166 resultados para Implied volatility


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This article provides an overview of battery, with a particular focus on the role that consent plays in contact sports. The limits of implied consent in sport will also be discussed, followed by a brief overview of other relevant defences. Finally, issues of damages and vicarious liability will be addressed.

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Self-authored video- where participants are in control of the creation of their own footage- is a means of creating innovative design material and including all members of a family in design activities. This paper describes our adaptation to this process called Self Authored Video Interviews (SAVIs) that we created and prototyped to better understand how families engage with situated technology in the home. We find the methodology produces unique insights into family dynamics in the home, uncovering assumptions and tensions unlikely to be discovered using more conventional methods. The paper outlines a number of challenges and opportunities associated with the methodology, specifically, maximising the value of the insights gathered by appealing to children to champion the cause, and how to counter perceptions of the lingering presence of researchers.

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This paper studies arts industries in all 366 US metropolitan statistical areas between 1980 and 2010. Our analysis provides evidence that the arts are an important component of many regional economies, but also highlights their volatility. After radical growth and diffusion between 1980 and 2000, in the last decade, the arts industries are defined more by shrinkage and reconcentration in fewer metropolitan areas. Further, we find that the vast majority of metros have strengths in particular sets of arts industries. As we discuss in the conclusion, these conditions present challenges and opportunities for urban cultural policy that goes beyond the current focus on the arts as consumption amenities.

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This paper investigates several competing procedures for computing the prices of vanilla European options, such as puts, calls and binaries, in which the underlying model has a characteristic function that is known in semi-closed form. The algorithms investigated here are the half-range Fourier cosine series, the half-range Fourier sine series and the full-range Fourier series. Their performance is assessed in simulation experiments in which an analytical solution is available and also for a simple affine model of stochastic volatility in which there is no closed-form solution. The results suggest that the half-range sine series approximation is the least effective of the three proposed algorithms. It is rather more difficult to distinguish between the performance of the halfrange cosine series and the full-range Fourier series. However there are two clear differences. First, when the interval over which the density is approximated is relatively large, the full-range Fourier series is at least as good as the half-range Fourier cosine series, and outperforms the latter in pricing out-of-the-money call options, in particular with maturities of three months or less. Second, the computational time required by the half-range Fourier cosine series is uniformly longer than that required by the full-range Fourier series for an interval of fixed length. Taken together,these two conclusions make a case for pricing options using a full-range range Fourier series as opposed to a half-range Fourier cosine series if a large number of options are to be priced in as short a time as possible.

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Gulland's [Gulland, J.A., 1965. Estimation of mortality rates. Annex to Arctic Fisheries Working Group Report (meeting in Hamburg, January 1965). ICES. C.M. 1965, Doc. No. 3 (mimeographed)] virtual population analysis (VPA) is commonly used for studying the dynamics of harvested fish populations. However, it necessitates the solving of a nonlinear equation for the instantaneous rate of fishing mortality of the fish in a population. Pope [Pope, J.G., 1972. An investigation of the accuracy of Virtual Population Analysis using cohort analysis. ICNAF Res. Bull. 9, 65-74. Also available in D.H. Cushing (ed.) (1983), Key Papers on Fish Populations, p. 291-301, IRL Press, Oxford, 405 p.] eliminated this necessity in his cohort analysis by approximating its underlying age- and time-dependent population model. His approximation has since become one of the most commonly used age- and time-dependent fish population models in fisheries science. However, some of its properties are not well understood. For example, many assert that it describes the dynamics of a fish population, from which the catch of fish is taken instantaneously in the middle of the year. Such an assertion has never been proven, nor has its implied instantaneous rate of fishing mortality of the fish of a particular age at a particular time been examined, nor has its implied catch equation been derived from a general catch equation. In this paper, we prove this assertion, examine its implied instantaneous rate of fishing mortality of the fish of a particular age at a particular time, derive its implied catch equation from a general catch equation, and comment on how to structure an age- and time-dependent population model to ensure its internal consistency. This work shows that Gulland's (1965) virtual population analysis and Pope's (1972) cohort analysis lie at the opposite end of a continuous spectrum as a general model for a seasonally occurring fishery; Pope's (1972) approximation implies an infinitely large instantaneous rate of fishing mortality of the fish of a particular age at a particular time in a fishing season of zero length; and its implied catch equation has an undefined instantaneous rate of fishing mortality of the fish in a population, but a well-defined cumulative instantaneous rate of fishing mortality of the fish in the population. This work also highlights a need for a more careful treatment of the times of start and end of a fishing season in fish population models.

