Competitively-Issued Convertible Bank Notes in a Theory of Finance: Earl Thompson Meets Fischer Black

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Joshua R. Hendrickson
Keyword(s):  
Incomplete Markets ◽  
Competitive Equilibrium ◽  
Monetary Theory ◽  
Complete Markets ◽  
Macroeconomic Theory ◽  
Black Scholes ◽  
Positive Rate ◽  
Lack Of Commitment ◽  
The Relationship ◽  
Bank Notes

Abstract In this paper, I show the validity of and the relationship between two previously unrelated claims in monetary theory. The first claim, made by Earl Thompson, is that privately-issued bank notes pay a positive rate of return in a competitive equilibrium. The second claim, made by Fischer Black, is that it is possible to have a gold standard in which the gold reserves of the central bank are near zero. I show that both of these claims are correct under the assumption of complete markets and perfect commitment. The link between these claims is the Black-Scholes equation applied to convertible bank notes. In commodity-based monetary systems, bank notes are perpetual American options. I extend the model to consider the implications of a lack of commitment on the part of the bank and incomplete markets. I show that both arguments break down when banks lack commitment to redemption or markets are incomplete. I conclude with implications for macroeconomic theory.

scholarly journals A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS

2000 ◽  
Vol 03 (01) ◽  
pp. 1-24 ◽  
Author(s):  
ERIK AURELL ◽  
ROBERTO BAVIERA ◽  
OLA HAMMARLID ◽  
MAURIZIO SERVA ◽  
ANGELO VULPIANI
Keyword(s):  
Incomplete Markets ◽  
Large Deviation ◽  
General Situation ◽  
General Criterion ◽  
Complete Markets ◽  
Large Deviation Theory ◽  
Monte Carlo Computation ◽  
Black Scholes ◽  
Theory Approximation ◽  
Deviation Theory

We introduce and discuss a general criterion for the derivative pricing in the general situation of incomplete markets, we refer to it as the No Almost Sure Arbitrage Principle. This approach is based on the theory of optimal strategy in repeated multiplicative games originally introduced by Kelly. As particular cases we obtain the Cox–Ross–Rubinstein and Black–Scholes in the complete markets case and the Schweizer and Bouchaud–Sornette as a quadratic approximation of our prescription. Technical and numerical aspects for the practical option pricing, as large deviation theory approximation and Monte Carlo computation are discussed in detail.

Ascertaining an efficient eligibility cut-off for extended Medicare items for eating disorders

2021 ◽  
pp. 103985622110286
Author(s):  
Tracey Wade ◽  
Jamie-Lee Pennesi ◽  
Yuan Zhou
Keyword(s):  
Eating Disorders ◽  
Eating Disorder ◽  
False Positive Rate ◽  
Area Under The Curve ◽  
Rate Sensitivity ◽  
True Positive Rate ◽  
Eating Disorder Examination Questionnaire ◽  
Eating Disorder Examination ◽  
Positive Rate ◽  
The Relationship

Objective: Currently eligibility for expanded Medicare items for eating disorders (excluding anorexia nervosa) require a score ⩾ 3 on the 22-item Eating Disorder Examination-Questionnaire (EDE-Q). We compared these EDE-Q “cases” with continuous scores on a validated 7-item version of the EDE-Q (EDE-Q7) to identify an EDE-Q7 cut-off commensurate to 3 on the EDE-Q. Methods: We utilised EDE-Q scores of female university students ( N = 337) at risk of developing an eating disorder. We used a receiver operating characteristic (ROC) curve to assess the relationship between the true-positive rate (sensitivity) and the false-positive rate (1-specificity) of cases ⩾ 3. Results: The area under the curve showed outstanding discrimination of 0.94 (95% CI: .92–.97). We examined two specific cut-off points on the EDE-Q7, which included 100% and 87% of true cases, respectively. Conclusion: Given the EDE-Q cut-off for Medicare is used in conjunction with other criteria, we suggest using the more permissive EDE-Q7 cut-off (⩾2.5) to replace use of the EDE-Q cut-off (⩾3) in eligibility assessments.

scholarly journals An Investigation of the Relationship between Cyniclomyces guttulatus and Rabbit Diarrhoea

Pathogens ◽  
2021 ◽  
Vol 10 (7) ◽  
pp. 880
Author(s):  
Tuanyuan Shi ◽  
Xinlei Yan ◽  
Hongchao Sun ◽  
Yuan Fu ◽  
Lili Hao ◽  
...  
Keyword(s):  
New Zealand ◽  
Body Weight Gain ◽  
Animal Experiments ◽  
Zealand White Rabbit ◽  
Opportunistic Pathogen ◽  
Large Numbers ◽  
New Zealand White Rabbits ◽  
Positive Rate ◽  
Relationship Of ◽  
The Relationship

