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  • Articles  (13,466)
  • 2005-2009  (13,466)
  • 2005  (13,466)
  • Mathematics  (13,466)
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  • 2005-2009  (13,466)
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  • 1
    Electronic Resource
    Electronic Resource
    ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We study the uniqueness of the marginal utility-based price of contingent claims in a semimartingale model of an incomplete financial market. In particular, we obtain that a necessary and sufficient condition for all bounded contingent claims to admit a unique marginal utility-based price is that the solution to the dual problem defines an equivalent local martingale measure.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00217.x
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  • 2
    Electronic Resource
    Electronic Resource
    OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR-LUNDBERG MODEL (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider that the reserve of an insurance company follows a Cramér-Lundberg process. The management has the possibility of controlling the risk by means of reinsurance. Our aim is to find a dynamic choice of both the reinsurance policy and the dividend distribution strategy that maximizes the cumulative expected discounted dividend payouts. We study the usual cases of excess-of-loss and proportional reinsurance as well as the family of all possible reinsurance contracts. We characterize the optimal value function as the smallest viscosity solution of the associated Hamilton-Jacobi-Bellman equation and we prove that there exists an optimal band strategy. We also describe the optimal value function for small initial reserves.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00220.x
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  • 3
    Electronic Resource
    Electronic Resource
    A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We present here the quantization method which is well-adapted for the pricing and hedging of American options on a basket of assets. Its purpose is to compute a large number of conditional expectations by projection of the diffusion on optimal grids designed to minimize the (square mean) projection error (Graf and Luschgy 2000). An algorithm to compute such grids is described. We provide results concerning the orders of the approximation with respect to the regularity of the payoff function and the global size of the grids. Numerical tests are performed in dimensions 2, 4, 5, 6, 10 with American style exchange options. They show that theoretical orders are probably pessimistic.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00213.x
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  • 4
    Electronic Resource
    Electronic Resource
    A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A representation result is provided for concave Schur concave functions on L∞(Ω). In particular, it is proven that any monotone concave Schur concave weakly upper semicontinuous function is the infinimum of a family of nonnegative affine combinations of Choquet integrals with respect to a convex continuous distortion of the underlying probability. The method of proof is based on the concave Fenchel transform and on Hardy and Littlewood's inequality. Under the assumption that the probability space is nonatomic, concave, weakly upper semicontinuous, law-invariant functions are shown to coincide with weakly upper semicontinuous concave Schur concave functions. A representation result is, thus, obtained for weakly upper semicontinuous concave law-invariant functions.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00253.x
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  • 5
    Electronic Resource
    Electronic Resource
    Mathematical Finance
Cumulative Index, Volume 15 (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.15_04_01.x
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  • 6
    Electronic Resource
    Electronic Resource
    PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The non-Gaussianity of processes observed in financial markets and the relatively good performance of Gaussian models can be reconciled by replacing the Brownian motion with Lévy processes whose Lévy densities decay as exp(−λ|x|) or faster, where λ 〉 0 is large. This leads to asymptotic pricing models. The leading term, P0, is the price in the Gaussian model with the same instantaneous drift and variance. The first correction term depends on the instantaneous moments of order up to 3, that is, the skewness is taken into account, the next term depends on moments of order 4 (kurtosis) as well, etc. In empirical studies, the asymptotic formula can be applied without explicit specification of the underlying process: it suffices to assume that the instantaneous moments of order greater than 2 are small w.r.t. moments of order 1 and 2, and use empirical data on moments of order up to 3 or 4. As an application, the bond-pricing problem in the non-Gaussian quadratic term structure model is solved. For pricing of options near expiry, a different set of asymptotic formulas is developed; they require more detailed specification of the process, especially of its jump part. The leading terms of these formulas depend on the jump part of the process only, so that they can be used in empirical studies to identify the jump characteristics of the process.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00226.x
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  • 7
    Electronic Resource
    Electronic Resource
    MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we investigate the problem of mean–variance portfolio choice with bankruptcy prohibition. For incomplete markets with continuous assets' price processes and for complete markets, it is shown that the mean–variance efficient portfolios can be expressed as the optimal strategies of partial hedging for quadratic loss function. Thus, mean–variance portfolio choice, in these cases, can be viewed as expected utility maximization with non-negative marginal utility.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00231.x
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  • 8
    Electronic Resource
    Electronic Resource
    A NEW METHOD OF PRICING LOOKBACK OPTIONS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A new method for pricing lookback options (a.k.a. hindsight options) is presented, which simplifies the derivation of analytical formulas for this class of exotics in the Black-Scholes framework. Underlying the method is the observation that a lookback option can be considered as an integrated form of a related barrier option. The integrations with respect to the barrier price are evaluated at the expiry date to derive the payoff of an equivalent portfolio of European-type binary options. The arbitrage-free price of the lookback option can then be evaluated by static replication as the present value of this portfolio. We illustrate the method by deriving expressions for generic, standard floating-, fixed-, and reverse-strike lookbacks, and then show how the method can be used to price the more complex partial-price and partial-time lookback options. The method is in principle applicable to frameworks with alternative asset-price dynamics to the Black-Scholes world.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00219.x
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  • 9
    Electronic Resource
    Electronic Resource
    CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A continuous-time mean-variance portfolio selection problem is studied where all the market coefficients are random and the wealth process under any admissible trading strategy is not allowed to be below zero at any time. The trading strategy under consideration is defined in terms of the dollar amounts, rather than the proportions of wealth, allocated in individual stocks. The problem is completely solved using a decomposition approach. Specifically, a (constrained) variance minimizing problem is formulated and its feasibility is characterized. Then, after a system of equations for two Lagrange multipliers is solved, variance minimizing portfolios are derived as the replicating portfolios of some contingent claims, and the variance minimizing frontier is obtained. Finally, the efficient frontier is identified as an appropriate portion of the variance minimizing frontier after the monotonicity of the minimum variance on the expected terminal wealth over this portion is proved and all the efficient portfolios are found. In the special case where the market coefficients are deterministic, efficient portfolios are explicitly expressed as feedback of the current wealth, and the efficient frontier is represented by parameterized equations. Our results indicate that the efficient policy for a mean-variance investor is simply to purchase a European put option that is chosen, according to his or her risk preferences, from a particular class of options.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00218.x
