The value of dividend imputation tax credits in Australia

A dividend imputation tax system provides shareholders with a credit (for corporate tax paid) that can be used to offset personal tax on dividend income. This paper shows how to infer the value of imputation tax credits from the prices of derivative securities that are unique to Australian retail markets. We also test whether a tax law amendment that was designed to prevent the trading of imputation credits affected their economic value. Before the amendment, tax credits were worth up to 50% of face value in large, high-yielding companies, but Subsequently it is difficult to detect any value at all. (C) 2003 Elsevier B.V. All rights reserved.

Canonical valuation of options in the presence of stochastic volatility

Proposed by M. Stutzer (1996), canonical valuation is a new method for valuing derivative securities under the risk-neutral framework. It is non-parametric, simple to apply, and, unlike many alternative approaches, does not require any option data. Although canonical valuation has great potential, its applicability in realistic scenarios has not yet been widely tested. This article documents the ability of canonical valuation to price derivatives in a number of settings. In a constant-volatility world, canonical estimates of option prices struggle to match a Black-Scholes estimate based on historical volatility. However, in a more realistic stochastic-volatility setting, canonical valuation outperforms the Black-Scholes model. As the volatility generating process becomes further removed from the constant-volatility world, the relative performance edge of canonical valuation is more evident. In general, the results are encouraging that canonical valuation is a useful technique for valuing derivatives. (C) 2005 Wiley Periodicals, Inc.

Automated Analysis of the Auditory Brainstem Response Using Derivative Estimation Wavelets

In this paper, we describe an algorithm that automatically detects and labels peaks I - VII of the normal, suprathreshold auditory brainstem response (ABR). The algorithm proceeds in three stages, with the option of a fourth: ( 1) all candidate peaks and troughs in the ABR waveform are identified using zero crossings of the first derivative, ( 2) peaks I - VII are identified from these candidate peaks based on their latency and morphology, ( 3) if required, peaks II and IV are identified as points of inflection using zero crossings of the second derivative and ( 4) interpeak troughs are identified before peak latencies and amplitudes are measured. The performance of the algorithm was estimated on a set of 240 normal ABR waveforms recorded using a stimulus intensity of 90 dBnHL. When compared to an expert audiologist, the algorithm correctly identified the major ABR peaks ( I, III and V) in 96 - 98% of the waveforms and the minor ABR peaks ( II, IV, VI and VII) in 45 - 83% of waveforms. Whilst peak II was correctly identified in only 83% and peak IV in 77% of waveforms, it was shown that 5% of the peak II identifications and 31% of the peak IV identifications came as a direct result of allowing these peaks to be found as points of inflection. Copyright (C) 2005 S. Karger AG, Basel.

Shift, scaling and derivative properties for the discrete cosine transform

A set of DCT domain properties for shifting and scaling by real amounts, and taking linear operations such as differentiation is described. The DCT coefficients of a sampled signal are subjected to a linear transform, which returns the DCT coefficients of the shifted, scaled and/or differentiated signal. The properties are derived by considering the inverse discrete transform as a cosine series expansion of the original continuous signal, assuming sampling in accordance with the Nyquist criterion. This approach can be applied in the signal domain, to give, for example, DCT based interpolation or derivatives. The same approach can be taken in decoding from the DCT to give, for example, derivatives in the signal domain. The techniques may prove useful in compressed domain processing applications, and are interesting because they allow operations from the continuous domain such as differentiation to be implemented in the discrete domain. An image matching algorithm illustrates the use of the properties, with improvements in computation time and matching quality.

Energy derivative market and derivative pricing via simulation

The deregulation of power industry worldwide has delivered the efficiency gains to the society; meanwhile, the intensity of competition has increased uncertainty and risks to market participants. Consequently, market participants are keen to hedge the market risks and maintain a competitive edge in the market; and this is a good explanation to the flourish of electricity derivative market. In this paper, the authors gave a comprehensive review of derivative contract pricing methods and proposed a new framework for energy derivative pricing to suit the needs of a deregulated electricity market