scholarly journals Efficient Hedging of Options with Probabilistic Haar Wavelets

2012 ◽  
Vol 2012 ◽  
pp. 1-37
Author(s):  
Pedro José Catuogno ◽  
Sebastián Esteban Ferrando ◽  
Alfredo Lázaro González
Keyword(s):  
Transaction Costs ◽  
Upper Bounds ◽  
Haar Wavelets ◽  
Efficient Hedging ◽  
Delta Hedging ◽  
Binary Options ◽  
Path Dependent ◽  
Underlying Processes ◽  
Theoretical Developments

The paper brings forward the issue of efficient representations of financial claims; in particular it addresses the problem of large transaction costs in hedging replications. Inspired by the localized properties of wavelets basis, Haar systems associated with space-time discretizations of continuous stochastic processes are proposed as a means to address the issue of efficient pathwise approximation. Theoretical developments are presented that justify the use of these approximations to construct self-financing portfolios by means of binary options. Upper bounds on the volume of transactions required to implement these portfolios are then established to illustrate the quality of the proposed approximations. The approach is applicable to general financial claims of European type, including path-dependent ones, for continuous underlying processes. Several numerical results and comparisons with delta hedging are also presented.

Software suite for determining the tilts of tower-type structures according to terrestrial laser scanning

2020 ◽  
Vol 961 (7) ◽  
pp. 2-7
Author(s):  
A.V. Zubov ◽  
N.N. Eliseeva
Keyword(s):  
Laser Scanning ◽  
Optimization Problems ◽  
Optimization Methods ◽  
User Participation ◽  
Software Suite ◽  
Current State ◽  
Visual Basic For Applications ◽  
Operational Data ◽  
Theoretical Developments

The authors describe a software suite for determining tilt degrees of tower-type structures according to ground laser scanning indication. Defining the tilt of the pipe is carried out with a set of measured data through approximating the sections by circumferences. They are constructed using one of the simplest search engine optimization methods (evolutionary algorithm). Automatic filtering the scan of the current section from distorting data is performed by the method of assessing the quality of models constructed with that of least squares. The software was designed using Visual Basic for Applications. It contains several blocks (subprograms), with each of them performing a specific task. The developed complex enables obtaining operational data on the current state of the object with minimal user participation in the calculation process. The software suite is the result of practical implementing theoretical developments on the possibilities of using search methods at solving optimization problems in geodetic practice.

scholarly journals Sustainable Smart City—Opening a Black Box

2021 ◽  
Vol 13 (2) ◽  
pp. 769
Author(s):  
Mona Treude
Keyword(s):  
Sustainable Development ◽  
Citizen Participation ◽  
Smart City ◽  
Evolutionary Economics ◽  
Smart Cities ◽  
Innovation Process ◽  
Sustainable City ◽  
Smart Services ◽  
Underlying Processes

Cities are becoming digital and are aiming to be sustainable. How they are combining the two is not always apparent from the outside. What we need is a look from inside. In recent years, cities have increasingly called themselves Smart City. This can mean different things, but generally includes a look towards new digital technologies and claim that a Smart City has various advantages for its citizens, roughly in line with the demands of sustainable development. A city can be seen as smart in a narrow sense, technology wise, sustainable or smart and sustainable. Current city rankings, which often evaluate and classify cities in terms of the target dimensions “smart” and “sustainable”, certify that some cities are both. In its most established academic definitions, the Smart City also serves both to improve the quality of life of its citizens and to promote sustainable development. Some cities have obviously managed to combine the two. The question that arises is as follows: What are the underlying processes towards a sustainable Smart City and are cities really using smart tools to make themselves sustainable in the sense of the 2015 United Nations Sustainability Goal 11? This question is to be answered by a method that has not yet been applied in research on cities and smart cities: the innovation biography. Based on evolutionary economics, the innovation biography approaches the process towards a Smart City as an innovation process. It will highlight which actors are involved, how knowledge is shared among them, what form citizen participation processes take and whether the use of digital and smart services within a Smart City leads to a more sustainable city. Such a process-oriented method should show, among other things, to what extent and when sustainability-relevant motives play a role and which actors and citizens are involved in the process at all.