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Pseudo-marginal methods such as the grouped independence Metropolis-Hastings (GIMH) and Markov chain within Metropolis (MCWM) algorithms have been introduced in the literature as an approach to perform Bayesian inference in latent variable models. These methods replace intractable likelihood calculations with unbiased estimates within Markov chain Monte Carlo algorithms. The GIMH method has the posterior of interest as its limiting distribution, but suffers from poor mixing if it is too computationally intensive to obtain high-precision likelihood estimates. The MCWM algorithm has better mixing properties, but less theoretical support. In this paper we propose to use Gaussian processes (GP) to accelerate the GIMH method, whilst using a short pilot run of MCWM to train the GP. Our new method, GP-GIMH, is illustrated on simulated data from a stochastic volatility and a gene network model.

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Species distribution modelling (SDM) typically analyses species’ presence together with some form of absence information. Ideally absences comprise observations or are inferred from comprehensive sampling. When such information is not available, then pseudo-absences are often generated from the background locations within the study region of interest containing the presences, or else absence is implied through the comparison of presences to the whole study region, e.g. as is the case in Maximum Entropy (MaxEnt) or Poisson point process modelling. However, the choice of which absence information to include can be both challenging and highly influential on SDM predictions (e.g. Oksanen and Minchin, 2002). In practice, the use of pseudo- or implied absences often leads to an imbalance where absences far outnumber presences. This leaves analysis highly susceptible to ‘naughty-noughts’: absences that occur beyond the envelope of the species, which can exert strong influence on the model and its predictions (Austin and Meyers, 1996). Also known as ‘excess zeros’, naughty noughts can be estimated via an overall proportion in simple hurdle or mixture models (Martin et al., 2005). However, absences, especially those that occur beyond the species envelope, can often be more diverse than presences. Here we consider an extension to excess zero models. The two-staged approach first exploits the compartmentalisation provided by classification trees (CTs) (as in O’Leary, 2008) to identify multiple sources of naughty noughts and simultaneously delineate several species envelopes. Then SDMs can be fit separately within each envelope, and for this stage, we examine both CTs (as in Falk et al., 2014) and the popular MaxEnt (Elith et al., 2006). We introduce a wider range of model performance measures to improve treatment of naughty noughts in SDM. We retain an overall measure of model performance, the area under the curve (AUC) of the Receiver-Operating Curve (ROC), but focus on its constituent measures of false negative rate (FNR) and false positive rate (FPR), and how these relate to the threshold in the predicted probability of presence that delimits predicted presence from absence. We also propose error rates more relevant to users of predictions: false omission rate (FOR), the chance that a predicted absence corresponds to (and hence wastes) an observed presence, and the false discovery rate (FDR), reflecting those predicted (or potential) presences that correspond to absence. A high FDR may be desirable since it could help target future search efforts, whereas zero or low FOR is desirable since it indicates none of the (often valuable) presences have been ignored in the SDM. For illustration, we chose Bradypus variegatus, a species that has previously been published as an exemplar species for MaxEnt, proposed by Phillips et al. (2006). We used CTs to increasingly refine the species envelope, starting with the whole study region (E0), eliminating more and more potential naughty noughts (E1–E3). When combined with an SDM fit within the species envelope, the best CT SDM had similar AUC and FPR to the best MaxEnt SDM, but otherwise performed better. The FNR and FOR were greatly reduced, suggesting that CTs handle absences better. Interestingly, MaxEnt predictions showed low discriminatory performance, with the most common predicted probability of presence being in the same range (0.00-0.20) for both true absences and presences. In summary, this example shows that SDMs can be improved by introducing an initial hurdle to identify naughty noughts and partition the envelope before applying SDMs. This improvement was barely detectable via AUC and FPR yet visible in FOR, FNR, and the comparison of predicted probability of presence distribution for pres/absence.

