Prices of European plain vanilla as well as barrier and compound options on one risky asset in a Black-Scholes market with stochastic volatility are expressed as solutions of degenerate parabolic partial differential equations in two spatial variables: the spot price S and the volatility process variable y. We present and analyze a pricing algorithm based on sparse wavelet space discretizations of order p greater than or equal to 1 in (S, y) and on hp-discontinuous Galerkin time-stepping with geometric step size reduction towards maturity T. Wavelet preconditioners adapted to the volatility models for a Generalized Minimum Residual method (GMRES) solver allow us to price contracts at all maturities 0 less than t less than or equal to T and all spot prices for a given strike K in essentially O(N) memory and work with accuracy of essentially O(N-p), a performance comparable to that of the best Fast Fourier Transform (FFT)-based pricing methods for constant volatility models (where essentially means up to powers of log N and (log h), respectively).
在具有随机波动率的Black-Scholes市场上，欧洲普通香草的价格以及一种风险资产的障碍期权和复合期权的价格被表示为两个空间变量的退化抛物型偏微分方程的解:我们提出并分析了一种基于p阶大于等于1 in (S)的稀疏小波空间离散化的定价算法。适用于广义最小残差法(GMRES)求解器的波动率模型的小波预处理使我们能够在本质上为O(N)存储器中为所有期限0小于t小于或等于t的合约定价，以及给定K的所有现货价格，并以本质上为O(N-p)的精度工作。其性能可与基于快速傅里叶变换(FFT)的最佳恒定波动模型定价方法相媲美(其中本质上意味着分别高达log N和log h的幂次)。
{"title":"Sparse Wavelet Methods for Option Pricing under Stochastic Volatility","authors":"Norbert Hilber, A. Matache, C. Schwab","doi":"10.21314/JCF.2005.131","DOIUrl":"https://doi.org/10.21314/JCF.2005.131","url":null,"abstract":"Prices of European plain vanilla as well as barrier and compound options on one risky asset in a Black-Scholes market with stochastic volatility are expressed as solutions of degenerate parabolic partial differential equations in two spatial variables: the spot price S and the volatility process variable y. We present and analyze a pricing algorithm based on sparse wavelet space discretizations of order p greater than or equal to 1 in (S, y) and on hp-discontinuous Galerkin time-stepping with geometric step size reduction towards maturity T. Wavelet preconditioners adapted to the volatility models for a Generalized Minimum Residual method (GMRES) solver allow us to price contracts at all maturities 0 less than t less than or equal to T and all spot prices for a given strike K in essentially O(N) memory and work with accuracy of essentially O(N-p), a performance comparable to that of the best Fast Fourier Transform (FFT)-based pricing methods for constant volatility models (where essentially means up to powers of log N and (log h), respectively).","PeriodicalId":22276,"journal":{"name":"The annual research report","volume":"12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2005-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87339125","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We discuss integrated chance constraints in their role of short-term risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for modeling the guidelines proposed by the regulating authority for Dutch pension funds. The paper concludes with an outline of a special-purpose heuristic, which is used to approximately solve the resulting model which contains many binary decision variables.
{"title":"Integrated chance constraints in an ALM model for pension funds","authors":"M. V. D. Vlerk","doi":"10.18452/2927","DOIUrl":"https://doi.org/10.18452/2927","url":null,"abstract":"We discuss integrated chance constraints in their role of short-term risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for modeling the guidelines proposed by the regulating authority for Dutch pension funds. The paper concludes with an outline of a special-purpose heuristic, which is used to approximately solve the resulting model which contains many binary decision variables.","PeriodicalId":22276,"journal":{"name":"The annual research report","volume":"30 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2003-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77976516","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Our results confirm the profitability of value investing at the country level in emerging markets. A portfolio of countries with low price-to-book ratios significantly outperforms a portfolio of high price-to-book countries. Global risk factors cannot explain this outperformance. Next we measure a number of macroeconomic variables of the countries in the long and short value portfolios, as a proxy for local risk factors. We find that the countries in the low price-to-book portfolio on average have significantly lower economic growth, higher growth volatility, higher inflation, more overvalued currencies and more volatile currencies, compared to the high price-to-book portfolio. After portfolio formation, the difference in economic fundamentals between the high and low price-to-book portfolios decreases significantly, which indicates that investors might be extrapolating past economic trends too far into the future.
