Intenzitásalapú modellezés és a mértékcsere (Intensity-based modeling and thje change of measure)

A dolgozatban a hitelderivatívák intenzitásalapú modellezésének néhány kérdését vizsgáljuk meg. Megmutatjuk, hogy alkalmas mértékcserével nemcsak a duplán sztochasztikus folyamatok, hanem tetszőleges intenzitással rendelkező pontfolyamat esetén is kiszámolható az összetett kár- és csődfolyamat eloszlásának Laplace-transzformáltja. _____ The paper addresses questions concerning the use of intensity based modeling in the pricing of credit derivatives. As the specification of the distribution of the lossprocess is a non-trivial exercise, the well-know technique for this task utilizes the inversion of the Laplace-transform. A popular choice for the model is the class of doubly stochastic processes given that their Laplace-transforms can be determined easily. Unfortunately these processes lack several key features supported by the empirical observations, e.g. they cannot replicate the self-exciting nature of defaults. The aim of the paper is to show that by using an appropriate change of measure the Laplace-transform can be calculated not only for a doubly stochastic process, but for an arbitrary point process with intensity as well. To support the application of the technique, we investigate the e®ect of the change of measure on the stochastic nature of the underlying process.

Climate change and freshwater zooplankton: what does it boil down to?

Recently, major advances in the climate–zooplankton interface have been made some of which appeared to receive much attention in a broader audience of ecologists as well. In contrast to the marine realm, however, we still lack a more holistic summary of recent knowledge in freshwater. We discuss climate change-related variation in physical and biological attributes of lakes and running waters, high-order ecological functions, and subsequent alteration in zooplankton abundance, phenology, distribution, body size, community structure, life history parameters, and behavior by focusing on community level responses. The adequacy of large-scale climatic indices in ecology has received considerable support and provided a framework for the interpretation of community and species level responses in freshwater zooplankton. Modeling perspectives deserve particular consideration, since this promising stream of ecology is of particular applicability in climate change research owing to the inherently predictive nature of this field. In the future, ecologists should expand their research on species beyond daphnids, should address questions as to how different intrinsic and extrinsic drivers interact, should move beyond correlative approaches toward more mechanistic explanations, and last but not least, should facilitate transfer of biological data both across space and time.