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- Background and Purpose Given the turbulent and highly contested environment in which professional coaches work, a prime concern to coach developers is how coaches learn their craft. Understanding the learning and development of senior coaches (SCs) and assistant coaches (ACs) in the Australian Football League (AFL – the peak organisation for Australian Rules Football) is important to better develop the next generation of performance coaches. Hence the focus of this research was to examine the learning of SC and AC in the AFL. Fundamental to this research was an understanding that the AFL and each club within the league be regarded as learning organisations and workplaces with their own learning cultures where learning takes place. The purpose of this paper was to examine the learning culture for AFL coaches. - Method Five SCs, 6 ACs, and 5 administrators (4 of whom were former coaches) at 11 of the 16 AFL clubs were recruited for the research project. First, demographic data were collected for each participant (e.g. age, playing and coaching experience, development and coach development activities). Second, all participants were involved in one semi-structured interview of between 45 and 90 minutes duration. An interpretative (hierarchical content) analysis of the interview data was conducted to identify key emergent themes. - Results Learning was central to AFL coaches becoming a SC. Nevertheless, coaches reported a sense of isolation and a lack of support in developing their craft within their particular learning culture. These coaches developed a unique dynamic social network (DSN) that involved episodic contact with a number of respected confidantes often from diverse fields (used here in the Bourdieuian sense) in developing their coaching craft. Although there were some opportunities in their workplace, much of their learning was unmediated by others, underscoring the importance of their agentic engagement in limited workplace affordances. - Conclusion The variety of people accessed for the purposes of learning (often beyond the immediate workplace) and the long time taken to establish networks of supporters meant that a new way of describing the social networks of AFL coaches was needed; DSN. However, despite the acknowledged utility of learning from others, all coaches reported some sense of isolation in their learning. The sense of isolation brought about by professional volatility in high-performance Australian Football offers an alternative view on Hodkinson, Biesta and James' attempt in overcoming dualisms in learning.

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The paper studies the welfare implications of temporary foreign aid in the context of a simple two-country model of trade. In addition to its usual effects, a transfer of income in one period is assumed to influence the preferences of the recipient country in the following period. The implied changes in the terms of trade over the two periods are consistent with a number of possible outcomes with respect to the intertemporal welfare of the donor, the recipient, and the world as a whole. Particular attention is devoted to the conditions for strict Pareto improvement and the circumstances under which temporary aid transactions are likely to occur.

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This paper introduces an index of tax optimality that measures the distance of some current tax structure from the optimal tax structure in the presence of public goods. This index is defined on the [0, 1] interval and measures the proportion of the optimal tax rates that will achieve the same welfare outcome as some arbitrarily given initial tax structure. We call this number the Tax Optimality Index. We also show how the basic methodology can be altered to derive a revenue equivalent uniform tax, which measures the tax burden implied by the public sector. A numerical example is used to illustrate the method developed, and extensions of the analysis to handle models with multiple households and nonlinear taxation structures are undertaken.

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Aiming to identify novel genetic variants and to confirm previously identified genetic variants associated with bone mineral density (BMD), we conducted a three-stage genome-wide association (GWA) meta-analysis in 27 061 study subjects. Stage 1 meta-analyzed seven GWA samples and 11 140 subjects for BMDs at the lumbar spine, hip and femoral neck, followed by a Stage 2 in silico replication of 33 SNPs in 9258 subjects, and by a Stage 3 de novo validation of three SNPs in 6663 subjects. Combining evidence from all the stages, we have identified two novel loci that have not been reported previously at the genome-wide significance (GWS; 5.0 × 10-8) level: 14q24.2 (rs227425, P-value 3.98 × 10-13, SMOC1) in the combined sample of males and females and 21q22.13 (rs170183, P-value 4.15 × 10-9, CLDN14) in the female-specific sample. The two newly identified SNPs were also significant in the GEnetic Factors for OSteoporosis consortium (GEFOS, n 5 32 960) summary results. We have also independently confirmed 13 previously reported loci at the GWS level: 1p36.12 (ZBTB40), 1p31.3 (GPR177), 4p16.3 (FGFRL1), 4q22.1 (MEPE), 5q14.3 (MEF2C), 6q25.1 (C6orf97, ESR1), 7q21.3 (FLJ42280, SHFM1), 7q31.31 (FAM3C, WNT16), 8q24.12 (TNFRSF11B), 11p15.3 (SOX6), 11q13.4 (LRP5), 13q14.11 (AKAP11) and 16q24 (FOXL1). Gene expression analysis in osteogenic cells implied potential functional association of the two candidate genes (SMOC1 and CLDN14) in bone metabolism. Our findings independently confirm previously identified biological pathways underlying bone metabolism and contribute to the discovery of novel pathways, thus providing valuable insights into the intervention and treatment of osteoporosis. © The Author 2013. Published by Oxford University Press.