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  • 10
    Electronic Resource
    Electronic Resource
    ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper studies the relative error in the crude Monte Carlo pricing of some familiar European path-dependent multiasset options. For the crude Monte Carlo method it is well known that the convergence rate O(n−1/2), where n is the number of simulations, is independent of the dimension of the integral. This paper also shows that for a large class of pricing problems in the multiasset Black-Scholes market the constant in O(n−1/2) is independent of the dimension. To be more specific, the constant is only dependent on the highest volatility among the underlying assets, time to maturity, and degree of confidence interval.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00222.x
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  • 11
    Electronic Resource
    Electronic Resource
    THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper, novel singular perturbation techniques are applied to price European, American, and barrier options. Employment of these methods leads to a significant simplification of the problem in all cases, by reducing the number of parameters. For American options, the valuation problem is reduced to a procedure that may be performed on a rudimentary handheld calculator. The method also sheds light on the evolution of option prices for all of the cases considered, the results being particularly illuminating for American and barrier options.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00224.x
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  • 12
    Electronic Resource
    Electronic Resource
    ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper gives an ordering on option prices under various well-known martingale measures in an incomplete stochastic volatility model. Our central result is a comparison theorem that proves convex option prices are decreasing in the market price of volatility risk, the parameter governing the choice of pricing measure. The theorem is applied to order option prices under q-optimal pricing measures. In doing so, we correct orderings demonstrated numerically in Heath, Platen, and Schweizer (Mathematical Finance, 11(4), 2001) in the special case of the Heston model.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00210.x
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  • 13
    Electronic Resource
    Electronic Resource
    ON THE AMERICAN OPTION PROBLEM (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We show how the change-of-variable formula with local time on curves derived recently in Peskir (2002) can be used to prove that the optimal stopping boundary for the American put option can be characterized as the unique solution of a nonlinear integral equation arising from the early exercise premium representation. This settles the question raised in Myneni (1992) and dating back to McKean (1965).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00214.x
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  • 14
    Electronic Resource
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    CLOSED-FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We examine the portfolio choice problem of an investor with constant relative risk aversion in a financial market with partially hedgeable interest rate risk. The individual shadow price of the portfolio constraint is characterized as the solution of a new backward equation involving Malliavin derivatives. A generalization of this equation is studied and solved in explicit form. This result, applied to our financial model, yields closed-form solutions for the shadow price and the optimal portfolio. The effects of parameters such as risk aversion, interest rate volatility, investment horizon, and tightness of the constraint are examined. Applications of our method to a monetary economy with inflation risk and to an international setting with currency risk are also provided.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00250.x
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  • 15
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    A NOTE ON ARBITRAGE AND CLOSED CONVEX CONES (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We give an example of a subspace Kof 〈inlineGraphic alt="inline image" href="urn:x-wiley:09601627:MAFI215:MAFI_215_mu1" location="equation/MAFI_215_mu1.gif"/〉 such that 〈inlineGraphic alt="inline image" href="urn:x-wiley:09601627:MAFI215:MAFI_215_mu2" location="equation/MAFI_215_mu2.gif"/〉, where 〈inlineGraphic alt="inline image" href="urn:x-wiley:09601627:MAFI215:MAFI_215_mu3" location="equation/MAFI_215_mu3.gif"/〉 denotes the closure with respect to convergence in probablity. On the other hand, the cone C≔K−L∞+ is dense in L∞ with respect to the weak-star topology σ(L∞, L1). This example answers a question raised by I. Evstigneev. The topic is motivated by the relation of the notion of no arbitrage and the existence of martingale measures in Mathematical Finance.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00215.x
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  • 16
    Electronic Resource
    Electronic Resource
    OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper extends the work of Ross (1976; Q. J. Econ. (90)1, 75–89) to multidate security markets. First, we show that if a primitive security separates states at the terminal date, then there exist multiperiod European options on that security generating dynamically complete markets. Second, we show that if a primitive security conditionally separates states at the terminal date, then there exist multiperiod European options on that security generating generically dynamically complete markets provided that certain conditions hold. Third, we show that there are economies for which the minimum number of multiperiod European options on a primitive security generating generically dynamically complete markets is relatively large. Finally, we show that in these economies, a relatively small number of multiperiod European options on possibly different portfolio strategies of primitive securities generates generically dynamically complete markets.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00251.x
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  • 17
    Electronic Resource
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    A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A method based on transformations of well-known solutions of term structure equations is presented in order to incorporate Martin Barlow's spot price model for electricity into a model for future prices on electricity. The setting for the evolution of term structures is chosen in the spirit of Da Prato and Zabczyk.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00216.x
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  • 18
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    E D I T O R I A L (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    ISSN: 1467-9639
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9639.2005.00216.x
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  • 19
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    Are You Sitting Comfortably? (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    ISSN: 1467-9639
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Notes: This article shows how consideration of seating arrangements in theatres can be used as a basis for constructing an interesting probability model.
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    URL: http://dx.doi.org/10.1111/j.1467-9639.2005.00217.x
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  • 20
    Electronic Resource
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    The Price is Right (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    ISSN: 1467-9639
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Notes: This article considers some probability calculations for a television game show.
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    URL: http://dx.doi.org/10.1111/j.1467-9639.2005.00218.x
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  • 21
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    Going MAD in Degrees of Unfairness! (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    ISSN: 1467-9639
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Notes: This article discusses concepts of unfairness in allocations of objects (coins) to positions (students) and introduces possible measures for unfairness based on intuition.