Cyniclomyces guttulatus is usually recognised as an inhabitant of the gastrointestinal (GI) tract in rabbits. However, large numbers of C. guttulatus are often detected in the faeces of diarrhoeic rabbits. The relationship of C. guttulatus with rabbit diarrhoea needs to be clearly identified. In this study, a C. guttulatus Zhejiang strain was isolated from a New Zealand White rabbit with severe diarrhoea and then inoculated into SPF New Zealand white rabbits alone or co-inoculated with Eimeriaintestinalis, another kind of pathogen in rabbits. Our results showed that the optimal culture medium pH and temperature for this yeast were pH 4.5 and 40–42 °C, respectively. The sequence lengths of the 18S and 26S ribosomal DNA fragments were 1559 bp and 632 bp, respectively, and showed 99.8% homology with the 18S ribosomal sequence of the NRRL Y-17561 isolate from dogs and 100% homology with the 26S ribosomal sequence of DPA-CGR1 and CGDPA-GP1 isolates from rabbits and guinea pigs, respectively. In animal experiments, the C. guttulatus Zhejiang strain was not pathogenic to healthy rabbits, even when 1 × 108 vegetative cells were used per rabbit. Surprisingly, rabbits inoculated with yeast showed a slightly better body weight gain and higher food intake. However, SPF rabbits co-inoculated with C. guttulatus and E. intestinalis developed more severe coccidiosis than rabbits inoculated with C. guttulatus or E. intestinalis alone. In addition, we surveyed the prevalence of C. guttulatus in rabbits and found that the positive rate was 83% in Zhejiang Province. In summary, the results indicated that C. guttulatus alone is not pathogenic to healthy rabbits, although might be an opportunistic pathogen when the digestive tract is damaged by other pathogens, such as coccidia.

scholarly journals Government Debt Management: The Long and the Short of It

2018 ◽  
Vol 86 (6) ◽  
pp. 2554-2604 ◽  
Author(s):  
Elisa Faraglia ◽  
Albert Marcet ◽  
Rigas Oikonomou ◽  
Andrew Scott
Keyword(s):  
Transaction Costs ◽  
Incomplete Markets ◽  
Dominant Role ◽  
Global Solutions ◽  
Debt Management ◽  
Computational Method ◽  
Complete Markets ◽  
Market Models ◽  
Multiple Assets ◽  
Over Time

Abstract Standard optimal Debt Management (DM) models prescribe a dominant role for long bonds and advocate against issuing short bonds. They require very large positions in order to complete markets and assume each period that governments repurchase all outstanding bonds and reissue (r/r) new ones. These features of DM are inconsistent with U.S. data. We introduce incomplete markets via small transaction costs which serves to make optimal DM more closely resemble the data : r/r are negligible, short bond issuance substantial and persistent and short and long bonds positively co-vary. Intuitively, long bonds help smooth taxes over states and short bonds over time. Solving incomplete market models with multiple assets is challenging so a further contribution of this article is introducing a novel computational method to find global solutions.

scholarly journals The Black-Scholes Model Guideline For Options Course As Taught At Notre Dame University - Lebanon

2011 ◽  
Vol 4 (1) ◽  
Author(s):  
Viviane Y. Naimy
Keyword(s):  
Option Price ◽  
Stochastic Calculus ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Calculus I ◽  
Relationship Of ◽  
The Relationship

This paper presents the methodology used for Notre Dame University’s finance students to explain and explore the Black-Scholes model without going through the complexity of mathematics to model random movements or through stochastic calculus. I will name and develop the steps that I follow in order to allow students to properly use the Black-Scholes model and to understand the relationship of the model’s inputs to the option price while monitoring the risk via delta and gamma hedging.

scholarly journals LA TEORIA MONETARIA DELL’ILLUMINISMO LOMBARDO

2011 ◽  
pp. 193-240
Author(s):  
Alberto Quadrio Curzio ◽  
Roberto Scazzieri
Keyword(s):  
Political Economy ◽  
Monetary Policy ◽  
Local Context ◽  
Monetary Theory ◽  
Policy Proposal ◽  
Monetary Systems ◽  
History Of ◽  
Cesare Beccaria ◽  
Civil Laws ◽  
The Relationship