{"title":"Value investing in emerging markets : local macroeconomic risk and extrapolation","authors":"Roy Kouwenberg, R. Salomons","doi":"10.2139/SSRN.535642","DOIUrl":"https://doi.org/10.2139/SSRN.535642","url":null,"abstract":"Our results confirm the profitability of value investing at the country level in emerging markets. A portfolio of countries with low price-to-book ratios significantly outperforms a portfolio of high price-to-book countries. Global risk factors cannot explain this outperformance. Next we measure a number of macroeconomic variables of the countries in the long and short value portfolios, as a proxy for local risk factors. We find that the countries in the low price-to-book portfolio on average have significantly lower economic growth, higher growth volatility, higher inflation, more overvalued currencies and more volatile currencies, compared to the high price-to-book portfolio. After portfolio formation, the difference in economic fundamentals between the high and low price-to-book portfolios decreases significantly, which indicates that investors might be extrapolating past economic trends too far into the future.","PeriodicalId":22276,"journal":{"name":"The annual research report","volume":"41 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2003-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86371045","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2002-01-01DOI: 10.1177/0001699303046004003
R.J.J. Wielers, P. Meer, H. Brink, W. Salverda
The thesis of the paper is that the strong growth of the number of part-time jobs in the Netherlandsbetween 1975 and 1991 has negatively affected the labour market participation of men, especiallyof lower educated men. The thesis consists of a behavioural component, which explains why lowereducated men are not attracted and do not get access to part-time jobs, and an institutionalcomponent, which explains why the labour market position of lower educated men in theNetherlands has deteriorated relatively rapidly during the period 1975-1991. The thesis isunderpinned by an empirical analysis of labour market participation of lower educated maleworkers in part-time and full-time jobs. Competing theses, such as upgrading of the job structure,displacement by better educated workers and sector shift from manufacturing to services areempirically tested, but prove to be less informative explanations of the deteriorated labour marketposition of lower educated men than the explanation of the growth of part-time jobs.
{"title":"Lower educated workers and part-time work: The Netherlands 1973-1991","authors":"R.J.J. Wielers, P. Meer, H. Brink, W. Salverda","doi":"10.1177/0001699303046004003","DOIUrl":"https://doi.org/10.1177/0001699303046004003","url":null,"abstract":"The thesis of the paper is that the strong growth of the number of part-time jobs in the Netherlandsbetween 1975 and 1991 has negatively affected the labour market participation of men, especiallyof lower educated men. The thesis consists of a behavioural component, which explains why lowereducated men are not attracted and do not get access to part-time jobs, and an institutionalcomponent, which explains why the labour market position of lower educated men in theNetherlands has deteriorated relatively rapidly during the period 1975-1991. The thesis isunderpinned by an empirical analysis of labour market participation of lower educated maleworkers in part-time and full-time jobs. Competing theses, such as upgrading of the job structure,displacement by better educated workers and sector shift from manufacturing to services areempirically tested, but prove to be less informative explanations of the deteriorated labour marketposition of lower educated men than the explanation of the growth of part-time jobs.","PeriodicalId":22276,"journal":{"name":"The annual research report","volume":"16 1","pages":"175-193"},"PeriodicalIF":0.0,"publicationDate":"2002-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89787745","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2001-01-01DOI: 10.1016/S0733-558X(01)18001-8
S. Gabbay, R. Leenders
{"title":"Social capital of organizations: From social structure to the management of corporate social capital","authors":"S. Gabbay, R. Leenders","doi":"10.1016/S0733-558X(01)18001-8","DOIUrl":"https://doi.org/10.1016/S0733-558X(01)18001-8","url":null,"abstract":"","PeriodicalId":22276,"journal":{"name":"The annual research report","volume":"9 1","pages":"1-12"},"PeriodicalIF":0.0,"publicationDate":"2001-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84084265","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2001-01-01DOI: 10.1007/978-1-4757-6484-0_20