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    URL: http://dx.doi.org/10.1111/j.1467-9639.2005.00219.x
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  • 22
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    A Closer Look at a Relatively Neglected Mean (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    ISSN: 1467-9639
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Notes: The self-weighted mean (WS) – in which each value is weighted by itself – is presented in several contexts and illustrated. It is incorporated in a set of more familiar means. Intuitions concerning WS are explored.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9639.2005.00220.x
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  • 23
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    FISH: A New Computer Program for Friendly Introductory Statistics Help (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    ISSN: 1467-9639
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Notes: All introductory statistics students must master certain basic descriptive statistics, including means, standard deviations and correlations. Students must also gain insight into such complex concepts as the central limit theorem and standard error. This article introduces and describes the Friendly Introductory Statistics Help (FISH) computer program, which is free and easy-to-use software designed to help students learn such introductory statistical concepts.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9639.2005.00221.x
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  • 24
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    Public Opinion Polls, Chicken Soup and Sample Size (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    ISSN: 1467-9639
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Notes: Cooking and tasting chicken soup in three different pots of very different size serves to demonstrate that it is the absolute sample size that matters the most in determining the accuracy of the findings of the poll, not the relative sample size, i.e. the size of the sample in relation to its population.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9639.2005.00222a.x
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  • 25
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    REVIEW (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    ISSN: 1467-9639
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
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    URL: http://dx.doi.org/10.1111/j.1467-9639.2005.00222b.x
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  • 26
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    STATISTICAL DIVERSIONS (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    ISSN: 1467-9639
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
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    URL: http://dx.doi.org/10.1111/j.1467-9639.2005.00223a.x
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  • 27
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    COMPETITION REPORT (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    ISSN: 1467-9639
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
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    NEWS & NOTES (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    ISSN: 1467-9639
    Source: Blackwell Publishing Journal Backfiles 1879-2005
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    IASE Matter - Autumn 2005 (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
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    EDITORIAL (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    Bluebells and Bias, Stitchwort and Statistics (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Notes: Infants are not too young to engage in real, useful statistical work. This activity allowed comparisons between distributions of two species of flowers in three different habitats.
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    We Can Still Learn About Probability by Rolling Dice and Tossing Coins (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Notes: Rolling dice and tossing coins can still be used to teach probability even if students know (or think they know) what happens in these experiments. This article considers many simple variations of these experiments which are interesting, potentially enjoyable and challenging. Using these variations can cause students (and teachers) to think again about the statistical issues involved – and learn in the process.
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    An Upper Bound on Standard Deviation as a Function of Range (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Notes: This article disproves a conjecture that the ratio of the maximum standard deviation to the range of a set of data decreases as the number of data points increases. It also provides an alternative and more general approach for examining the standard deviation as a function of the range.
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    Using Microsoft Office to Generate Individualized Tasks for Students (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Notes: This article describes how the mail merge facility within Microsoft Word can be used in conjunction with Microsoft Excel to generate personalized assignments for students at all levels.
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    Constructivism in the Statistics Classroom: From Theory to Practice (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
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    Notes: This article discusses the theory and practice of constructivism and suggests a way to move from the theory into the practice of it.
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    BOOK REVIEW (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    Mean and Variance through Factorial Moments (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Notes: This article shows how the use of factorial moments provides a simple, consistent yet elegant approach to finding the mean and variance of standard discrete probability distributions.
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    IASE Matters–Summer 2005 (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
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    Variation as Unalikeability (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
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    Notes: This article discusses concepts of variability and suggests a possible alternative measure that appears to support some students’ intuition.
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    STATISTICAL DIVERSIONS (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    THE C. OSWALD GEORGE PRIZE (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    NEWS & NOTES (2005)
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    TEACHING STATISTICS (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    Experiences from Teaching Statistics Using Directed Projects in Greek Elementary School (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Notes: In this article, we present the main findings of an experiment which involves teaching statistics in the 5th and 6th grade classes of Greek elementary schools. This experiment focused on the evaluation of the potentials of teaching statistical concepts and methods using directed projects.
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    The Monty Hall Three Doors Problem (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
    Teaching statistics 27 (2005), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Notes: In this article, we study the Monty Hall three doors problem. A fully general solution and several new approaches are presented, including a Bayesian analysis.
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    A ‘Striking’ Demonstration of the Poisson Distribution (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
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    Notes: This article describes a simple classroom activity that helps students immediately visualize and understand the meaning and mathematical properties of the Poisson distribution.
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    PRIZE CROSSWORD (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    Means and Variances without Calculus (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
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    Notes: This article gives a method of finding discrete approximations to continuous probability density functions and shows examples of its use, allowing students without calculus access to the calculation of means and variances.
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    A Comparison of Strategies for Playing Even Money Bets in Roulette (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
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    Notes: This article discusses some strategies for playing roulette, making use of the binomial distribution and Normal approximation.
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    STATISTICAL DIVERSIONS (2005)
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    A Random Variable Related to the Inversion Vector of a Partial Random Permutation (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    ISSN: 1467-9639
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Notes: In this article, we define the inversion vector of a permutation of the integers 1, 2, . . . , n. We set up a particular kind of permutation, called a partial random permutation. The sum of the elements of the inversion vector of such a permutation is a random variable of interest.
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    Calculator Statistics (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    MINITAB 14 (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    IASE Matters (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    LETTER TO THE EDITOR (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    THANKS TO THE REFEREES (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    NEWS & NOTES (2005)
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    LOOK AHEAD (2005)
    Oxford, UK : Blackwell Publishing, Ltd.
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    An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 3, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper analyzes possible cointegration relations among the sub-indexes of the Istanbul Stock Exchange series - services sector, industry sector and financial sector - for the period from February 1, 1997 to September 24, 2003. The data is analyzed by using various methods initiated by Engle and Granger (1987), Johansen (1988) and Akdi (1995). The basic finding of this study is that none of these methods suggest the presence of cointegrating relationships among these indexes.
