Eluting Stent ◽  
Culprit Lesion ◽  
Vascular Events ◽  
The Public ◽  
Plaque Erosion ◽  
First Case

Abstract Background The recreational drugs cannabis and nitrous oxide (N2O) are known for pro-atherogenic effects and are associated with an elevated risk of myocardial infarction. These cardiovascular effects might be underestimated by the public. Culprit-lesion composition of myocardial infarctions associated with cannabis and N2O has been unknown so far. This case report aims to raise the awareness of the adverse cardiovascular effects of cannabis and N2O and reports, for the first time, optical coherence tomography (OCT) findings of the culprit lesion. Case presentation This is a case report of a 27-year old man with anterior ST-segment-elevation myocardial infarction (STEMI) after intoxication with cannabis and N2O. Coronary angiography and OCT revealed plaque erosion with subsequent subtotal thrombotic occlusion of the left anterior descending artery that was successfully treated with 1 drug-eluting stent. The patient was symptom free at 6 months follow-up and had been able to abstain from drug consumption. Conclusions This is the first case to demonstrate the association between cannabis and N2O abuse and plaque erosion on OCT in a young man with STEMI. In contrast to smoking, whose adverse effects are well-known, the cardiovascular effects of cannabis and N2O might be underestimated. These adverse effects should gain more awareness in the public to prevent early vascular events in young adults.

scholarly journals Tetrarhynchus erinaceus van Beneden. I. Structure of larva and adult worm

Parasitology ◽  
1911 ◽  
Vol 4 (4) ◽  
pp. 364-415 ◽  
Author(s):  
James Johnstone
Keyword(s):  
Public Health ◽  
Adult Worm ◽  
Alimentary Canal ◽  
Toxic Substances ◽  
Human Food ◽  
Public Markets ◽  
The Public ◽  
Precise Nature ◽  
Peculiar Nature ◽  
Edible Fish

My attention was first directed to this Cestode in 1906 when I was asked to examine several specimens of edible fish which had been exposed for sale in the public markets and had been condemned as human food on account of the presence of obvious, intrusive bodies in the flesh. In three of these cases the muscles of the flesh of the fishes—a Halibut, a Megrim and a Hake—contained cysts which enclosed the larvae of a Tetrarhynchid, and on examination the latter was identified as T. erinaceus from the peculiar nature of the armature of the proboscides. In another case the wall of the stomach of a Halibut was also infected with the same larvae. Acting on an obsolete principle of Border Law the Fish Inspectors promptly condemned the fishes and then caused them to be examined. I do not think there was any valid reason for the condemnation of the articles of food, for I can find no reference in the literature to the presence of Tetrarhynchids in the human alimentary canal, and there does not appear to be any question of a possible communication of a parasite by the consumption, as food, of such infected flesh. Further the number of larvae present was far too few to lead to any emaciation of the fish, or to the likelihood of the production of toxic substances in the flesh of the animal. Nevertheless the Inspectors probably acted in the interests of the public health in condemning such articles of food as contained obvious cyst-like structures in the flesh, as to the precise nature of which they were ignorant, since there is always the possibility that these bodies might be detrimental to the health of those eating them.

Value-at-Risk and Expected Shortfall approaches for option premiums and the probability of default estimation based on ARMA models

2021 ◽  
Vol 57 (3) ◽  
pp. 126
Author(s):  
Nikolai Berzon
Keyword(s):  
Time Series ◽  
Option Pricing ◽  
Discrete Time ◽  
Value At Risk ◽  
Probability Of Default ◽  
Pricing Models ◽  
Arma Process ◽  
Underlying Asset ◽  
Black Scholes

The need to address the issue of risk management has given rise to a number of models for estimation the probability of default, as well as a special tool that allows to sell credit risk – a credit default swap (CDS). From the moment it appeared in 1994 until the crisis of 2008, that the CDS market was actively growing, and then sharply contracted. Currently, there is practically no CDS market in emerging economies (including Russia). This article is to improve the existing CDS valuation models by using discrete-time models that allow for more accurate assessment and forecasting of the selected asset dynamics, as well as new option pricing models that take into account the degree of risk acceptance by the option seller. This article is devoted to parametric discrete-time option pricing models that provide more accurate results than the traditional Black-Scholes continuous-time model. Improvement in the quality of assessment is achieved due to three factors: a more detailed consideration of the properties of the time series of the underlying asset (in particular, autocorrelation and heavy tails), the choice of the optimal number of parameters and the use of Value-at-Risk approach. As a result of the study, expressions were obtained for the premiums of European put and call options for a given level of risk under the assumption that the return on the underlying asset follows a stationary ARMA process with normal or Student&apos;s errors, as well as an expression for the credit spread under similar assumptions. The simplicity of the ARMA process underlying the model is a compromise between the complexity of model calibration and the quality of describing the dynamics of assets in the stock market. This approach allows to take into account both discreteness in asset pricing and take into account the current structure and the presence of interconnections for the time series of the asset under consideration (as opposed to the Black–Scholes model), which potentially allows better portfolio management in the stock market.

