Branching Processes in Autoregressive Random Environment

2000 Mathematics Subject Classification: 60J80, 60K05.

Option pricing under stochastic volatility and stochastic interest rate in the Spanish case

Among the underlying assumptions of the Black-Scholes option pricingmodel, those of a fixed volatility of the underlying asset and of aconstantshort-term riskless interest rate, cause the largest empirical biases. Onlyrecently has attention been paid to the simultaneous effects of thestochasticnature of both variables on the pricing of options. This paper has tried toestimate the effects of a stochastic volatility and a stochastic interestrate inthe Spanish option market. A discrete approach was used. Symmetricand asymmetricGARCH models were tried. The presence of in-the-mean and seasonalityeffectswas allowed. The stochastic processes of the MIBOR90, a Spanishshort-terminterest rate, from March 19, 1990 to May 31, 1994 and of the volatilityofthe returns of the most important Spanish stock index (IBEX-35) fromOctober1, 1987 to January 20, 1994, were estimated. These estimators wereused onpricing Call options on the stock index, from November 30, 1993 to May30, 1994.Hull-White and Amin-Ng pricing formulas were used. These prices werecomparedwith actual prices and with those derived from the Black-Scholesformula,trying to detect the biases reported previously in the literature. Whereasthe conditional variance of the MIBOR90 interest rate seemed to be freeofARCH effects, an asymmetric GARCH with in-the-mean and seasonalityeffectsand some evidence of persistence in variance (IEGARCH(1,2)-M-S) wasfoundto be the model that best represent the behavior of the stochasticvolatilityof the IBEX-35 stock returns. All the biases reported previously in theliterature were found. All the formulas overpriced the options inNear-the-Moneycase and underpriced the options otherwise. Furthermore, in most optiontrading, Black-Scholes overpriced the options and, because of thetime-to-maturityeffect, implied volatility computed from the Black-Scholes formula,underestimatedthe actual volatility.

Subjectivity in the valuation : Case study on the Finnish biotechnology industry

The thesis combines valuation and behavioral economics literature, which is not common among the Finnish management accounting research. Furthermore, the valuation is studied in biotechnology context and those type of studies are rather rare as well. The thesis studies the valuation in the Finnish biotechnology industry. The concepts of behavioral finance are employed in the empirical part of the study to explore decision-makers’ behavior in valuation processes. The main interest of this study is to explore how subjectivity of a decision-maker affects the valuation in the biotechnology industry. The valuation is studied from two perspectives. First, what is the best valuation model for biotechnology companies suggested by the valuation literature? Second, how the valuation in biotechnology industry is done in practice and how the decision-makers subjectivity affects the valuation? The literature review aims at seeking the best valuation model. The real options were found to be the most suitable valuation model for biotechnology companies, especially in the early stages of product development. The real option’s ability to take the value of the inherent options into account results in theoretically most correct valuations. The only disadvantage is the model’s complexity when compared to other models, such as discounted cash flow models. The empirical part of the study consists of a case study, which examines the valuation practices of the Finnish biotechnology companies. When it comes to the valuation models used in practice, it was found that the companies were using rather simple valuation models, which was due to two reasons. First, the interviewees did not believe in the valuation models and second, they were familiar neither with the most sophisticated models nor with all the theoretical aspects of the models they were using. The material for the study was collected with theme interviews. Four CEO’s of highly successful Finnish biotechnology companies. Strong signs of the decision-makers’ subjectivity in valuation were observed. Most obvious were the signs of framing. Furthermore, herding, excessive optimism, and overconfidence were present. All the behavioral concepts observed most likely have a severe effect on the valuation. As a result, the valuation can easily become overly optimistic, which leads to overvalued investments and to continuation of already unprofitable projects. Framing had the strongest evidence. If the product being valued is framed successfully, the risk of overvaluation is high, thus a strong belief can justify almost any value.