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    Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 2, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We develop a new Markov Chain Monte Carlo procedure for a time series regression model truncated by upper and lower bounds. The regression error term is assumed to follow an ARMA--GARCH process. We use a convergence diagnostics with a simultaneous test of mean and covariance stationarity and discuss model selection criteria. Using MCMC procedure we test the purchasing power parity theory for the Japanese yen controlled to fluctuate in a narrow band and find that the theory is supported if double truncation is incorporated in estimation.
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    What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 2, art6 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a superior in-sample fit relative to linear models, the gain in prediction remains small. We confirm this result using simulated data for a wide range of specifications by applying several tests of forecast accuracy and encompassing robust to nested models. In order to explain this poor performance, we use a forecasting error decomposition. We identify four components and derive their analytical expressions in different MS specifications. The relative contribution of each source is assessed through Monte Carlo simulations. We find that the main source of error is due to the misclassification of future regimes.
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    Some New Results on Industrial Sector Mode-Locking and Business Cycle Formation (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 3, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Business cycles in different industries have a tendency to synchronize with one another in what appears to be a national business cycle. Using simulation and time series techniques in the time and frequency domain, we offer econometric support for the industrial sector mode-locking hypothesis, extending recent work by Selover, Jensen and Kroll (2003). In addition, we propose an economic motivation of the underlying nonlinear model.
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    A Weighted Risk Set Estimator for Survival Distributions in Two-Stage Randomization Designs with Censored Survival Data (2005)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 1 (2005), S. 1 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: In many clinical trials related to diseases such as cancers and HIV, patients are treated by different combinations of therapies. This leads to two-stage designs, where patients are initially randomized to a primary therapy and then depending on disease remission and patients' consent, a maintenance therapy will be randomly assigned. In such designs, the effects of different treatment policies, i.e., combinations of primary and maintenance therapy are of great interest. In this paper, we propose an estimator for the survival distribution for each treatment policy in such two-stage studies with right-censoring using the method of weighted estimation equations within risk sets. We also derive the large-sample properties. The method is demonstrated and compared with other estimators through simulations and applied to analyze a two-stage randomized study with leukemia patients.
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    Some Variants of the Backcalculation Method for Estimation of Disease Incidence: An Application to Multiple Sclerosis Data from the Faroe Islands (2005)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 1 (2005), S. 2 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Backcalculation is a technique that was originally developed for the study of HIV incidence. Here we introduce some variants of the estimation technique that allow for (i) correlation of the unobserved disease incidence counts, and (ii) the use of a smoothing step as part of the maximizing step in the EM algorithm to reduce instability due to small diagnosis counts. Both of these issues can be important in the analysis of small "epidemics." In addition, identification of correlation between diagnosis counts provides indirect evidence of correlation among unobserved incidence counts, hinting at the possibility of an infectious agent. We illustrate the ideas by reconstructing an incidence intensity function for the onset of multiple sclerosis, using data from the Faroe Islands. Previously, this data had been examined statistically, by Joseph, Wolfson & Wolfson (1990), to address the issue of infectiousness of multiple sclerosis. We argue that the incidence function cannot directly shed light on the enigmatic origin of multiple sclerosis in the Faroe Islands during World War II, and, in particular, cannot discriminate between hypotheses of an infectious or environmental agent.
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    Forecasting Stock Market Volatility with Regime-Switching GARCH Models (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 4, art6 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: In this paper we compare a set of different standard GARCH models with a group of Markov Regime-Switching GARCH (MRS-GARCH) in terms of their ability to forecast the US stock market volatility at horizons that range from one day to one month. To take into account the excessive persistence usually found in GARCH models that implies too smooth and too high volatility forecasts, in the MRS-GARCH models all parameters switch between a low and a high volatility regime. Both gaussian and fat-tailed conditional distributions for the residuals are assumed, and the degrees of freedom can also be state-dependent to capture possible time-varying kurtosis. The forecasting performances of the competing models are evaluated both with statistical and risk-management loss functions. Under statistical losses, we use both tests of equal predictive ability of the Diebold-Mariano-type and test of superior predictive ability. Under risk-management losses, we use a two-step selection procedure where we first check which models pass the tests of correct unconditional or conditional coverage and then we compare the best models under two subjective VaR-based loss functions. The empirical analysis demonstrates that MRS-GARCH models do really outperform all standard GARCH models in forecasting volatility at horizons shorter than one week under both statistical and VaR-based risk-management loss functions. In particular, all tests reject the presence of a better model than the MRS-GARCH with normal innovations. However, at forecast horizons longer than one week, standard asymmetric GARCH models tend to be superior.
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    Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 1, art3 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: It is now widely recognized that the most commonly used efficient two-step GMM estimator may have large bias in small samples. In this paper we analyze by simulation the finite sample bias of two classes of alternative estimators. The first includes estimators which are asymptotically first-order equivalent to the GMM estimator, namely the continuous-updating, exponential tilting, and empirical likelihood estimators. Analytical and bootstrap bias-adjusted GMM estimators form the second class of alternatives. The Monte Carlo simulation study conducted in the paper for covariance structure models shows that all alternative estimators offer much reduced bias as compared to the GMM estimator, particularly the empirical likelihood and some of the bias-corrected GMM estimators.
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    Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 4, art2 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We analyze the post-float real exchange rates for a group of OECD countries using the newly developed threshold test and tests for unit roots against stationary but nonlinear alternative by Caner and Hansen ( 2001). These tools help us disentangle the nonlinearity from the nonstationarity rigorously for the first time in the literature. After applying the threshold test and unit root tests: we find evidence for non-linearity of exchange rates. Specifically real exchange rates behave like a unit root in a band and when the depreciation or appreciation of the currency against $US exceeds the boundaries of the band , the real exchange rates are mean-reverting. The threshold value is treated as unknown and estimated in the model.