scholarly journals Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models

2007 ◽  
Vol 44 (04) ◽  
pp. 865-879 ◽  
Author(s):  
Alexander Schied ◽  
Mitja Stadje
Keyword(s):  
Payoff Function ◽  
Hedging Strategy ◽  
Local Volatility ◽  
Directional Convexity ◽  
Volatility Models ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Black Scholes ◽  
Delta Hedging ◽  
Path Dependent

We consider the performance of the delta hedging strategy obtained from a local volatility model when using as input the physical prices instead of the model price process. This hedging strategy is called robust if it yields a superhedge as soon as the local volatility model overestimates the market volatility. We show that robustness holds for a standard Black-Scholes model whenever we hedge a path-dependent derivative with a convex payoff function. In a genuine local volatility model the situation is shown to be less stable: robustness can break down for many relevant convex payoffs including average-strike Asian options, lookback puts, floating-strike forward starts, and their aggregated cliquets. Furthermore, we prove that a sufficient condition for the robustness in every local volatility model is the directional convexity of the payoff function.

MINIMIZATION OF TRANSACTION COSTS. QUALITY OF LIFE AND ECONOMY

2021 ◽  
Vol 1 (3) ◽  
pp. 22-35
Author(s):  
V. G. VERSAN ◽  
Keyword(s):  
Quality Of Life ◽  
Transaction Costs ◽  
Effective Interaction

The article is devoted to the consideration of some aspects of effective interaction of people, economic entities and authorities.

KUALITAS PASAR OBLIGASI KORPORASI INDONESIA

2017 ◽  
pp. 11-25
Author(s):  
Donalson Silalahi
Keyword(s):  
Transaction Costs ◽  
Transaction Cost ◽  
Sampling Technique ◽  
Bond Market ◽  
Corporate Bond ◽  
Multiple Regression Equation ◽  
Bond Price ◽  
Corporate Bond Market ◽  
Macroeconomic Indicators

lndonesia corporate bond market development can he done from various aspects, among others, through the stability and improvement of macroeconomic indicators, improving the quality of financial infrastructure, and improving the quality of the corporate bond market. This study aimed to describe the quality Indonesian corporate bond market based transaction costs approach. Therefore, the quality of the corporate bond market in this study manifested by transaction costs and decomposition of transaction costs (information friction and real friction). Based on the estimation of transaction costs and decomposition of transaction costs, regulators and market managers can create a variety of policies to improve the quality of the corporate bond market. To achieve these goals, the data used were corporate bond registered and transacted in the bond market and the sources of data from Securities Division reported OTC-FIS (Over the counter – Fixed Income Service). The research samples were 2336 observations using the purposive sampling technique to gather samples. The data were analyzed using the multiple regression equation. The research indicates that: First, transaction costs ty’ corporate bond is 0-798 with t-statistic is 31.964. Second, the contribution of information friction againts transaction cost is 45.1 percent with t-statistic is 18.20. "third, the contriliution real friction againts transaction cost is 14.2 percent with t-statistic is 5.71. Fourth, the information friction have the greater contribution to transaction cost with or without the classification of sample. Fifth, in the change of bond price segmentation, the contribution of information friction increases with the increase of the change of bond price. With reference to the research results, the quality of the corporate bond market can he improved by lowering the transaction costs in trade mechanism. Transaction costs can be reduced through increased transparency and improved the trading niechanisni of corporate bond market. Furthermore, the result if this research can be used by investors in creating portfolios and holding periods and for bond emitters in issuing bonds.

scholarly journals VIEWS ON AGING: NEW PERSPECTIVES FOR THEORY AND RESEARCH

2019 ◽  
Vol 3 (Supplement_1) ◽  
pp. S786-S786
Author(s):  
Verena Klusmann ◽  
Anna E Kornadt
Keyword(s):  
Deep Understanding ◽  
German Research Foundation ◽  
Theoretical Approaches ◽  
Demographic Challenges ◽  
Images Of Aging ◽  
Health Care Supply ◽  
Underlying Processes ◽  
Practical Implications ◽  
Dynamic Interplay

