Density forecasts of crude-oil prices using option-implied and ARCH-type models

The predictive accuracy of competing crude-oil price forecast densities is investigated for the 1994–2006 period. Moving beyond standard ARCH type models that rely exclusively on past returns, we examine the benefits of utilizing the forward-looking information that is embedded in the prices of derivative contracts. Risk-neutral densities, obtained from panels of crude-oil option prices, are adjusted to reflect real-world risks using either a parametric or a non-parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well as for regions and intervals that are of special interest for the economic agent. We find that non-parametric adjustments of risk-neutral density forecasts perform significantly better than their parametric counterparts. Goodness-of-fit tests and out-of-sample likelihood comparisons favor forecast densities obtained by option prices and non-parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:727–754, 2011

Dynamic models of exchange rate dependence using option prices and historical returns

Models for the conditional joint distribution of the U.S. Dollar/Japanese Yen and Euro/Japanese Yen exchange rates, from November 2001 until June 2007, are evaluated and compared. The conditional dependency is allowed to vary across time, as a function of either historical returns or a combination of past return data and option-implied dependence estimates. Using prices of currency options that are available in the public domain, risk-neutral dependency expectations are extracted through a copula repre- sentation of the bivariate risk-neutral density. For this purpose, we employ either the one-parameter \Normal" or a two-parameter \Gumbel Mixture" specification. The latter provides forward-looking information regarding the overall degree of covariation, as well as, the level and direction of asymmetric dependence. Specifications that include option-based measures in their information set are found to outperform, in-sample and out-of-sample, models that rely solely on historical returns.

From the outside in:consumer anti-choice and policy implications in the mobile gaming market

Significant growth in mobile media consumption has prompted a call to better understand the socio-cultural and policy dimensions of consumer choices. Contrary to industry and technology led analysis, this study argues that to guide consumer choice and innovation via regulatory policies requires an understanding of both ex-ante as well as in ex-post consumption conditions. This study examines mobile phone gaming to uncover how consumer anti-choice shapes decision-making as a framework for closely interrogating the ways in which policy concerns impact on consumers' behavior. Through eleven focus groups (n=62), the study empirically identifies voluntary, intentional, and positive consumer anti-choice behaviors all of which impact policy initiatives when consumers, both gamers and non-gamers, self-regulate their behaviors. Findings point to four types of policy implication: regulating the self-regulated, understanding anti-choice, boundary-setting and including the self-excluded. © 2012 Elsevier Ltd.

Using Inside-Outside Algorithm for Estimation of the Offspring Distribution in Multitype Branching Processes

Multitype branching processes (MTBP) model branching structures, where the nodes of the resulting tree are particles of different types. Usually such a process is not observable in the sense of the whole tree, but only as the “generation” at a given moment in time, which consists of the number of particles of every type. This requires an EM-type algorithm to obtain a maximum likelihood (ML) estimate of the parameters of the branching process. Using a version of the inside-outside algorithm for stochastic context-free grammars (SCFG), such an estimate could be obtained for the offspring distribution of the process.

Option Pricing by Branching Process

2000 Mathematics Subject Classification: 60J80, 62P05.

Nonstandard Finite Difference Schemes with Application to Finance: Option Pricing

2000 Mathematics Subject Classification: 65M06, 65M12.

Class Size Reduction: A Significant Option for Improving Student Learning

Raising academic standards is a driving force behind public school initiatives. True educational reform requires a data-driven approach to choosing valid options for student improvement. We discuss current and continuing research that provides evidence that class size reduction, with related variables, is a significant option for improving student learning.

Recreational Food Service: A Growing Employment Option

The recreational food service industry represents a wealth of potential job opportunities for graduates of hospitality management degree programs. Most hospitality management curricula are saturated with core courses and basic hospitality education course work, leaving little room for additional components. Recreational food service, however, could be easily integrated into an existing pro- gram and made available for students interested in this growing employment option. The author presents one option as a model curriculum approach.

Designing for Dual Submission of ETDs

The main objective is to get participants thinking about how they can solve problems associated with a dual submission of ETDs. Many institutions choose to archive ETDs in their repositories, but also mandate, insist, or permit ETDs to be submitted to ProQuest via the UMI ETD Administrator. The Administrator offers a no-submission-fee route for ETD inclusion in ProQuest’s ubiquitous subscription databases. At FIU, after deciding on a mandatory ETD Policy in July 2011, we considered moving from a payment/snail mail submission to altogether scrapping submission to ProQuest; however, our librarians made a case for keeping at least an option for ProQuest submission. After consideration of all the options, implementing the UMI ETD Administrator seemed the most logical because it relieves payment, paperwork, and snail mail. Unfortunately, the UMI ETD Administrator creates as many problems as it solves e.g., the dual submission. According to the Berkman Center’s Good Practices for University Open-Access Policies, the university should offer to make additional deposits outside of the institutional repository. Thus, we sought to find a way for the students to only submit once to our DigitalCommons Institutional Repository. By June 2012, we manually triaged our first batch of ETDs from our DigitalCommons to the UMI ETD Administrator; however, since that first batch we have identified problems with metadata submission, entering student information, and the ETD Administrator default setup. For instance, with our second batch, we eliminated discrepancies with the department field; in our third batch, we eliminated concerns with FERPA and submitting student information; in our fourth batch, we look to cut down the time of each manual submission. Attendees, with institutions considering the ETD Administrator, should expect to anticipate and solve several issues associated with implementing the system in conjunction with an institutional repository. Attendees, who work with both the ETD Administrator and an Institutional Repository, should expect to gain new ideas for eliminating a dual submission for students, a quicker publication turn around, and/or decreased workflow time.

A Body Outside the Kremlin

A BODY OUTSIDE THE KREMLIN is a historical mystery novel set in the Northern Camps of Special Significance, a Soviet Russian penal institution based in the Solovetsky Archipelago during the 1920s. The protagonist, working first with the camp authorities, then in spite of their disapproval, solves the murder of a fellow prisoner. In the process he improves his position within the camp, while also becoming hardened to the brutal necessities of camp life. Prior to the establishment of the penal camp, the Solovetsky Archipelago was the site of an important Russian Orthodox monastery, and the mystery proves to involve valuables, particularly icons, seized from the monks by the Soviet secret police. Thus the novel treats themes not only of statist repression, but also religious epiphany and the problems of true perception in a world of symbols.

Margo St. James protesting outside the Democratic National Convention

General note: Title and date provided by Bettye Lane.

Lone woman demonstrates outside Dade County Headquarters

General note: Title and date provided by Bettye Lane.

Outside non-governmental conference

General note: Title and date provided by Bettye Lane.