Marginal/minority popular music : the concept of the "third space" and the case for "hybridities" of cultures/identities /

The topic of this thesis is marginaVminority popular music and the question of identity; the term "marginaVminority" specifically refers to members of racial and cultural minorities who are socially and politically marginalized. The thesis argument is that popular music produced by members of cultural and racial minorities establishes cultural identity and resists racist discourse. Three marginaVminority popular music artists and their songs have been chosen for analysis in support of the argument: Gil Scott-Heron's "Gun," Tracy Chapman's "Fast Car" and Robbie Robertson's "Sacrifice." The thesis will draw from two fields of study; popular music and postcolonialism. Within the area of popular music, Theodor Adorno's "Standardization" theory is the focus. Within the area of postcolonialism, this thesis concentrates on two specific topics; 1) Stuart Hall's and Homi Bhabha's overlapping perspectives that identity is a process of cultural signification, and 2) Homi Bhabha's concept of the "Third Space." For Bhabha (1995a), the Third Space defines cultures in the moment of their use, at the moment of their exchange. The idea of identities arising out of cultural struggle suggests that identity is a process as opposed to a fixed center, an enclosed totality. Cultures arise from historical memory and memory has no center. Historical memory is de-centered and thus cultures are also de-centered, they are not enclosed totalities. This is what Bhabha means by "hybridity" of culture - that cultures are not unitary totalities, they are ways of knowing and speaking about a reality that is in constant flux. In this regard, the language of "Otherness" depends on suppressing or marginalizing the productive capacity of culture in the act of enunciation. The Third Space represents a strategy of enunciation that disrupts, interrupts and dislocates the dominant discursive construction of US and THEM, (a construction explained by Hall's concept of binary oppositions, detailed in Chapter 2). Bhabha uses the term "enunciation" as a linguistic metaphor for how cultural differences are articulated through discourse and thus how differences are discursively produced. Like Hall, Bhabha views culture as a process of understanding and of signification because Bhabha sees traditional cultures' struggle against colonizing cultures as transforming them. Adorno's theory of Standardization will be understood as a theoretical position of Western authority. The thesis will argue that Adorno's theory rests on the assumption that there is an "essence" to music, an essence that Adorno rationalizes as structure/form. The thesis will demonstrate that constructing music as possessing an essence is connected to ideology and power and in this regard, Adorno's Standardization theory is a discourse of White Western power. It will be argued that "essentialism" is at the root of Western "rationalization" of music, and that the definition of what constitutes music is an extension of Western racist "discourses" of the Other. The methodological framework of the thesis entails a) applying semiotics to each of the three songs examined and b) also applying Bhabha's model of the Third Space to each of the songs. In this thesis, semiotics specifically refers to Stuart Hall's retheorized semiotics, which recognizes the dual function of semiotics in the analysis of marginal racial/cultural identities, i.e., simultaneously represent embedded racial/cultural stereotypes, and the marginal raciaVcultural first person voice that disavows and thus reinscribes stereotyped identities. (Here, and throughout this thesis, "first person voice" is used not to denote the voice of the songwriter, but rather the collective voice of a marginal racial/cultural group). This dual function fits with Hall's and Bhabha's idea that cultural identity emerges out of cultural antagonism, cultural struggle. Bhabha's Third Space is also applied to each of the songs to show that cultural "struggle" between colonizers and colonized produces cultural hybridities, musically expressed as fusions of styles/sounds. The purpose of combining semiotics and postcolonialism in the three songs to be analyzed is to show that marginal popular music, produced by members of cultural and racial minorities, establishes cultural identity and resists racist discourse by overwriting identities of racial/cultural stereotypes with identities shaped by the first person voice enunciated in the Third Space, to produce identities of cultural hybridities. Semiotic codes of embedded "Black" and "Indian" stereotypes in each song's musical and lyrical text will be read and shown to be overwritten by the semiotic codes of the first person voice, which are decoded with the aid of postcolonial concepts such as "ambivalence," "hybridity" and "enunciation."

A stochastic dynamic programming approach for pricing options on stock-index futures

The aim of this thesis is to price options on equity index futures with an application to standard options on S&P 500 futures traded on the Chicago Mercantile Exchange. Our methodology is based on stochastic dynamic programming, which can accommodate European as well as American options. The model accommodates dividends from the underlying asset. It also captures the optimal exercise strategy and the fair value of the option. This approach is an alternative to available numerical pricing methods such as binomial trees, finite differences, and ad-hoc numerical approximation techniques. Our numerical and empirical investigations demonstrate convergence, robustness, and efficiency. We use this methodology to value exchange-listed options. The European option premiums thus obtained are compared to Black's closed-form formula. They are accurate to four digits. The American option premiums also have a similar level of accuracy compared to premiums obtained using finite differences and binomial trees with a large number of time steps. The proposed model accounts for deterministic, seasonally varying dividend yield. In pricing futures options, we discover that what matters is the sum of the dividend yields over the life of the futures contract and not their distribution.

Estudio comparativo in vitro sobre la adaptación marginal en coronas de disilicato de litio : prensadas vs CAD

Tesis (Maestría en Odontología Restauradora) UANL, 2012.

Comparing Predictive Accuracy of Real Estate Pricing Models: An Applied Study for the City of Montreal.

