Randomized observation periods for the compound Poisson risk model: Dividends

In the framework of the classical compound Poisson process in collective risk theory, we study a modification of the horizontal dividend barrier strategy by introducing random observation times at which dividends can be paid and ruin can be observed. This model contains both the continuous-time and the discrete-time risk model as a limit and represents a certain type of bridge between them which still enables the explicit calculation of moments of total discounted dividend payments until ruin. Numerical illustrations for several sets of parameters are given and the effect of random observation times on the performance of the dividend strategy is studied.

On the impact of leverage constraints on asset prices and trading volume

Researchers have used stylized facts on asset prices and trading volumein stock markets (in particular, the mean reversion of asset returnsand the correlations between trading volume, price changes and pricelevels) to support theories where agents are not rational expected utilitymaximizers. This paper shows that this empirical evidence is in factconsistent with a standard infite horizon perfect information expectedutility economy where some agents face leverage constraints similar tothose found in todays financial markets. In addition, and in sharpcontrast to the theories above, we explain some qualitative differencesthat are observed in the price-volume relation on stock and on futuresmarkets. We consider a continuous-time economy where agents maximize theintegral of their discounted utility from consumption under both budgetand leverage con-straints. Building on the work by Vila and Zariphopoulou(1997), we find a closed form solution, up to a negative constant, for theequilibrium prices and demands in the region of the state space where theconstraint is non-binding. We show that, at the equilibrium, stock holdingsvolatility as well as its ratio to stock price volatility are increasingfunctions of the stock price and interpret this finding in terms of theprice-volume relation.

A general decomposition formula for derivative prices in stochastic volatility models

We see that the price of an european call option in a stochastic volatilityframework can be decomposed in the sum of four terms, which identifythe main features of the market that affect to option prices: the expectedfuture volatility, the correlation between the volatility and the noisedriving the stock prices, the market price of volatility risk and thedifference of the expected future volatility at different times. We alsostudy some applications of this decomposition.

A generalization of Hull and White formula and applications to option pricing approximation

By means of Malliavin Calculus we see that the classical Hull and White formulafor option pricing can be extended to the case where the noise driving thevolatility process is correlated with the noise driving the stock prices. Thisextension will allow us to construct option pricing approximation formulas.Numerical examples are presented.

Monetary unions and the transaction cost savings of a single currency

This paper studies the transaction cost savings of moving froma multi-currency exchange system to a single currency one. Theanalysis concentrates exclusively on the transaction andprecautionary demand for money and abstracts from any othermotives to hold currency. A continuous-time, stochastic Baumol-like model similar to that in Frenkel and Jovanovic (1980) isgeneralized to include several currencies and calibrated to fitEuropean data. The analysis implies an upper bound for thesavings associated with reductions of transaction costs derivedfrom the European Monetary Union of approximately 0.6\% of theCommunity GDP. Additionally, the magnitudes of the brokeragefee and the volatility of transactions, whose estimation hastraditionally been difficult to address empirically, areapproximated for Europe.

Risk management under a two-factor model of the term structure of interest rates

This paper presents several applications to interest rate risk managementbased on a two-factor continuous-time model of the term structure of interestrates previously presented in Moreno (1996). This model assumes that defaultfree discount bond prices are determined by the time to maturity and twofactors, the long-term interest rate and the spread (difference between thelong-term rate and the short-term (instantaneous) riskless rate). Several newmeasures of ``generalized duration" are presented and applied in differentsituations in order to manage market risk and yield curve risk. By means ofthese measures, we are able to compute the hedging ratios that allows us toimmunize a bond portfolio by means of options on bonds. Focusing on thehedging problem, it is shown that these new measures allow us to immunize abond portfolio against changes (parallel and/or in the slope) in the yieldcurve. Finally, a proposal of solution of the limitations of conventionalduration by means of these new measures is presented and illustratednumerically.

Long-tailed trapping times and Lévy flights in a self-organized critical granular system

We present a continuous time random walk model for the scale-invariant transport found in a self-organized critical rice pile [K. Christensen et al., Phys. Rev. Lett. 77, 107 (1996)]. From our analytical results it is shown that the dynamics of the experiment can be explained in terms of Lvy flights for the grains and a long-tailed distribution of trapping times. Scaling relations for the exponents of these distributions are obtained. The predicted microscopic behavior is confirmed by means of a cellular automaton model.

Occupancy of a single site by many random walkers

We consider an infinite number of noninteracting lattice random walkers with the goal of determining statistical properties of the time, out of a total time T, that a single site has been occupied by n random walkers. Initially the random walkers are assumed uniformly distributed on the lattice except for the target site at the origin, which is unoccupied. The random-walk model is taken to be a continuous-time random walk and the pausing-time density at the target site is allowed to differ from the pausing-time density at other sites. We calculate the dependence of the mean time of occupancy by n random walkers as a function of n and the observation time T. We also find the variance for the cumulative time during which the site is unoccupied. The large-T behavior of the variance differs according as the random walk is transient or recurrent. It is shown that the variance is proportional to T at large T in three or more dimensions, it is proportional to T3/2 in one dimension and to TlnT in two dimensions.