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    Score Statistics for Current Status Data: Comparisons with Likelihood Ratio and Wald Statistics (2005)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 1 (2005), S. 3 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: In this paper we introduce three natural ``score statistics" for testing the hypothesis that F(t_0)takes on a fixed value in the context of nonparametric inference with current status data. These three new test statistics have natural interpretations in terms of certain (weighted) L_2 distances, and are also connected to natural ``one-sided" scores. We compare these new test statistics with the analogue of the classical Wald statistic and the likelihood ratio statistic introduced in Banerjee and Wellner (2001) for the same testing problem. Under classical ``regular" statistical problems the likelihood ratio, score, and Wald statistics all have the same chi-squared limiting distribution under the null hypothesis. In sharp contrast, in this non-regular problem all three statistics have different limiting distributions under the null hypothesis. Thus we begin by establishing the limit distribution theory of the statistics under the null hypothesis, and discuss calculation of the relevant critical points for the test statistics. Once the null distribution theory is known, the immediate question becomes that of power. We establish the limiting behavior of the three types of statistics under local alternatives. We have also compared the power of these five different statistics via a limited Monte-Carlo study. Our conclusions are: (a) the Wald statistic is less powerful than the likelihood ratio and score statistics; and (b) one of the score statistics may have more power than the likelihood ratio statistic for some alternatives.
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    History-Adjusted Marginal Structural Models and Statically-Optimal Dynamic Treatment Regimens (2005)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 1 (2005), S. 4 
    Details
    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Marginal structural models (MSM) provide a powerful tool for estimating the causal effect of a treatment. These models, introduced by Robins, model the marginal distributions of treatment-specific counterfactual outcomes, possibly conditional on a subset of the baseline covariates. Marginal structural models are particularly useful in the context of longitudinal data structures, in which each subject's treatment and covariate history are measured over time, and an outcome is recorded at a final time point. However, the utility of these models for some applications has been limited by their inability to incorporate modification of the causal effect of treatment by time-varying covariates. Particularly in the context of clinical decision making, such time-varying effect modifiers are often of considerable or even primary interest, as they are used in practice to guide treatment decisions for an individual. In this article we propose a generalization of marginal structural models, which we call history-adjusted marginal structural models (HA-MSM). These models allow estimation of adjusted causal effects of treatment, given the observed past, and are therefore more suitable for making treatment decisions at the individual level and for identification of time-dependent effect modifiers. Specifically, a HA-MSM models the conditional distribution of treatment-specific counterfactual outcomes, conditional on the whole or a subset of the observed past up till a time-point, simultaneously for all time-points. Double robust inverse probability of treatment weighted estimators have been developed and studied in detail for standard MSM. We extend these results by proposing a class of double robust inverse probability of treatment weighted estimators for the unknown parameters of the HA-MSM. In addition, we show that HA-MSM provide a natural approach to identifying the dynamic treatment regimen which follows, at each time-point, the history-adjusted (up till the most recent time point) optimal static treatment regimen. We illustrate our results using an example drawn from the treatment of HIV infection.
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    Nonlinear Error-Correction Models for the FF/DM Rate (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 1, art7 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper is devoted to the empirical analysis of the dynamic behaviour of the FF/DM parity during the September 1987-July 1993 period. By explicitly allowing the strength of adjustment to vary with the extent of equilibrium error, we successively perform parametric, semiparametric and nonparametric estimations of the functional form of the nonlinear error-correction term. On the basis of these econometric tools, we highlight a stronger correction of positive deviations of the parity from the level consistent with its macroeconomic fundamentals and a nonlinear reversion towards a set of equilibrium exchange rates. This asymmetric adjustment of deviations from equilibrium discloses a reluctance for the undervaluation of the FF over the period.
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    A Test of the Martingale Hypothesis (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 2, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper proposes a statistical test of the martingale hypothesis. It can be used to test whether a given time series is a martingale process against certain non-martingale alternatives. The class of alternative processes against which our test has power is very general and it encompasses many nonlinear non-martingale processes which may not be detected using traditional spectrum-based or variance-ratio tests. We look at the hypothesis of martingale, in contrast with other existing methods which test for the hypothesis of martingale difference. Two different types of test are considered: one is a generalized Kolmogorov-Smirnov test and the other is a Cramer-von Mises type test. For the processes that are first-order Markovian in mean, in particular, our approach yields the test statistics that neither depend upon any smoothing parameter nor require any resampling procedure to simulate the null distributions. Their null limiting distributions are nicely characterized as functionals of a continuous stochastic process so that the critical values are easily tabulated. We prove consistency of our tests and further investigate their finite sample properties via simulation. Our tests are found to be rather powerful in moderate size samples against a wide variety of non-martingales including exponential autoregressive, threshold autoregressive, markov switching, chaotic, and some of nonstationary processes.
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    Wavelet Transforms and Commodity Prices (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 1, art6 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Traders in commodity markets may have different time horizons. This paper uses a scale analysis to investigate heterogeneous trading in such markets. Estimates are presented for price correlations by scale and long memory in the volatility of commodity prices. Wavelet variance is estimated using non-decimated wavelet transforms. Wavelets have the potential to be a useful tool for scale analysis in economics.
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    A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 1, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: It is common in empirical macroeconomics to fit vector autoregressive (VAR) models to construct estimates of impulse responses. An important preliminary step in impulse response analysis is the selection of the VAR lag order. In this paper, we compare the six lag-order selection criteria most commonly used in applied work. Our metric is the mean-squared error (MSE) of the implied pointwise impulse response estimates normalized relative to their MSE based on knowing the true lag order. Based on our simulation design we conclude that for monthly VAR models, the Akaike Information Criterion (AIC) tends to produce the most accurate structural and semi-structural impulse response estimates for realistic sample sizes. For quarterly VAR models, the Hannan-Quinn Criterion (HQC) appears to be the most accurate criterion with the exception of sample sizes smaller than 120, for which the Schwarz Information Criterion (SIC) is more accurate. For persistence profiles based on quarterly vector error correction models with known cointegrating vector, our results suggest that the SIC is the most accurate criterion for all realistic sample sizes.
