Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts

En este documento está desarrollado un modelo de mercado financiero basado en movimientos aleatorios con tiempo continuo, con velocidades constantes alternantes y saltos cuando hay cambios en la velocidad. Si los saltos en la dirección tienen correspondencia con la dirección de la velocidad del comportamiento aleatorio subyacente, con respecto a la tasa de interés, el modelo no presenta arbitraje y es completo. Se construye en detalle las estrategias replicables para opciones, y se obtiene una presentación cerrada para el precio de las opciones. Las estrategias de cubrimiento quantile para opciones son construidas. Esta metodología es aplicada al control de riesgo y fijación de precios de instrumentos de seguros.

Arbitrage-Free Conditions and Hedging Strategies for Markets with Penalty Costs on Short Positions

We consider a discrete-time financial model in a general sample space with penalty costs on short positions. We consider a friction market closely related to the standard one except that withdrawals from the portfolio value proportional to short positions are made. We provide necessary and sufficient conditions for the nonexistence of arbitrages in this situation and for a self-financing strategy to replicate a contingent claim. For the finite-sample space case, this result leads to an explicit and constructive procedure for obtaining perfect hedging strategies.

Casimir interaction between a perfect conductor and graphene described by the Dirac model

We adopt the Dirac model for graphene and calculate the Casimir interaction energy between a plane suspended graphene sample and a parallel plane perfect conductor. This is done in two ways. First, we use the quantum-field-theory approach and evaluate the leading-order diagram in a theory with 2+1-dimensional fermions interacting with 3+1-dimensional photons. Next, we consider an effective theory for the electromagnetic field with matching conditions induced by quantum quasiparticles in graphene. The first approach turns out to be the leading order in the coupling constant of the second one. The Casimir interaction for this system appears to be rather weak. It exhibits a strong dependence on the mass of the quasiparticles in graphene.

Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market

In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.

Isotropic singularities in shear-free perfect fluid cosmologies

We investigate barotropic perfect fluid cosmologies which admit an isotropic singularity. From the General Vorticity Result of Scott, it is known that these cosmologies must be irrotational. In this paper we prove, using two different methods, that if we make the additional assumption that the perfect fluid is shear-free, then the fluid flow must be geodesic. This then implies that the only shear-free, barotropic, perfect fluid cosmologies which admit an isotropic singularity are the FRW models.

A family of perfect factorisations of complete bipartite graphs

A 1-factorisation of a graph is perfect if the union of any two of its 1-factors is a Hamiltonian cycle. Let n = p(2) for an odd prime p. We construct a family of (p-1)/2 non-isomorphic perfect 1-factorisations of K-n,K-n. Equivalently, we construct pan-Hamiltonian Latin squares of order n. A Latin square is pan-Hamiltoilian if the permutation defined by any row relative to any other row is a single Cycle. (C) 2002 Elsevier Science (USA).

2-perfect directed m-cycle systems can be equationally defined for m=3,4, and 5 only

It is shown that quasigroups constructed using the standard construction from 2-perfect directed m-cycle systems are precisely the finite members of a variety if and only if m=3, 4 or 5.

A family of perfect hashing methods

Minimal perfect hash functions are used for memory efficient storage and fast retrieval of items from static sets. We present an infinite family of efficient and practical algorithms for generating order preserving minimal perfect hash functions. We show that almost all members of the family construct space and time optimal order preserving minimal perfect hash functions, and we identify the one with minimum constants. Members of the family generate a hash function in two steps. First a special kind of function into an r-graph is computed probabilistically. Then this function is refined deterministically to a minimal perfect hash function. We give strong theoretical evidence that the first step uses linear random time. The second step runs in linear deterministic time. The family not only has theoretical importance, but also offers the fastest known method for generating perfect hash functions.

Lambda-fold 3-perfect 9-cycle systems

The spectrum for the decomposition of lambda K-v into 3-perfect 9-cycles is found for all lambda > 1. (The case lambda = 1 was dealt with in an earlier paper by the authors and Lindner.) The necessary conditions for the existence of a suitable decomposition turn out to be sufficient.

Strongly 2-perfect cycle systems and their quasigroups

A recent result of Bryant and Lindner shows that the quasigroups arising from 2-perfect m-cycle systems form a variety only when m = 3, 5 and 7. Here we investigate the situation in the case where the distance two cycles are required to be in the original system.

Separation and hedging results with state-contingent production

A state-contingent model of production under uncertainty is developed and compared with more traditional models of production under uncertainty. Producer behaviour with both production and price risk, in the presence and in the absence of futures and forward markets, is analysed in this state-contingent framework. Conditions for the optimal hedge to be positive or negative are derived. We also show that, under plausible conditions, a risk-averse producer facing price uncertainty and the ability to hedge price risk will never willingly adopt a nonstochastic technology. New separation results, which hold in the presence of both price and production risk, are then developed. These separation results generalize Townsend's spanning results by reducing the number of necessary forward markets by one.

Potential demand for hedging by Australian wheat producers

The potential for hedging Australian wheat with the new Sydney Futures Exchange wheat contract is examined using a theoretical hedging model parametised from previous studies. The optimal hedging ratio for an 'average' wheat farmer was found to be zero under reasonable assumptions about transaction costs and based on previously published measures of risk aversion. The estimated optimal hedging ratios were found by simulation to be quite sensitive to assumptions about the degree of risk aversion. If farmers are significantly more risk averse than is currently believed, then there is likely to be an active interest in the new futures market.