Rapport de recherche

Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables

This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit parameters and forecast next day S&P 500 option prices, we obtain similar pricing errors than with implied volatility alone as in the Hull-White case. When we specialize this model to an equilibrium recursive utility model, we show through simulations that option prices are more informative than stock prices about the structural parameters of the model. We also show that a simple method of moments with a panel of option prices provides good estimates of the parameters of the model. This lays the ground for an empirical assessment of this equilibrium model with S&P 500 option prices in terms of pricing errors.

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. The conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. The inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.

Risk Aversion, Intertemporal Substitution, and Option Pricing

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not preference-free, in other words, when preferences are not hidden in the stock and bond prices as they are in the standard Black and Scholes (BS) or Hull and White (HW) pricing formulas. The dependence of option prices on preference parameters comes from several instantaneous causality effects such as the so-called leverage effect. We also emphasize that the most standard asset pricing models (CAPM for the stock and BS or HW preference-free option pricing) are valid under the same stochastic setting (typically the absence of leverage effect), regardless of preference parameter values. Even though we propose a general non-preference-free option pricing formula, we always keep in mind that the BS formula is dominant both as a theoretical reference model and as a tool for practitioners. Another contribution of the paper is to characterize why the BS formula is such a benchmark. We show that, as soon as we are ready to accept a basic property of option prices, namely their homogeneity of degree one with respect to the pair formed by the underlying stock price and the strike price, the necessary statistical hypotheses for homogeneity provide BS-shaped option prices in equilibrium. This BS-shaped option-pricing formula allows us to derive interesting characterizations of the volatility smile, that is, the pattern of BS implicit volatilities as a function of the option moneyness. First, the asymmetry of the smile is shown to be equivalent to a particular form of asymmetry of the equivalent martingale measure. Second, this asymmetry appears precisely when there is either a premium on an instantaneous interest rate risk or on a generalized leverage effect or both, in other words, whenever the option pricing formula is not preference-free. Therefore, the main conclusion of our analysis for practitioners should be that an asymmetric smile is indicative of the relevance of preference parameters to price options.

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. the conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. the inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian (including Student t) errors. The univariate tests studied extend existing exact procedures by allowing for unspecified parameters in the error distributions (e.g., the degrees of freedom in the case of the Student t distribution). The multivariate tests are based on properly standardized multivariate residuals to ensure invariance to MLR coefficients and error covariances. We consider tests for serial correlation, tests for multivariate GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of those applied in Shanken (1990) which consist in combining univariate specification tests. Specifically, we combine tests across equations using the MC test procedure to avoid Bonferroni-type bounds. Since non-Gaussian based tests are not pivotal, we apply the “maximized MC” (MMC) test method [Dufour (2002)], where the MC p-value for the tested hypothesis (which depends on nuisance parameters) is maximized (with respect to these nuisance parameters) to control the test’s significance level. The tests proposed are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995. Our empirical results reveal the following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such effects are much less prevalent once error cross-equation covariances are accounted for. In addition, significant departures from the i.i.d. hypothesis are less evident once we allow for non-Gaussian errors.

Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical multivariate skewness and kurtosis criteria are then compared to simulation-based estimate of their expected value under the hypothesized distribution. Special cases considered include testing multivariate normal, Student t; normal mixtures and stable error models. In the Gaussian case, finite-sample versions of the standard multivariate skewness and kurtosis tests are derived. To do this, we exploit simple, double and multi-stage Monte Carlo test methods. For non-Gaussian distribution families involving nuisance parameters, confidence sets are derived for the the nuisance parameters and the error distribution. The procedures considered are evaluated in a small simulation experi-ment. Finally, the tests are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995.

Aumann-Shapley Pricing : A Reconsideration of the Discrete Case

We reconsider the following cost-sharing problem: agent i = 1,...,n demands a quantity xi of good i; the corresponding total cost C(x1,...,xn) must be shared among the n agents. The Aumann-Shapley prices (p1,...,pn) are given by the Shapley value of the game where each unit of each good is regarded as a distinct player. The Aumann-Shapley cost-sharing method assigns the cost share pixi to agent i. When goods come in indivisible units, we show that this method is characterized by the two standard axioms of Additivity and Dummy, and the property of No Merging or Splitting: agents never find it profitable to split or merge their demands.

First-Degree Discrimination in a Competitive Setting: Pricing and Quality Choice

The paper investigates competition in price schedules among vertically differentiated dupolists. First order price discrimination is the unique Nash equilibrium of a sequential game in which firms determine first whether or not to commit to a uniform price, and then simultaneously choose either a single price of a price schedule. Whether the profits earned by both firms are larger or smaller under discrimination than under uniform pricing depends on the quality gap between firms, and on the disparity of consumer preferences. Firms engaged in first degree discrimination choose quality levels that are optimal from a welfare perspective. The paper also reflects on implications of these findings for pricing policies of an incumbent threatened by entry.

Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data, we propose a comprehensive statistical approach which allows for alternative - possibly asymmetric - heavy tailed distributions without the use of large-sample approximations. The methods suggested are based on Monte Carlo test techniques. Goodness-of-fit tests are formally incorporated to ensure that the error distributions considered are empirically sustainable, from which exact confidence sets for the unknown tail area and asymmetry parameters of the stable error distribution are derived. Tests for the efficiency of the market portfolio (zero intercepts) which explicitly allow for the presence of (unknown) nuisance parameter in the stable error distribution are derived. The methods proposed are applied to monthly returns on 12 portfolios of the New York Stock Exchange over the period 1926-1995 (5 year subperiods). We find that stable possibly skewed distributions provide statistically significant improvement in goodness-of-fit and lead to fewer rejections of the efficiency hypothesis.