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    Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 2, art7 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: A pervasive finding of unit roots in macroeconomic data often runs counter to intuition regarding the stochastic nature of the process under consideration. Two econometric techniques have been utilized in an attempt to resolve the finding of unit roots, namely long memory and models that depart from linearity. While the use of long memory and stochastic regime switching models have developed almost independently of each other, it is now clear that the two modeling techniques can be intimately linked. In particular, both modeling techniques have been used in isolation to study the dynamics of the real exchange rate. To determine the importance of each technique in this context, I employ a testing and estimation procedure that allows one to jointly test for long memory and non-linearity (regime switching behavior) of the STAR variety. I find that there is substantial evidence of non-linear behavior for the real exchange rate for many developing and European countries, with little evidence for ESTAR non-linearity for countries outside the European continent including Japan and Canada. In cases where non-linearity is found, I also find significant evidence of long memory for the majority of the countries in my sample. Thus, long memory and non-linearity can also be viewed as compliments rather than substitutes. The linear model in isolation appears to be inadequate for breaking down the paradox known as the PPP puzzle. On the other hand, a combination of long memory and non-linearity may be a promising research avenue for pursuing an answer to the paradox.
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    Can GARCH Models Capture Long-Range Dependence? (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 4, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper investigates if component GARCH models introduced by Engle and Lee(1999) and Ding and Granger(1996) can capture the long-range dependence observed in measures of time-series volatility. Long-range dependence is assessed through the sample autocorrelations, two popular semiparametric estimators of the long-memory parameter, and the parametric fractionally integrated GARCH (FIGARCH) model. Monte Carlo methods are used to characterize the finite sample distributions of these statistics when data are generated from GARCH(1,1), component GARCH and FIGARCH models. For several daily financial return series we find that a two-component GARCH model captures the shape of the autocorrelation function of volatility, and is consistent with long-memory based on semiparametric and parametric estimates. Therefore, GARCH models can in some circumstances account for the long-range dependence found in financial market volatility.
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    Economic Growth and Revealed Social Preference (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 2, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: The Representative Agent Growth Model is estimated econometrically using the Generalized Method of Moments for the U.S. economy for three separate Growth Eras and the results compared to those obtained using the Kydland--Prescott calibration approach. The estimated parameters differ substantially in the three cases, which imply changing social preferences for present versus future income and work--leisure tradeoffs. These in turn imply switching among alternative balanced growth paths and differences in the contributions of capital, labor, and labor augmenting productivity among the three Eras. Using the GMM method yields very high productivity and capital elasticity parameters and a very low time preference parameter for Eras I compared to Eras III and IV. While both GMM and the calibration method yield much smaller leisure parameters for Era IV than for Eras I and III.
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    Comment on "Investigating Nonlinearity" (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 3, art3 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: The paper by Bond, Harrison, and O'Brien illustrates the role that convergence criteria, search algorithms, and starting values can play in influencing the success of numerical optimization. One aspect contributing to the importance of these choices in their results appears to be a multivariate generalization of the "pile-up" phenomenon for maximum likelihood estimation of moving average processes. Their results suggest advantages in some settings of using either Bayesian methods or an alternative specification of the random field.
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    A Video Interview of Buz Brock (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 1, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This article is a video presentation of an interview with Buz Brock at the 12th SNDE conference in Atlanta Georgia on March 12, 2004. The interview includes 15 questions on topics ranging from nonlinear dynamics, ecological modeling, and heterogenous agents.
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    Bayesian Modeling of School Effects Using Hierarchical Models with Smoothing Priors (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 3, art4 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We describe a new and flexible framework for modeling school effects. Like previous work in this area, we introduce an empirical model that evaluates school performance on the basis of student level test-score gains. Unlike previous work, however, we introduce a flexible model that relates follow-up student test scores to baseline student test scores and explore for possible nonlinearities in these relationships.Using data from High School and Beyond (HSB) and adapting the methodology described in Koop and Poirier (2004a), we test and reject the use of specifications that have been frequently used in research and as a basis for policy. We find that nonlinearities are important in the relationship between intake and follow-up achievement, that rankings of schools are sensitive to the model employed, and importantly, that commonly used specifications can give different and potentially misleading assessments of school performance. When estimating our preferred semiparametric specification, we find small but ``significant'' impacts of some school quality proxies (such as district-level expenditure per pupil) in the production of student achievement.
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    Inflation Dynamics of Turkey: A Structural Estimation (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 1, replication1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Recent empirical research on the New Keynesian Phillips Curve (NKPC) does not offer any supporting evidence for its benchmark version in which all firms are forward-looking. There is, however, empirical support for a modified, "hybrid", NPKC, in which only a proportion of the firms that use a forward-looking rule to set prices.This paper estimates both the benchmark and the hybrid versions of the NKPC using Turkish data. In contrast with the previous applications on developed countries like the U.S. and several Euro area countries, we find empirical support for the benchmark NPKC. This support persists even after controlling for the weak identification problem which has been a serious concern in generalized method of moment estimation. Moreover, the hybrid NKPC is refuted by the data, i.e. the backward-looking behavior is found to be statistically insignificant.
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    A Note on the Hiemstra-Jones Test for Granger Non-causality (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 2, art4 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We address a consistency problem in the commonly used nonparametric test for Granger causality developed by Hiemstra and Jones (1994). We show that the relationship tested is not implied by the null hypothesis of Granger non-causality. Monte Carlo simulations using processes satisfying the null hypothesis show that, for a given nominal size, the actual rejection rate may tend to one as the sample size increases. Our results imply that evidence for nonlinear Granger causality reported in the applied empirical literature should be re-interpreted.
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    Transitional Dynamics in an Endogenous Growth Model with Physical Capital, Human Capital and R&D (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 1, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We analyze the transitional dynamics of an endogenous growth model with physical capital, human capital, and R&D. We provide conditions for the existence of a feasible steady state equilibrium with positive long-run growth. For appropriate parameter values, the transitional dynamics of the model is represented by a two-dimensional stable manifold. This provides much richer dynamics than that of the standard two-sector endogenous growth model which is characterized by a one-dimensional stable manifold. We also show how the adjustment paths can be correctly computed by noting that the continuity of the shadow prices involves the continuity of transitional paths.
