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.

Modeling the future distribution of Mediterranean Pinus species

The potential future distribution of four Mediterranean pines was aimed to be modeled supported by EUFORGEN digital area database (distribution maps), ESRI ArcGIS 10 software’s Spatial Analyst module (modeling environment), PAST (calibration of the model with statistical method), and REMO regional climate model (climatic data). The studied species were Pinus brutia, Pinus halepensis, Pinus pinaster, and Pinus pinea. The climate data were available in a 25 km resolution grid for the reference period (1961-90) and two future periods (2011-40, 2041-70). The climate model was based on the IPCC SRES A1B scenario. The model results show explicit shift of the distributions to the north in case of three of the four studied species. The future (2041-70) climate of Western Hungary seems to be suitable for Pinus pinaster.

A kvázi- és általánosított hiperbolikus diszkontálás hosszú távon (Quasi- and Generalized Hyperbolic Discounting in Long Term)

Az intertemporális döntések fontos szerepet játszanak a közgazdasági modellezésben, és azt írják le, hogy milyen átváltást alkalmazunk két különböző időpont között. A közgazdasági modellezésben az exponenciális diszkontálás a legelterjedtebb, annak ellenére, hogy az empirikus vizsgálatok alapján gyenge a magyarázó ereje. A gazdaságpszichológiában elterjedt általánosított hiperbolikus diszkontálás viszont nagyon nehezen alkalmazható közgazdasági modellezési célra. Így tudott gyorsan elterjedni a kvázi-hiperbolikus diszkontálási modell, amelyik úgy ragadja meg a főbb pszichológiai jelenségeket, hogy kezelhető marad a modellezés során. A cikkben azt állítjuk, hogy hibás az a megközelítés, hogy hosszú távú döntések esetén, főleg sorozatok esetén helyettesíthető a két hiperbolikus diszkontálás egymással. Így a hosszú távú kérdéseknél érdemes felülvizsgálni a kvázi-hiperbolikus diszkontálással kapott eredményeket, ha azok az általánosított hiperbolikus diszkontálási modellel való helyettesíthetőséget feltételezték. ____ Intertemporal choice is one of the crucial questions in economic modeling and it describes decisions which require trade-offs among outcomes occurring in different points in time. In economic modeling the exponential discounting is the most well known, however it has weak validity in empirical studies. Although according to psychologists generalized hyperbolic discounting has the strongest descriptive validity it is very complex and hard to use in economic models. In response to this challenge quasi-hyperbolic discounting was proposed. It has the most important properties of generalized hyperbolic discounting while tractability remains in analytical modeling. Therefore it is common to substitute generalized hyperbolic discounting with quasi-hyperbolic discounting. This paper argues that the substitution of these two models leads to different conclusions in long term decisions especially in the case of series; hence all the models that use quasi-hyperbolic discounting for long term decisions should be revised if they states that generalized hyperbolic discounting model would have the same conclusion.

Impact of climate change on the potential distribution of Mediterranean pines

The impact of climate change on the potential distribution of four Mediterranean pine species – Pinus brutia Ten., Pinus halepensis Mill., Pinus pinaster Aiton, and Pinus pinea L. – was studied by the Climate Envelope Model (CEM) to examine whether these species are suitable for the use as ornamental plants without frost protection in the Carpathian Basin. The model was supported by EUFORGEN digital area database (distribution maps), ESRI ArcGIS 10 software’s Spatial Analyst module (modeling environment), PAST (calibration of the model with statistical method), and REMO regional climate model (climatic data). The climate data were available in a 25 km resolution grid for the reference period (1961–1990) and two future periods (2011–2040, 2041–2070). The regional climate model was based on the IPCC SRES A1B scenario. While the potential distribution of P. brutia was not predicted to expand remarkably, an explicit shift of the distribution of the other three species was shown. Northwestern African distribution segments seem to become abandoned in the future. Current distribution of P. brutia may be highly endangered by the climate change. P. halepensis in the southern part and P. pinaster in the western part of the Carpathian Basin may find suitable climatic conditions in the period of 2041–2070.

Klímaváltozás és az európai lepkeszúnyogok. Az areamodellezés módszertani kérdései

The future northward expansion of the arthropod vectors of leishmaniasis caused by climate change seems to be essential veterinary and medical problem. Our aim was to build and evaluate a Climate Envelope Model (CEM) to assess the potential effects of climate change on five European sandfly species. The studied species – Phlebotomus ariasi Tonn., P. neglectus Tonn., P. papatasi Scop., P. perfiliewi Parrot, P. perniciosus Newst., P. sergenti Parrot, P. similis Perfiliev, P. tobbi Adler, Theodor et Lourie – are important vectors of the parasite Leishmania infantum or other Leishmania species. The projections were based on REMO regional climate model with European domain. The climate data were available in a 25 km resolution grid for the reference period (1961-90) and two future periods (2011-40, 2041-70). The regional climate model was based on the IPCC SRES A1B scenario. Three types of climatic parameters were used for every month (averaged in the 30-years periods). The model was supported by VBORNET digital area database (distribution maps), ESRI ArcGIS 10 software’s Spatial Analyst module (modeling environment), PAST (calibration of the model with statistical method). Iterative model evaluation was done by summarizing two types of model errors based on an aggregated distribution. The results show that the best model results can be achieved by leaving 5-5 percentiles from the two extrema of the mean temperature, 2-2 percentiles from the two extrema of the minimum temperature, 0 percentile from the minimum of and 8 percentiles from the maximum of the precipitation.