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Volatility-hygroscopicity tandem differential mobility analyzer measurements were used to infer the composition of sub-100 nm diameter Southern Ocean marine aerosols at Cape Grim in November and December 2007. This study focuses on a short-lived high sea spray aerosol (SSA) event on 7–8 December with two externally mixed modes in the Hygroscopic Growth Factor (HGF) distributions (90% relative humidity (RH)), one at HGF > 2 and another at HGF~1.5. The particles with HGF > 2 displayed a deliquescent transition at 73–75% RH and were nonvolatile up to 280°C, which identified them as SSA particles with a large inorganic sea-salt fraction. SSA HGFs were 3–13% below those for pure sea-salt particles, indicating an organic volume fraction (OVF) of up to 11–46%. Observed high inorganic fractions in sub-100 nm SSA is contrary to similar, earlier studies. HGFs increased with decreasing particle diameter over the range 16–97 nm, suggesting a decreased OVF, again contrary to earlier studies. SSA comprised up to 69% of the sub-100 nm particle number, corresponding to concentrations of 110–290 cm−3. Air mass back trajectories indicate that SSA particles were produced 1500 km, 20–40 h upwind of Cape Grim. Transmission electron microscopy (TEM) and X-ray spectrometry measurements of sub-100 nm aerosols collected from the same location, and at the same time, displayed a distinct lack of sea salt. Results herein highlight the potential for biases in TEM analysis of the chemical composition of marine aerosols.

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Prescribed burnings are conducted in Queensland each year from August until November aiming to decrease the impact of bushfire hazards and maintain the health of vegetation. This study reports chemical characteristics of the ambient aerosol, with a focus on source apportionment of the organic aerosol (OA)fraction, during the prescribed biomass burning (BB) season in Brisbane 2013. All measurements were conducted within the International Laboratory for Air Quality and Health (ILAQH) located in Brisbane’s Central Business District. Chemical composition, degree of ageing and the influence of BB emission on the air quality of central Brisbane were characterized using a compact Time of Flight Aerosol Mass Spectrometer (cToF-AMS). AMS loadings were dominated by OA (64 %), followed by, sulfate (17 %), ammonium (14 %) and nitrates (5 %). Source apportionment was applied on the AMS OA mass spectra via the multilinear engine solver (ME-2) implementation within the recently developed Source Finder (SoFi) interface. Six factors were extracted including hydrocarbon-like OA (HOA), cooking-related OA (COA), biomass burning OA (BBOA), low-volatility oxygenated OA (LV-OOA), semivolatile oxygenated OA (SV-OOA), and nitrogen-enriched OA (NOA). The aerosol fraction that was attributed to BB factor was 9 %, on average over the sampling period. The high proportion of oxygenated OA (72 %), typically representing aged emissions, could possess a fraction of oxygenated species transformed from BB components on their way to the sampling site.

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A test for time-varying correlation is developed within the framework of a dynamic conditional score (DCS) model for both Gaussian and Student t-distributions. The test may be interpreted as a Lagrange multiplier test and modified to allow for the estimation of models for time-varying volatility in the individual series. Unlike standard moment-based tests, the score-based test statistic includes information on the level of correlation under the null hypothesis and local power arguments indicate the benefits of doing so. A simulation study shows that the performance of the score-based test is strong relative to existing tests across a range of data generating processes. An application to the Hong Kong and South Korean equity markets shows that the new test reveals changes in correlation that are not detected by the standard moment-based test.

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In common law jurisdictions such as England, Australia, Canada and New Zealand good faith in contracting has long been recognised in specific areas of the law such as insurance law and franchising, and more recently the implied duties of good faith and mutual trust and convenience in employment contracts have generated a considerable volume of case law. Outside of these areas of law that may be characterised as being strongly‘relational’ in character,the courts in common law jurisdictions have been reluctant to embrace a more universal application of good faith in contracting and performance. However increasingly there are cases which support the proposition that there is a common law duty of good faith of general application to all commercial contracts. Most important in this context is the recent decision of the Supreme Court of Canada in Bhasin v Hrynew.1 However, this matter is by no means resolved in all common law jurisdictions. This article looks at the recent case law and literature and at various legislative incursions including statutes, codes of conduct and regulations impacting good faith in commercial dealings.