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.

Word-perfect Gatsby overcomes its flaws

Review of 'Gatz', Elevator Repair Company / Brisbane Powerhouse, published in The Australian, 12 May 2009.

Towards a provably secure DoS-Resilient key exchange protocol with perfect forward secrecy

Just Fast Keying (JFK) is a simple, efficient and secure key exchange protocol proposed by Aiello et al. (ACM TISSEC, 2004). JFK is well known for its novel design features, notably its resistance to denial-of-service (DoS) attacks. Using Meadows’ cost-based framework, we identify a new DoS vulnerability in JFK. The JFK protocol is claimed secure in the Canetti-Krawczyk model under the Decisional Diffie-Hellman (DDH) assumption. We show that security of the JFK protocol, when reusing ephemeral Diffie-Hellman keys, appears to require the Gap Diffie-Hellman (GDH) assumption in the random oracle model. We propose a new variant of JFK that avoids the identified DoS vulnerability and provides perfect forward secrecy even under the DDH assumption, achieving the full security promised by the JFK protocol.

The cost of being perfect : perfectionism and suicide ideation in university students

Objective: The aim of the study was to assess the relationship between dimensions of perfectionism and suicide ideation in a tertiary student population in Australia. Method: The methodology involved 405 students completing the General Health Questionnaire (GHQ-28) which includes a subset of questions which can be used to assess suicide ideation, and the Multidimensional Perfectionism Scale. Results: The presence of suicide ideation was associated with higher scores on total perfectionism and two perfectionism dimensions, and total GHQ scores. There were significant differences between participants with high levels of perfectionism and participants with moderate to low levels of perfectionism on a measure of suicide ideation. Neither gender nor age were associated with differences in the scores, with results indicating high levels of perfectionism may indicate a vulnerability to suicide ideation. Conclusions: Perfectionism is a valued attribute in high-achieving populations. The question needs to be asked, however, at what cost? The findings indicate that high levels of perfectionism may be associated with an increased vulnerability to suicide ideation. Future research is needed to gain a better understanding of the complex interrelationship between personality and temperament, environmental factors and self-destructive behaviour.

Forrest v ASIC : a ‘perfect storm’

The policy objectives of the continuous disclosure regime augmented by the misleading or deceptive conduct provisions in the Corporations Act are to enhance the integrity and efficiency of Australian capital markets by ensuring equality of opportunity for all investors through public access to accurate and material company information to enable them to make well-informed investment decisions. This article argues that there were failures by the regulators in the performance of their roles to protect the interests of investors in Forrest v ASIC; FMG v ASIC (2012) 247 CLR 486: ASX failed to enforce timely compliance with the continuous disclosure regime and ensure that the market was properly informed by seeking immediate clarification from FMG as to the agreed fixed price and/or seeking production of a copy of the CREC agreement; and ASIC failed to succeed in the High Court because of the way it pleaded its case. The article also examines the reasoning of the High Court in Forrest v ASIC and whether it might have changed previous understandings of the Campomar test for determining whether representations directed to the public generally are misleading.

Baidu’s perfect paradox : free speech and the right to censor

China’s biggest search engine has a constitutional right to filter its search results, a US court found last month. But that’s just the start of the story. Eight New York-based pro-democracy activists sued Baidu Inc in 2011, seeking damages because Baidu prevents their work from showing up in search results. Baidu follows Chinese law that requires it to censor politically sensitive results. But in what the plaintiffs’ lawyer has dubbed a “perfect paradox”, US District Judge Jesse Furman has dismissed the challenge, explaining that to hold Baidu liable for its decisions to censor pro-democracy content would itself infringe the right to free speech.

Capital-C culture : the perfect American at the Brisbane Festival

A review of Philip Glass's opera The Perfect American. The Brisbane Festival’s production of Philip Glass’s opera The Perfect American is only the third production of the 2012 work ever to be staged. That’s quite a coup for the Brisbane Festival and Opera Queensland. The Perfect American was commissioned by Madrid’s Teatro Real and London’s English National Opera to mark the American composer’s 75th birthday. Glass’s telling of the Disney myth focuses on the final stages of Walt Disney’s life and career – a high art critique of a popular culture icon...