Composition of the volatile compounds from Aniba canelilla (H. B. K.) Mez. extracted by CO2 in the supercritical state

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

From cuckoos to chickens: a caught-in-the-act case of host shift in feather mites (Arachnida: Acari: Psoroptoididae)

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Thick braneworlds and the Gibbons-Kallosh-Linde no-go theorem in the Gauss-Bonnet framework

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

An R script to plot the conditioned Gini (or skewness) coefficient in the bivariate case

In the cs.index.zip file we provide an R script which let us plot the conditioned Gini (or skewness) coefficient used in the working paper entitled "On conditional skewness with applications in environmental data" submitted to Environmental and Ecological Statistics. On the other hand, the ReadMe.pdf explains how to use the cs.index.R script.

Mobility in the marketplace : case studies of programs, policies and practices that provide working women with career mobility : a report of the National Commission on Working Women /

Mode of access: Internet.

Darrow's speech in the Haywood case; God and the good man : a fable /

Mode of access: Internet.

Takeovers: Acceptance facilities revisited in the Patrick case

Takeovers undertaken in Australia are highly regulated transactions. Once shareholders in the target accept an offer they have a limited opportunity, if any at all, to reconsider or revoke their acceptance in the light of new circumstances. Arguably, this explains target shareholders reluctance to accept an offer made for their shares under a takeover. The problem of shareholder inertia in takeovers has been identified by bidders, who have sought to induce bid acceptance through the use of innovative mechanisms. The efficacy of the Acceptance Facility mechanism was recently revisited in the Panel decision in Patrick Corporation Ltd’s takeover by Toll Holdings Ltd.

Non-classical error bounds in the central limit theorem

The classical central limit theorem states the uniform convergence of the distribution functions of the standardized sums of independent and identically distributed square integrable real-valued random variables to the standard normal distribution function. While first versions of the central limit theorem are already due to Moivre (1730) and Laplace (1812), a systematic study of this topic started at the beginning of the last century with the fundamental work of Lyapunov (1900, 1901). Meanwhile, extensions of the central limit theorem are available for a multitude of settings. This includes, e.g., Banach space valued random variables as well as substantial relaxations of the assumptions of independence and identical distributions. Furthermore, explicit error bounds are established and asymptotic expansions are employed to obtain better approximations. Classical error estimates like the famous bound of Berry and Esseen are stated in terms of absolute moments of the random summands and therefore do not reflect a potential closeness of the distributions of the single random summands to a normal distribution. Non-classical approaches take this issue into account by providing error estimates based on, e.g., pseudomoments. The latter field of investigation was initiated by work of Zolotarev in the 1960's and is still in its infancy compared to the development of the classical theory. For example, non-classical error bounds for asymptotic expansions seem not to be available up to now ...

Biaxial Nematic Order in the Hard-boomerang Fluid

We consider a fluid of hard boomerangs, each composed of two hard spherocylinders joined at their ends at an angle Psi. The resulting particle is nonconvex and biaxial. The occurence of nematic order in such a system has been investigated using Straley's theory, which is a simplificaton of Onsager's second-virial treatment of long hard rods, and by bifurcation analysis. The excluded volume of two hard boomerangs has been approximated by the sum of excluded volumes of pairs of constituent spherocylinders, and the angle-dependent second-virial coefficient has been replaced by a low-order interpolating function. At the so-called Landau point, Psi(Landau)approximate to 107.4 degrees, the fluid undergoes a continuous transition from the isotropic to a biaxial nematic (B) phase. For Psi not equal Psi(Landau) ordering is via a first-order transition into a rod-like uniaxial nematic phase (N(+)) if Psi > Psi(Landau), or a plate-like uniaxial nematic (N(-)) phase if Psi < Psi(Landau). The B phase is separated from the N(+) and N(-) phases by two lines of continuous transitions meeting at the Landau point. This topology of the phase diagram is in agreement with previous studies of spheroplatelets and biaxial ellipsoids. We have checked the accuracy of our theory by performing numerical calculations of the angle-dependent second virial coefficient, which yields Psi(Landau)approximate to 110 degrees for very long rods, and Psi(Landau)approximate to 90 degrees for short rods. In the latter case, the I-N transitions occur at unphysically high packing fractions, reflecting the inappropriateness of the second-virial approximation in this limit.