Abstract Over the past 20 years, research on views on aging has substantiated their importance for successful development and sustained quality of life over the full length of the life span. However, a deep understanding of the origins of views on aging and the underlying processes of their lifespan development and manifestation is lacking. Since 2017, the scientific network “Images of Aging” funded by the German Research Foundation (http://www.health.uni-konstanz.de/images-of-aging) assembles national and international renowned experts in the field. The network engages in empirical clarifications on both the distinctness and validity of the construct (contribution of Klusmann et al.) as well as in critically reviewing terminology and measures of views on aging (contribution of Notthoff et al.). The network aims to help clarifying the dynamic interplay of determinants and outcomes in the context of health (contribution of Wolff et al.) as well as disentangling intra- and intergenerational stereotypic perceptions (contribution of Kornadt et al.). Both of these are understudied issues with highly practical implications for two of the largest demographic challenges: shaping the coexistence of generations as well as providing adequate health care supply. Integrating both pertinent theoretical approaches and empirical findings the network regards views on aging under a lifespan perspective. Recently, it suggested three core principles of views on aging regarding lifelong bio-psycho-social development, their multidimensional nature, and their impact across life. These considerations provide a background for an integrative discussion of the symposium’s contributions.

Students' intention to adopt e-government learning services: a developing country perspective

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Laila Al-Omairi ◽  
Hosam Al-Samarraie ◽  
Ahmed Ibrahim Alzahrani ◽  
Nasser Alalwan
Keyword(s):  
Developing Country ◽  
Information Quality ◽  
Perceived Usefulness ◽  
Intention To Use ◽  
System Quality ◽  
Content Type ◽  
Intention To Adopt ◽  
Learning Development ◽  
Underlying Processes

PurposeIn any developing country, the critical benefits for ensuring proper utilization of e-government learning services have basically emerged from the integration of underlying processes – not only across different levels of government but also across different functions and agencies. The literature showed a notable lack of research to underline the limited use of e-government learning services in a university setting. Therefore, this study was conducted to examine students' intention to adopt e-government learning services in a developing country. Precisely, the existent to which reputation, social influence, information quality and system quality of e-government learning services would influence students' trust, perceived usefulness and perceived learning values was investigated.Design/methodology/approachThe effect from these variables on students' intention to use e-government learning services was also investigated. A total of 406 questionnaires were collected and analyzed using partial least squares (PLS) modeling.FindingsThe results showed varying relationships between the study's variables. It is anticipated that understanding these relationships can predict future learning trends of e-government learning services use among university students, thus helping decision makers plan ahead, prioritize tasks and make better decisions.Originality/valueKnowledge about students' intention to use e-government learning services is even useful for the implementation of other services by higher education institutions. This study also offers some implications for practitioners and researchers concerned about the application of e-government in students' learning development.

scholarly journals Government Policies To Improve Tobacco Farmers Business Results

2018 ◽  
Vol 54 ◽  
pp. 06007
Author(s):  
Hezron Sabar Rotua Tinambunan ◽  
Hananto Widodo
Keyword(s):  
Transaction Costs ◽  
Product Quality ◽  
Government Policy ◽  
Agricultural Sector ◽  
Agricultural Products ◽  
Policy Support ◽  
Government Policies ◽  
Business Results ◽  
Banking Institutions

Warehouse Receipt System suggest the potential that can be utilized on the implementation of the Warehouse Receipt System primarily in support of the financing, the minimization of price fluctuations, increase farmers’ income, credit mobilization, improvement of product quality and so on. However, implementation of warehouse receipt system in the agricultural sector is still faced a number of obstacles including transaction costs, inconsistencies in the quantity and quality of agricultural products, the lack of support banking institutions, and the still weak farmer institutions. With institutional farmers are not organized properly, the rules of the warehouse receipt system is still seen as too complicated so that the necessary simplification of procedures so that the warehouse receipt system could be used by farmers. In addition, the socialization of the Warehouse Receipt System and conducive government policy support will be an important factor so that the warehouse receipt system can be implemented optimally.

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