Extreme times in financial markets.

We apply the theory of continuous time random walks (CTRWs) to study some aspects involving extreme events in financial time series. We focus our attention on the mean exit time (MET). We derive a general equation for this average and compare it with empirical results coming from high-frequency data of the U.S. dollar and Deutsche mark futures market. The empirical MET follows a quadratic law in the return length interval which is consistent with the CTRW formalism.

Statistics of depth probed by cw measurement of photons in a turbid medium

Photon migration in a turbid medium has been modeled in many different ways. The motivation for such modeling is based on technology that can be used to probe potentially diagnostic optical properties of biological tissue. Surprisingly, one of the more effective models is also one of the simplest. It is based on statistical properties of a nearest-neighbor lattice random walk. Here we develop a theory allowing one to calculate the number of visits by a photon to a given depth, if it is eventually detected at an absorbing surface. This mimics cw measurements made on biological tissue and is directed towards characterizing the depth reached by photons injected at the surface. Our development of the theory uses formalism based on the theory of a continuous-time random walk (CTRW). Formally exact results are given in the Fourier-Laplace domain, which, in turn, are used to generate approximations for parameters of physical interest.

Front propagation in the A+B->2A reaction under subdiffusion

We consider an irreversible autocatalytic conversion reaction A+B->2A under subdiffusion described by continuous-time random walks. The reactants transformations take place independently of their motion and are described by constant rates. The analog of this reaction in the case of normal diffusion is described by the Fisher-Kolmogorov-Petrovskii-Piskunov equation leading to the existence of a nonzero minimal front propagation velocity, which is really attained by the front in its stable motion. We show that for subdiffusion, this minimal propagation velocity is zero, which suggests propagation failure.

Nouvelles options dans le traitement de l'incontinence ano-rectale [New options in the treatment of ano-rectal incontinence]

Ano-rectal incontinence is known to affect about 2% of the population. Main risk factors are traumatic delivery and previous anal surgery. All patients should have a trial of conservative treatment. Patients with major external anal sphincter defect have a 70 to 80% improvement of their symptoms after an overlap sphincter repair Unfortunately, these results deteriorate over time. Sacral nerve modulation improves continence and quality of life in 75 to 100% of patients with various aetiologies. In case of idiopathic internal sphincter degeneration, sphincter augmentation with bulking agents seems to be the least expensive option.

Loss of Prestress, Camber, and Deflection of Non-Composite and Composite Structures Using Different Weight Concretes, HR-137, 1970

General equations are presented for predicting loss of prestress and camber of both composite and non- composite prestressed concrete structures. Continuous time functins of all parameters needed to solve the equations are given, and sample results included. Computed prestress loss and camber are compared with experimental data for normal weight and lightweight concrete. Methods are also presented for predicting the effect of non-prestressed tension steel in reducing time-dependent loss of prestress and camber, and for the determination of short-time deflections of uncracked and cracked prestressed members. Comparisons with experimental results are indicated for these partially prestressed methods.

Renewal equations for option pricing

In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural to the issue because it is based in the use of renewal equations, and therefore it enhances the potential use of CTRW techniques in finance. We solve these equations for typical contract specifications, in a particular but exemplifying case. We also show how a formal general solution can be found for more exotic derivatives, and we compare prices for alternative models of the underlying. Finally, we recover the celebrated results for the Wiener process under certain limits.

Moottorimalliton skalaarisäätö

Työssä tutkitaan nopeusanturittoman vaihtovirtakäytön skalaarisia ohjaus- ja säätömenetelmiä. Työn alussa esitetään perusteoriat taajuusmuuttajista ja oikosulkumoottoreista. Tämän jälkeen esitellään yleisimmin kirjallisuudessa esiintyneet skalaariohjaukset ja –säädöt. Vektorisäätöä ja erityisesti moottoriparametrien vaikutusta säädön toimivuuteen esitellään lyhyesti. Työn tavoitteena on ACS800 taajuusmuuttajan skalaarisäädön tutkiminen. ACS800:n nykyinen skalaarisäätö on liian sidoksissa vektorisäätöön, joten simulointien ja kirjallisuustutkimuksen tarkoituksena on täysin vektorisäädöstä eriytetyn skalaarisäädön kehitysmahdollisuuksien tutkiminen. Kirjallisuudessa esiintyneiden säätöjen avulla muodostetaan diskreettiaikainen toteutus skalaarisäädölle vaihtovirtakäytössä, jossa on käytössä virran ja välipiirijännitteen takaisinkytkentä. Säädettävää moottoria mallinnetaan jatkuvaaikaisella L-sijaiskytkennällä. Välipiirin mallinnus toimii myös jatkuva-aikaisena lukuun ottamatta välipiirin tasavirtakomponenttia, joka muodostetaan virran takaisinkytkennän ja PWM-modulaattorin kytkinasentojen avulla. Simuloinnin tarkoituksena on mallintaa skalaarisäädön suurimpia ongelmia, kuten virta- ja välijännitesäätöä. Tuloksista voidaan päätellä, että perussäädöt toimivat moitteettomasti, mutta erityisesti virtasäätöä tulisi kehittää.