scholarly journals Barcelona food retailing and public markets, 1876–1936

Urban History ◽  
2015 ◽  
Vol 43 (3) ◽  
pp. 454-475 ◽  
Author(s):  
NADIA FAVA ◽  
MANEL GUÀRDIA ◽  
JOSÉ LUIS OYÓN
Keyword(s):  
Food Retailing ◽  
Public Markets ◽  
The Public ◽  
System A ◽  
Urban Markets ◽  
The Everyday ◽  
Kinship Relations ◽  
Food Market ◽  
Nineteenth And Twentieth Centuries

ABSTRACTThis article is a contribution to comparative research between specific urban markets trajectories in the nineteenth and twentieth centuries and it aims to juxtapose southern European food market experiences, particularly the Barcelona case, with west European ones. Like other big cities in southern and central Europe, Barcelona consolidated a sturdy polycentric system of district markets between 1876 and 1936, just when such markets were beginning to decline in ‘first comers’ cities of Britain and France. In the inter-war period, the market halls of southern European cities played a prominent role in the everyday food trade and as functional and socializing centres in neighbourhoods. They were poles of dense residential and kinship relations for stall vendors, especially women vendors, and foci of a large part of the food retailing business in many neighbourhoods. Barcelona's particular historical circumstances made the public covered market system a fundamental element of neighbourhood commerce and a long-term urban asset.

scholarly journals Modelling and analysis of COVID-19 epidemic in India

2020 ◽  
Author(s):  
Alok Tiwari
Keyword(s):  
Public Health ◽  
Doubling Time ◽  
Single Case ◽  
World Health Organisation ◽  
Public Health Emergency ◽  
Positive Case ◽  
World Health ◽  
The Public ◽  
First Case ◽  
The World

ABSTRACTCOVID-19 epidemic is declared as the public health emergency of international concern by the World Health Organisation in the second week of March 2020. This disease originated from China in December 2019 has already caused havoc around the world, including India. The first case in India was reported on 30th January 2020, with the cases crossing 6000 on the day paper was written. Complete lockdown of the nation for 21 days and immediate isolation of infected cases are the proactive steps taken by the authorities. For a better understanding of the evolution of COVID-19 in the country, Susceptible-Infectious-Quarantined-Recovered (SIQR) model is used in this paper. It is predicted that actual infectious population is ten times the reported positive case (quarantined) in the country. Also, a single case can infect 1.55 more individuals of the population. Epidemic doubling time is estimated to be around 4.1 days. All indicators are compared with Brazil and Italy as well. SIQR model has also predicted that India will see the peak with 22,000 active cases during the last week of April followed by reduction in active cases. It may take complete July for India to get over with COVID-19.

scholarly journals The Impact of ‘Stay At Home’ Orders on Emergency Room Admissions

2020 ◽  
Vol 18 (3) ◽  
pp. 165-169
Author(s):  
Abdullah Osman Kocak ◽  
◽  
Sinem Dogruyol ◽  
Ilker Akbas ◽  
Bugra Kerget ◽  
...  
Keyword(s):  
Emergency Room ◽  
Retrospective Cohort ◽  
Geriatric Patients ◽  
Demographic Data ◽  
Admission Diagnosis ◽  
The Public ◽  
Hospitalization Rates ◽  
First Case ◽  
Novel Coronavirus ◽  
The Impact