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    Solving Ramsey Problems with Nonlinear Projection Methods (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 2, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper applies nonlinear projection methods to solve Ramsey problems in a stochastic monetary economy. The presence of nonlinear distortions in the Ramsey problem requires the use of a solution procedure which captures these effects. The nonlinear projection method, even with low-order Chebyshev polynomials as employed in this paper, is able to capture a significant portion of the Jensen's inequality effects. As an example of the usefulness of nonlinear projection methods, we examine Barro's (1987, 1979) conjecture that welfare gains are available from policy smoothing with debt. Increases in the volatility of distortionary monetary policy are more than offset by declines in the volatility of distortionary labor taxes so that introduction of debt is welfare enhancing.
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    Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 4, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper analyzes the inflation dynamics of several countries belonging to the European Monetary Union and of the UK. We estimate the two main parameters driving the degree of persistence in inflation and its uncertainty using a dual long memory process. We also investigate the possible existence of heterogeneity in inflation dynamics across Euro area countries and examine the link between nominal uncertainty and macroeconomic performance measured by the inflation and output growth rates. Strong evidence is provided for the hypothesis that increased inflation raises nominal uncertainty in all countries. However, we find that uncertainty surrounding future inflation has a mixed impact on output growth. This result brings out an important asymmetry in the transmission mechanism of monetary policy in Europe in addition to the difference in the economic sizes of the countries. We also investigate whether one can find a correlation between central bank independence and inflation policy. Our conclusion is that the most independent central banks are in countries where inflation falls in response to increased uncertainty.
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    Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 1, art4 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We estimate a unit root bilinear process using the Maximum Likelihood method with log-likelihood function constructed by means of the Kalman filter, and evaluate the finite sample properties of this estimator.One hundred and five world-wide price series are tested for unit root bilinearity applying the test suggested by Charemza et al. (forthcoming). Applying the Maximum Likelihood estimator based on the Kalman filter, the null hypothesis of no bilinearity is rejected for 39 out of 105 series at the 5% level of significance. Most of the significant unit root bilinear coefficient estimates are explosive.
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    Investigating Nonlinearity: A Note on the Estimation of Hamilton's Random Field Regression Model (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 3, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: In this paper we give an account of the approach to nonlinear econometric modelling proposed by Hamilton (2001) and briefly describe some of the methods of nonlinear optimization that may be used in the Gauss computer program provided by Hamilton for the implementation of his methodology. The performance of this program is investigated using data relating to Hamilton's example concerning the US Phillips curve, two versions of the Gauss software, and a range of alternative numerical optimization options and values for the Gauss parameter _oprteps. The impact of changes in initial parameter estimates and the use of pairs of optimization algorithms are also briefly examined. Finally, the effects of changes in the sample data on the results produced by Hamilton's procedure are explored. The results presented suggest some clear conclusions, which will be of value to those contemplating working with Hamilton's new method.
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    Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 4, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Detecting nonlinearity in financial time series is a key point when the main interest is to understand the generating process. One of the main tests for testing linearity in time series is the Hinich Bispectrum Nonlinearity Test (HINBIN). Although this test has been succesfully applied to a vast number of time series, further improvement in the size power of the test is possible. A new method that combines the bispectrum and the surrogate method and bootstrap is then presented for detecting nonlinearity, gaussianity and time reversibility. Simulated and real data examples are given to demonstrate the efficacy of the new tests.
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    The International CAPM and a Wavelet-Based Decomposition of Value at Risk (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 4, art4 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange rate risk. In addition, we derive an analytical formula for time-scale value at risk (VaR) and time-scale marginal VaR of a portfolio. We apply our methodology to stock indices of seven emerging economies belonging to Latin America and Asia, for the sample period 1990-2004. Our main conclusions are the following. First, the estimation results hinge upon the choice of the world market portfolio. In particular, the stock markets of the sampled countries appear to be more integrated with other emerging countries than with developed ones. Second, value at risk depends on the investor's time horizon. In the short run, potential losses are greater than in the long run. Third, additional exposure to some specific stock indices will increase value at risk to a greater extent, depending on the investment horizon. Our results go in line with recent research in asset pricing that stresses the importance of heterogeneous investors.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol9/iss4/art4
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    LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper proposes a method for pricing high-dimensional American options based on modern methods of multidimensional interpolation. The method allows using sparse grids and thus mitigates the curse of dimensionality. A framework of the pricing algorithm and the corresponding interpolation methods are discussed, and a theorem is demonstrated, which suggests that the pricing method is less vulnerable to the curse of dimensionality. The method is illustrated by an application to rainbow options and compared to least squares Monte Carlo and other benchmarks.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00254.x
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    AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Capital allocation techniques are of central importance in portfolio management and risk-based performance measurement. In this paper we propose an axiom system for capital allocation and analyze its satisfiability and completeness: it is shown that for a given risk measure ρ there exists a capital allocation Λρ that satisfies the main axioms if and only if ρ is subadditive and positively homogeneous. Furthermore, it is proved that the axiom system uniquely specifies Λρ. We apply the axiomatization to the most popular risk measures in the finance industry in order to derive explicit capital allocation formulae for these measures.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00227.x
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    MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper defines an optimization criterion for the set of all martingale measures for an incomplete market model when the discounted price process is bounded and quasi-left continuous. This criterion is based on the entropy–Hellinger process for a nonnegative Doléans–Dade exponential local martingale. We develop properties of this process and establish its relationship to the relative entropy “distance.” We prove that the martingale measure, minimizing this entropy–Hellinger process, is unique. Furthermore, it exists and is explicitly determined under some mild conditions of integrability and no arbitrage. Different characterizations for this extremal risk-neutral measure as well as immediate application to the exponential hedging are given. If the discounted price process is continuous, the minimal entropy–Hellinger martingale measure simply is the minimal martingale measure of Föllmer and Schweizer. Finally, the relationship between the minimal entropy–Hellinger martingale measure (MHM) and the minimal entropy martingale measure (MEM) is provided. We also give an example showing that in contrast to the MHM measure, the MEM measure is not robust with respect to stopping.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00229.x