The Monetary Theory of the Lombard Enlightenment. The relationship. between economic arrangements and administrative decisions is at the core of the contributions of the Lombard economists of the eighteenth century, and it is also the main focus of this essay. Here, we wish to emphasize the importance of the history of ideas and of the history of facts in view of theory formulation and policy proposal within a framework of political economy. Theory must serve, together with history, to the governance of institutions aimed at the orderly working of economies and markets. The relationship. between economics and administration is at the root of the Milanese discussions on monetary policy that took place in the 1760s, and to which both Cesare Beccaria and Pietro Verri contributed. The interest of these discussions is twofold. On the one hand, as John Hicks pointed out, monetary disturbances throw light on the nature of money and on the problems monetary theory must address in moving from one context to another. On the other hand, monetary disturbances are important in highlighting the linkages between monetary theory and the governance of money in specific historical contexts. The writings of the Lombard Enlightenment economists are a case in point. For the Milanese monetary controversy highlights important theoretical issues concerning the governance of ‘imaginary money’, while also emphasizing the specific features of a context characterized by the integration between monetary and physical transfers on the international, and particularly European, scale. This controversy calls attention to monetary disturbances as triggers of change in monetary theory, but it also calls attention to the role of historical and institutional context in determining whether a given monetary policy may be effective or not. Monetary crises may trigger important developments in theory. At the same time, the crises highlight the objective character of structural conditions, which cannot be either unwillingly disregarded or deliberately violated. It is the task of the political economist to identify ‘a correct set of “economic laws” through the analysis of phenomena’, and outline on their basis ‘civil laws for the governance of the economy’(Quadrio Curzio). Section one of this essay (‘Monetary Disorders and Monetary Theory: A Premise’) outlines a conceptual framework for discussing the relationship. between theory, policy and historical context. Section Two (‘Economic Laws and Civil Laws’) discusses the monetary contributions of Cesare Beccaria and Pietro Verri and investigates the link between the structural properties of that ‘very delicate and complex device’ (Einaudi) that is the specific matter of monetary policy, and the civil or administrative laws and governmental decisions though which monetary policy comes into effect. Section Three (‘Monetary Theory and the Fundamental Ideas of Political Economy’) examines the links between the structure of economic systems as systems of interdependence among productive sectors and the structure of monetary systems as ‘systems of governance’ of that interdependence. Section Four (‘The Problem of “Debasement”; Monetary Disturbance and Real Standards’) focuses on the monetary controversy that triggered Beccaria’s and Verri’s contributions, and examines their attempt to identify a real standard for determining the relative value of the different currencies used for transactions on European markets. Section Five (‘Political Economy, Monetary Systems and the Practice of Monetary Policy’) considers possible developments of Beccaria’s and Verri’s contributions for what concerns the distinction between money as standard of measurement and money as means of payment. Section Six (‘Concluding Remarks’) draws the essay to close by discussing the integration between general principles of political economy and specific characteristics of ‘local’ context to be found in the monetary discussions of the Lombard Enlightenment.

The performance of delta check methods.

1979 ◽  
Vol 25 (12) ◽  
pp. 2034-2037 ◽  
Author(s):  
L B Sheiner ◽  
L A Wheeler ◽  
J K Moore
Keyword(s):  
False Positive ◽  
False Positive Rate ◽  
True Positive Rate ◽  
True Positive ◽  
Discriminant Functions ◽  
Linear Discriminant ◽  
Operating Rate ◽  
Positive Rate ◽  
The Relationship

Abstract The percentage of mislabeled specimens detected (true-positive rate) and the percentage of correctly labeled specimens misidentified (false-positive rate) were computed for three previously proposed delta check methods and two linear discriminant functions. The true-positive rate was computed from a set of pairs of specimens, each having one member replaced by a member from another pair chosen at random. The relationship between true-positive and false-positive rates was similar among the delta check methods tested, indicating equal performance for all of them over the range of false-positive rate of interest. At a practical false-positive operating rate of about 5%, delta check methods detect only about 50% of mislabeled specimens; even if the actual mislabeling rate is moderate (e.g., 1%), only abot 10% of specimens flagged a by a delta check will actually have been mislabeled.

scholarly journals Evaluation of the Genotypic Prediction of HIV-1 Coreceptor Use versus a Phenotypic Assay and Correlation with the Virological Response to Maraviroc: the ANRS GenoTropism Study

