On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing

In this paper we study the dynamic behavior of the term structureof Interbank interest rates and the pricing of options on interest ratesensitive securities. We posit a generalized single factor model withjumps to take into account external influences in the market. Daily datais used to test for jump effects. Qualitative examination of the linkagebetween Monetary Authorities' interventions and jumps are studied. Pricingresults suggests a systematic underpricing in bonds and call options ifthe jumps component is not included. However, the pricing of put optionson bonds presents indeterminacies.

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.

A-1A Supplemental Security Income Program, June 2005

A-1A - Supplemental Security Income Program

A-1A Supplemental Security Income Program, December 2005

A-1A - Supplemental Security Income Program

A-1A Supplemental Security Income Program, May 2003

A-1A - Supplemental Security Income Program

A-1A Supplemental Security Income Program, October 2007

A-1A Supplemental Security Income Program, October 2007

Welcome To Medicare Physical Exam, September 2007

Medicare will cover a one-time preventive physical exam within the first six months that you have Part B. This benefit is for all Medicare beneficiaries including those under age 65. How much does the exam cost? You pay 20% of the Medicare approved amount after you meet the yearly Part B deductible ($131 for 2007). Since this exam may be your first Medicare-covered service, you could meet your entire Part B deductible for the year. Medicare will cover the exam if performed by a physician, physician assistant, nurse practitioner, or clinical nurse specialist. What should I expect during the exam? The “Welcome to Medicare Physical” will include the following: 1. A review of your medical and social history. 2. A review of your potential risk factors for depression. 3. A review of your functional ability and level of safety. 4. Blood pressure, height, weight and vision test 5. An electrocardiogram (EKG) 6. Education and counseling on the above five items. 7. A written plan explaining screenings and other recommended preventive services. All seven elements must be documented in order for the physical to be covered by Medicare. The exam does not include clinical laboratory tests. Medicare will pay for a one-time ultrasound screening for abdominal aortic aneurysms for beneficiaries who are at risk (has a family history or a man age 65 to 75 who has smoked at least 100 cigarettes in his lifetime.) Only Medicare beneficiaries who receive a referral from the Welcome to Medicare physical exam will be covered for this benefit. There is no Part B deductible, but you or your supplemental insurance will be responsible for the coinsurance. What should I take to the exam? You should bring the following when you go to your “Welcome to Medicare” physical exam: • Medical records, including immunization records (if you are seeing a doctor for the first time) • Family health history • A list of current prescription drugs, how often you take them, and why.

A-1a Supplemental Security Income Program, December 2007

A-1a - SUPPLEMENTAL SECURITY INCOME PROGRAM - December 2007

A-1a Supplemental Security Income Program, November 2007

A-1a - SUPPLEMENTAL SECURITY INCOME PROGRAM - November 2007

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.

Multiple prisoner's dilemma games with (out) an outside option: An experimental study

Experiments in which subjects play simultaneously several finite prisoner's dilemma supergames with and without an outside optionreveal that: (i) subjects use probabilistic start and endeffect behaviour, (ii) the freedom to choose whether to play the prisoner's dilemma game enhances cooperation, (iii) if the payoff for simultaneous defection is negative, subjects' tendency to avoid losses leads them to cooperate; while this tendency makes them stick to mutual defection if its payoff is positive.

A-1A Supplemental Security Income Program, April 2008

A-1A - Supplemental Security Income Program, April 2008

A-1A Supplemental Security Income Program, March 2008

A-1A - Supplemental Security Income Program, March 2008

A-1A Supplemental Security Income Program, February 2008

A-1A - Supplemental Security Income Program, February 2008

A-1A Supplemental Security Income Program, January 2008

A-1A - Supplemental Security Income Program, January 2008