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    UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we investigate growth optimal investment in two-asset discrete-time markets with proportional transaction costs and no distributional assumptions on the market return sequences. We construct a policy with growth rate at least as large as any interval policy. Since interval policies are ε-optimal for independent and identically distributed (i.i.d.) markets (Iyengar 2002), it follows that our policy when employed in an i.i.d. market is able to “learn” the optimal interval policy and achieve growth optimality; in other words, it is a universal growth optimal policy for i.i.d. markets.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00223.x
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    STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE-DIMENSIONAL FORWARD RATES AND OPTION PRICING (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We model the term-structure modeling of interest rates by considering the forward rate as the solution of a stochastic hyperbolic partial differential equation. First, we study the arbitrage-free model of the term structure and explore the completeness of the market. We then derive results for the pricing of general contingent claims. Finally we obtain an explicit formula for a forward rate cap in the Gaussian framework from the general results.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00209.x
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    EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ-FIELDS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper, we solve the problems of optimization and equilibrium on a continuous-time financial market with discontinuous prices, in which agents have different random endowments and different information on the structure and future behavior of the prices. Our purpose is to go over and to extend the work of Pikovsky and Karatzas (1996) by using the theory developed by Amendinger (2000) about martingale representation theorems for initially enlarged filtrations, and to generalize the results in the case of discontinuous prices.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00212.x
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    COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The framework of coherent risk measures has been introduced by Artzner et al. (1999; Math. Finance 9, 203–228) in a single-period setting. Here, we investigate a similar framework in a multiperiod context. We add an axiom of dynamic consistency to the standard coherence axioms, and obtain a representation theorem in terms of collections of multiperiod probability measures that satisfy a certain product property. This theorem is similar to results obtained by Epstein and Schneider (2003; J. Econ. Theor. 113, 1–31) and Wang (2003; J. Econ. Theor. 108, 286–321) in a different axiomatic framework. We then apply our representation result to the pricing of derivatives in incomplete markets, extending results by Carr, Geman, and Madan (2001; J. Financial Econ. 32, 131–167) to the multiperiod case. We present recursive formulas for the computation of price bounds and corresponding optimal hedges. When no shortselling constraints are present, we obtain a recursive formula for price bounds in terms of martingale measures.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00252.x
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    A SHORT NOTE ON SECOND-ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We improve results on law invariant coherent risk measures satisfying the Fatou property due to Kusuoka (2001; Adv. Math. Econ. 3, 83–95) by considering risk measures which are in addition second order stochastic dominance preserving. In particular, we derive a representation result for such risk measures.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00255.x
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    CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND-PAYING STOCK IN A LOCAL VOLATILITY MODEL (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider an American put option on a dividend-paying stock whose volatility is a function of the stock value. Near the maturity of this option, an expansion of the critical stock price is given. If the stock dividend rate is greater than the market interest rate, the payoff function is smooth near the limit of the critical price. We deduce an expansion of the critical price near maturity from an expansion of the value function of an optimal stopping problem. It turns out that the behavior of the critical price is parabolic. In the other case, we are in a less regular situation and an extra logarithmic factor appears. To prove this result, we show that the American and European critical prices have the same first-order behavior near maturity. Finally, in order to get an expansion of the European critical price, we use a parity formula for exchanging the strike price and the spot price in the value functions of European puts.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00228.x
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    LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper pursues the role of Laguerre series in the explicit valuation of contingent claims in general and Asian options in particular. Motivated by Dufresne (2000), we study how they permit one to reduce these questions to computing moments. Two alternative such Laguerre reduction approaches are proposed and analyzed. Sufficient conditions for their validity are developed as a further novel feature; these are in terms of local growth measures for the payoff functions and the densities that the paper introduces for this purpose. Our methods are exemplified by considering the benchmark valuation of Asian options. Our explicit formulas for the negative moments of the integral of geometric Brownian motion in terms of theta functions are instrumental here. They have been derived in Schröder (2003c) building on work of Dufresne (2000), and this paper now finally develops their pertinent computational aspects.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00230.x
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    EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We propose a methodology for evaluating the hedging errors of derivative securities due to the discreteness of trading times or the observation times of market prices, or both. Utilizing a weak convergence approach, we derive the asymptotic distributions of the hedging errors as the discreteness disappears in several situations. First, we examine the hedging error due to discrete-time trading when the true strategy is known, which generalizes the result of Bertsimas, Kogan, and Lo (2000) to continuous Itô processes. Then we consider a data-driven strategy, when the true strategy is unknown. This strategy is free of parametric model assumptions, therefore it is expected to serve as a benchmark for the evaluation of parametric strategies. Finally, we consider a case study of the Black-Scholes delta-hedging strategy when the volatility is unknown in the proposed framework. The results obtained give us a prospect for further developments of the framework under which various parametric strategies could be compared in a unified manner.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00221.x
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    DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Recent advances in the theory of credit risk allow the use of standard term structure machinery for default risk modeling and estimation. The empirical literature in this area often interprets the drift adjustments of the default intensity's diffusion state variables as the only default risk premium. We show that this interpretation implies a restriction on the form of possible default risk premia, which can be justified through exact and approximate notions of “diversifiable default risk.” The equivalence between the empirical and martingale default intensities that follows from diversifiable default risk greatly facilitates the pricing and management of credit risk. We emphasize that this is not an equivalence in distribution, and illustrate its importance using credit spread dynamics estimated in Duffee (1999). We also argue that the assumption of diversifiability is implicitly used in certain existing models of mortgage-backed securities.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00208.x
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