Perfect start to a river cruise

A travel article about Amsterdam. BY COINCIDENCE, I flew to Amsterdam a week after I'd read Ian McEwan's novel of the same name. Amsterdam is a modern take on the theme of duelling and, in many ways, he couldn't have chosen a more appropriate place for his title. This is a city that duels with itself. I flew in at dawn, traditionally the moment to test your abilities at 10 paces. The countryside below was dark but blocks of orange light pulsed in the fields...

Future perfect

"Future Perfect" is a solo artist exhibition featuring a 9 channel video installation, which is comprised of looped computer animation projections. In the first room, the big one, there are nine projections of looped computer animations. Many of these look like representations of gallery spaces containing sculptures, including rotating interpenetrating discs, bouncing coloured coffins, and jostling cardboard cubes (the cubes are blank, then covered in drawings, then covered in photographic imagery). In one video, a man and a woman walk towards one another but never get together. In the second room, an animated video on a flatscreen suggests an origin story. The subtitles tell how, in Russia, my great-grandfather made a joke about Stalin's child bride that cost him his life. That one isn’t a loop; it has a beginning, middle, and end. Lying on the floor, in front of the video, are two slightly crumpled mural prints of photographs of the ocean. There's also a clear Perspex cloud shape on a wall. Viewers will see themselves reflected in it, as if it were a distant hovering mirage. The first room of the exhibition, where objects are set in perpetual motion, is about departure. The second room registers some sense of arrival. The future perfect implies looking back on something that hasn't happened yet; future and past are conflated and the present is somehow deferred. The future perfect combines anticipation and reflection, and it relates to my interest in combining 3-D animation with other mediums like drawing, painting, and shot video. In my work, the virtual and actual coexist in tension, just like experience and expectation in the future perfect.

The value of tail risk hedging in defined contribution plans: What does history tell us

Hedging against tail events in equity markets has been forcefully advocated in the aftermath of recent global financial crisis. Whether this is beneficial to long horizon investors like employees enrolled in defined contribution (DC) plans, however, has been subject to criticism. We conduct historical simulation since 1928 to examine the effectiveness of active and passive tail risk hedging using out of money put options for hypothetical equity portfolios of DC plan participants with 20 years to retirement. Our findings show that the cost of tail hedging exceeds the benefits for a majority of the plan participants during the sample period. However, for a significant number of simulations, hedging result in superior outcomes relative to an unhedged position. Active tail hedging is more effective when employees confront several panic-driven periods characterized by short and sharp market swings in the equity markets over the investment horizon. Passive hedging, on the other hand, proves beneficial when they encounter an extremely rare event like the Great Depression as equity markets go into deep and prolonged decline.

In a perfect world it would be great if they didn't exist : how Australians experience payday loans

In the last few decades payday loans have mushroomed in many developed countries. The arguments for and against an industry which provides small, short-term loans at very high interest rates have also blossomed. This article presents findings from an Australian study to contribute to the international policy and practice debate about a sector which orients to those on a low income. At the heart of this debate lies a conundrum: Borrowing from payday lenders exacerbates poverty, yet many low-income households rely on these loans. We argue that the key problem is the restricted framework within which the debate currently oscillates.

Teaching persuasive texts : building a language of evaluation through hedging and moderated intensification

We identify two persuasive writing techniques – hedging and intensification – that pose difficulty for students in the middle years. We use examples of student writing from 3000 work samples collected as part of a larger Australian Research Council Linkage Project, URLearning (2009–2013). To realise the effective power of rhetorical persuasion, students need to be explicitly taught a range of hedging techniques to use to their advantage, and an expanded lexicon that does not rely on intensifiers. Practical teaching tips are provided for teachers.