E. Hofer, B. Tibken, M. Vlach
{"title":"Traditional Parameter Estimation Versus Estimation of Guaranteed Parameter Sets","authors":"E. Hofer, B. Tibken, M. Vlach","doi":"10.1007/978-1-4757-6484-0_20","DOIUrl":"https://doi.org/10.1007/978-1-4757-6484-0_20","url":null,"abstract":"","PeriodicalId":22276,"journal":{"name":"The annual research report","volume":"284 1","pages":"241-253"},"PeriodicalIF":0.0,"publicationDate":"2001-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75116593","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2001-01-01DOI: 10.1016/S1388-3437(01)80177-3
E. Altman, Konstantin Avrachenkov, C. Barakat, R. N. Queija
{"title":"TCP modeling in the presence of nonlinear window growth","authors":"E. Altman, Konstantin Avrachenkov, C. Barakat, R. N. Queija","doi":"10.1016/S1388-3437(01)80177-3","DOIUrl":"https://doi.org/10.1016/S1388-3437(01)80177-3","url":null,"abstract":"","PeriodicalId":22276,"journal":{"name":"The annual research report","volume":"76 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2001-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79969812","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In order to realize musical performances with human-like emotions by computer, it is necessary to analyze performances using musical score data. The Dynamic Programming (DP) method is often used for matching between a musical score and its performance. However, the DP does not achieve a high matching rate since the ordering of attack of the notes in a chord is not always the same and there are difficult passages of right and left hand performances. Furthermore the score does not define the number of iterations of trills. This paper addresses the process of matching two or more MIDI performance data involving DP along with linear interpolation to maximize the collation between the score and the performance. The improved DP method is also extended to match performances including trills.
{"title":"Improved DP matching between a musical score and its performance using in","authors":"T. Hoshishiba, S. Horiguchi","doi":"10.1250/AST.22.13","DOIUrl":"https://doi.org/10.1250/AST.22.13","url":null,"abstract":"In order to realize musical performances with human-like emotions by computer, it is necessary to analyze performances using musical score data. The Dynamic Programming (DP) method is often used for matching between a musical score and its performance. However, the DP does not achieve a high matching rate since the ordering of attack of the notes in a chord is not always the same and there are difficult passages of right and left hand performances. Furthermore the score does not define the number of iterations of trills. This paper addresses the process of matching two or more MIDI performance data involving DP along with linear interpolation to maximize the collation between the score and the performance. The improved DP method is also extended to match performances including trills.","PeriodicalId":22276,"journal":{"name":"The annual research report","volume":"49 1","pages":"1-14"},"PeriodicalIF":0.0,"publicationDate":"2000-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83657694","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2000-01-01DOI: 10.1007/978-3-319-11885-7_97
R. Kok, B. Hillebrand, W. Biemans
{"title":"Market-oriented product development as an organizational learning capability: findings from two cases","authors":"R. Kok, B. Hillebrand, W. Biemans","doi":"10.1007/978-3-319-11885-7_97","DOIUrl":"https://doi.org/10.1007/978-3-319-11885-7_97","url":null,"abstract":"","PeriodicalId":22276,"journal":{"name":"The annual research report","volume":"100 1","pages":"391-391"},"PeriodicalIF":0.0,"publicationDate":"2000-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85786489","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1996-09-01DOI: 10.1007/978-94-017-0454-0_2
M. Zakharyaschev, F. Wolter, A. Chagrov
{"title":"Advanced modal logic","authors":"M. Zakharyaschev, F. Wolter, A. Chagrov","doi":"10.1007/978-94-017-0454-0_2","DOIUrl":"https://doi.org/10.1007/978-94-017-0454-0_2","url":null,"abstract":"","PeriodicalId":22276,"journal":{"name":"The annual research report","volume":"10 1","pages":"1-173"},"PeriodicalIF":0.0,"publicationDate":"1996-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87782554","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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