Introduction. The 2019-novel-coronavirus (2019-nCoV) outbreak has become a common problem for the whole world. Aim. To investigate the impact of the 2019-nCoV pandemic period in our country on emergency room admissions. Materials and methods. The study was designed as a retrospective cohort. The first case of pneumonia infected with nCoV in our country was diagnosed on March 11, 2020. Considering the date of March 11, 2020, emergency room admissions for two periods of 7 days were investigated, pre-COVID-19 and COVID19. Demographic data, admission diagnosis, vital findings, stay times in emergency room, terminations and emergency department mortality examined. A group of ‘geriatric’ patient populations were created to examine the admission characteristics of patients aged-65 and over. Results. The 3466 patients included in the study. The average number of daily admissions was significantly higher in the pre-COVID-19 period (350.4 ± 54.5), compared to the COVID-19 period (144.7 ± 20.2, p=0001). While the proportion of cardiac- caused admissions increased during the COVID period, the proportion of gastrointestinal-induced admissions decreased (p<0001). Hospitalization rates for both adult and geriatric patients increased during the COVID period (p<0001). Conclusion. Despite all the negativity caused by the outbreak, this period has been one in which the public is aware of unnecessary emergency room which has been subsequently lessened.

scholarly journals Corruption Crime Eradication by Corruption Eradication Commission Through Red-handed Catch Operation on Bribery Action

2021 ◽  
Vol 13 (2) ◽  
pp. 319-329
Author(s):  
Kamaluddin Abbas
Keyword(s):  
Subject Matter ◽  
Action Control ◽  
The State ◽  
Financial Loss ◽  
Government Officials ◽  
The Public ◽  
A Value ◽  
The Subject ◽  
The Government ◽  
Fundamental Consideration

The government has made many laws and regulations, but corruption issues cannot yet be controlled. Police and Prosecuting Attorney Institutions have not yet functioned effectively and efficiently in eradicating corruption. Therefore, the public hopes Komisi Pemberantasan Korupsi (KPK)/the Corruption Eradication Commission eliminates the crime. KPK is considerably appreciated by the public due to Operasi Tangkap Tangan (OTT)/Red-handed Catch Operation to many government officials involved in bribery action, but the subject matter thereof is whether the OTT is in line with the fundamental consideration of KPK founding pursuant to Law Number 30 of 2002 as updated by the Law Number 19 of 2019 in order to increase the eradication of corruption crime causing the state's financial loss with respect to people welfare particularly KPK powers pursuant to the provision of Article 11 thereof, among others, specifying that KPK shall be authorized to conduct inquiry, investigation and prosecution on corruption crime related to the state financial loss of at least Rp 1,000,000,000 but in fact many OTTs performed by KPK have a value of hundred million Rupiah only and even there are any cases below Rp 100,000,000.-, and bribery action control through OTT being more dominant if compared to the state's financial corruption is not in line with the primary consideration of KPK founding, and similarly the OTT below 1 billion Rupiah doesn't conform to the provision of Article 11 thereof.

scholarly journals Public Policies for Procurement under COVID19

2021 ◽  
Vol 1 (3) ◽  
pp. 9-36
Author(s):  
Luís Valadares Tavares ◽  
Pedro Arruda
Keyword(s):  
Comparative Analysis ◽  
Comparative Study ◽  
Public Procurement ◽  
Public Policies ◽  
European Directives ◽  
Public Markets ◽  
The Public ◽  
Public Contracting ◽  
The Comparative Study ◽  
Selection Of

Public procurement is a main issue in the frontline of Governments fighting COVID 19 pandemic as the need for additional and urgent acquisitions as well as the need to consolidate the supply chains and to promote sustainable and innovative procurement have been a source of deep changes and main challenges disturbing public markets and invalidating several assumptions of the traditional public contracting. In this paper, the development of appropriate public policies to cope with these challenges is studied following the approach suggested by several authors and including four stages: a Stage on Facts and Issues where the main challenges and conditions are studied, the Options Stage to describe which polices and procedures can be adopted, a Values Stage stating the main values to be pursued and, finally, a Policies Stage including the selection of the recommended policies. The analysis of the challenges and facts includes the study of a taxonomy of short and longer term needs and the available options are based on the comparative study of procedures ruled by the European Directives on Public Procurement approved on 2014. The major values to be respected include the principle of competition which is a major institutional principle of the European Treaty and of the Directives as well as the goal of promoting sustainable and innovative public procurement. Several indicators are suggested to describe the application of the public procurement policies adopted across EU and their comparative analysis is presented using the TED data for contracts concerning COVID 19. The case of Portugal is discussed and final remarks about the recommended public policies are also included herein.

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