2010 ◽  
Vol 54 (8) ◽  
pp. 3335-3340 ◽  
Author(s):  
Patricia Recordon-Pinson ◽  
Cathia Soulié ◽  
Philippe Flandre ◽  
Diane Descamps ◽  
Mouna Lazrek ◽  
...  
Keyword(s):  
Virological Response ◽  
False Positive Rate ◽  
Baseline Viral Load ◽  
Phenotypic Assay ◽  
Sensitivity Score ◽  
Positive Rate ◽  
Set Up ◽  
Genotypic Sensitivity Score ◽  
The Relationship ◽  
Hiv 1

ABSTRACT Genotypic algorithms for prediction of HIV-1 coreceptor usage need to be evaluated in a clinical setting. We aimed at studying (i) the correlation of genotypic prediction of coreceptor use in comparison with a phenotypic assay and (ii) the relationship between genotypic prediction of coreceptor use at baseline and the virological response (VR) to a therapy including maraviroc (MVC). Antiretroviral-experienced patients were included in the MVC Expanded Access Program if they had an R5 screening result with Trofile (Monogram Biosciences). V3 loop sequences were determined at screening, and coreceptor use was predicted using 13 genotypic algorithms or combinations of algorithms. Genotypic predictions were compared to Trofile; dual or mixed (D/M) variants were considered as X4 variants. Both genotypic and phenotypic results were obtained for 189 patients at screening, with 54 isolates scored as X4 or D/M and 135 scored as R5 with Trofile. The highest sensitivity (59.3%) for detection of X4 was obtained with the Geno2pheno algorithm, with a false-positive rate set up at 10% (Geno2pheno10). In the 112 patients receiving MVC, a plasma viral RNA load of <50 copies/ml was obtained in 68% of cases at month 6. In multivariate analysis, the prediction of the X4 genotype at baseline with the Geno2pheno10 algorithm including baseline viral load and CD4 nadir was independently associated with a worse VR at months 1 and 3. The baseline weighted genotypic sensitivity score was associated with VR at month 6. There were strong arguments in favor of using genotypic coreceptor use assays for determining which patients would respond to CCR5 antagonist.

Significance of PDL1 positive in TNBC.

2020 ◽  
Vol 38 (15_suppl) ◽  
pp. e12557-e12557
Author(s):  
Seiichi Imanishi ◽  
Hirotaka Morishima ◽  
Naofumi Oda ◽  
Junichi Hasegawa
Keyword(s):  
Breast Cancer ◽  
Triple Negative Breast Cancer ◽  
Triple Negative ◽  
Residual Tumor ◽  
Positive Group ◽  
Biopsy Specimens ◽  
Positive Rate ◽  
Neo Adjuvant Chemotherapy ◽  
The Relationship ◽  
Worse Prognosis

e12557 Background: Atezolizumab was approved for PD-L1-positive advanced recurrent triple negative breast cancer. However, it is controversial about when and when to measure PD-L1. Here we retrospectively reaearched how PD-L1 positivity rates in biopsy, surgical, and recurrent specimens for triple-negative breast cancer (TNBC) treated with neo adjuvant chemotherapy (NAC). We also investigated the relationship between androgen receptor (AR) and PD-L1, and researched the significance of PD-L1 positivity on TNBC. Methods: 28 TNBC biopsy samples before NAC, 16 surgical specimens with residual tumor after NAC, and 5 cases reccurence specimens were obtained subjected to stain for PDL1 using the SP142 antibody. AR staining was also performed on biopsy specimens. PD-L1 score determination was performed according to the Ventana OptiView PD-L1 (SP142) inspection guide, and AR positive cuttoff was setted 1% or more. Results: The PD-L1 positivity rates of the biopsy samples were IC0: 46.4%, IC1: 25.0%, IC2: 21.4%, IC3: 7.1%, TC0: 28.6%, TC1: 28.6%, TC2: 42.9%, TC: 0%. In the surgical specimens after NAC, PD-L1 showed almost no change in IC ( P = 0.38), but the score significantly decreased in TC ( P < 0.001). The recurrence specimesn that could be collected were IC0: 60%, IC1: 20%, IC2: 20%, IC3: 0%, TC0: 60%, TC1: 20%, TC2: 20%. There were four AR-positive cases, one of which showed TC2, but the others were negative.In terms of prognosis, both the DFS and OS in the PD-L1 strongly positive group (IC≥2 and TC≥2) and other groups Poor in PD-L1 strongly positive group ( P < 0.01, P = 0.041, respectively). Conclusions: TC was affected by NAC, the score decreased markedly, and the positive rate at the site of recurrence also tended to decrease. The PD-L1 strong positive had a significantly worse prognosis than the others. It was suggested that PD-L1 immunostaining may be effective in predicting prognosis by considering TC as well as IC.

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