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  • Articles  (87,385)
  • Springer Nature  (66,996)
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  • Blackwell Publishing Ltd
  • Springer Science + Business Media
  • 2000-2004  (35,871)
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  • Articles  (87,385)
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  • 1
    Electronic Resource
    Electronic Resource
    PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper provides a numerically accurate and computationally fast approximation to the prices of European options on coupon-bearing instruments that is applicable to the entire family of affine term structure models. Exploiting the typical shapes of the conditional distributions of the risk factors in affine diffusions, we show that one can reliably compute the relevant probabilities needed for pricing options on coupon-bearing instruments by the same Fourier inversion methods used in the pricing of options on zero-coupon bonds. We apply our theoretical results to the pricing of options on coupon bonds and swaptions, and the calculation of “expected exposures” on swap books. As an empirical illustration, we compute the expected exposures implied by several affine term structure models fit to historical swap yields.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00132.x
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  • 2
    Electronic Resource
    Electronic Resource
    PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the problem of partial hedging of derivative risk in a stochastic volatility environment. It is related to state-dependent utility maximization problems in classical economics. We derive the dual problem from the Legendre transform of the associated Bellman equation and interpret the optimal strategy as the perfect hedging strategy for a modified claim. Under the assumption that volatility is fast mean-reverting and using a singular perturbation analysis, we derive approximate value functions and strategies that are easy to implement and study. The analysis identifies the usual mean historical volatility and the harmonically averaged long-run volatility as important statistics for such optimization problems without further specification of a stochastic volatility model. The approximation can be improved by specifying a model and can be calibrated for the leverage effect from the implied volatility skew. We study the effectiveness of these strategies using simulated stock paths.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00130.x
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  • 3
    Electronic Resource
    Electronic Resource
    MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we analyze the long-run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving financial trading strategy. Investors following this strategy asymptotically gather total market wealth. This result generalizes findings by Blume and Easlcy (1992) to any complete or incomplete asset market.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00127.x
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  • 4
    Electronic Resource
    Electronic Resource
    A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A senera1 proof of the Dybvig-Ingersoll-Ross Theorem o n thc monotonicity of long foraard rates is presented. Some inconsistencies in the original proof o f this theorein are discussed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00133.x
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  • 5
    Electronic Resource
    Electronic Resource
    VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A topical problem is how to price and hedge claims on nontraded assets. A natural approach is to use for hedging purposes another similar asset or index which is traded. To model this situation, we introduce a second nontraded log Brownian asset into the well-known Merton investment model with power law and exponential utilities. The investor has an option on units of the nontraded asset and the question is how to price and hedge this random payoff. The presence of the second Brownian motion means that we are in the situation of incomplete markets. Employing utility maximization and duality methods we obtain a series approximation to the optimal hedge and reservation price using the power utility. The problem is simpler for the exponential utility, and in this case we derive an explicit representation for the price. Price and hedging strategy are computed for some example options and the results for the utilities are compared.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00129.x
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  • 6
    Electronic Resource
    Electronic Resource
    EFFECTS OF FORGETTING ON VARIOUS PROTOCOLS FOR CATEGORY AND LINE SCALES OF INTENSITY (2001)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of sensory studies 16 (2001), S. 0 
    Details
    ISSN: 1745-459X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: Judges rated the intensity of NaCl solutions and orange drinks of varying sweetness using category scales and line scales. They performed under four response conditions that varied in reliance on memory: (1) verbal response (2) written response with no retasting and the response sheet removed (3) written response with a single response sheet which allowed past scores to be reviewed and amended but with no retasting (4) the same as ‘3’ but with retasting. Discrimination errors decreased from conditions ‘1’ through ‘4’ indicating how allowing judges to ‘refresh the memory’ improved discrimination. The cognitive processes involved in rating and consequences for scaling protocols and the experimental design for descriptive analysis are discussed in the light of these findings.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1745-459X.2001.tb00305.x
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  • 7
    Electronic Resource
    Electronic Resource
    EFFECTS OF SWEETENER, SWEETENER CONCENTRATION, AND FRUIT FLAVOR ON SENSORY PROPERTIES OF SOY FORTIFIED YOGURT (2001)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of sensory studies 16 (2001), S. 0 
    Details
    ISSN: 1745-459X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: The effects of sweetener type, sweetener concentration, and fruit flavor on the sensory attributes of soy fortified yogurt were determined. Soy fortified dairy yogurts were made by the addition of soy protein concentrate (0, 2.5, 5%) to standard yogurt mixes prior to fermentation. Sweetener type (sucrose, fructose, sucrose/fructose) and sweetener concentration (6, 8, 10%) were incorporated into yogurts in a split plot experiment with soy concentration as a subplot factor. Flavor effects (plain, lemon, strawberry) were studied in a 3 × 3 factorial experiment (soy concentration × flavor). A trained descriptive panel (n=13) evaluated yogurts for seven flavor and aroma terms. Sweetener type had no effect on sensory properties with the exception of perceived sweetness. Soy flavors and astringency decreased with increasing sweetener concentration. Fruit flavors decreased soy aromas, soy flavors, and astringency in yogurts containing soy protein. These results indicate that sweetener concentration and fruit flavors play a crucial role in formulating yogurts fortified with soy protein.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1745-459X.2001.tb00309.x
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  • 8
    Electronic Resource
    Electronic Resource
    EFFECTIVENESS OF RINSES IN ALLEVIATING BITTERNESS AND ASTRINGENCY RESIDUALS IN MODEL SOLUTIONS (2001)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of sensory studies 16 (2001), S. 0 
    Details
    ISSN: 1745-459X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: A two-part study determined the effectiveness of gum-based rinses with or without oil for alleviating residuals of a bitter (0.8 g/L caffeine solution) and an astringent (1g/L alum solution) stimuli in serial responses using a sip and spit method. In Experiment 1, rinsing with deionized water was compared to rinsing with 0.3% xanthan gum in water alone or with 5% corn oil and 0.55% carboxymethyl cellulose (CMC) in water alone or with 5% or 10% corn oil. The 0.3% xanthan gum and 5% corn oil mixture resulted in the highest stimulus intensity difference before and after rinsing, whereas 0.55% CMC had a value of nearly zero for residual effect. Results of a two-alternative forced choice test used in Experiment 2 indicated that both were equally effective for reducing bitterness residuals, but 0.55% CMC solution resulted in the lowest (p=0.007) residual effect for astringency. Therefore, the 0.55% CMC rinse was considered an effective interstimulus rinse to use for assessing both bitterness and astringency in model solutions.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1745-459X.2001.tb00300.x
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  • 9
    Electronic Resource
    Electronic Resource
    THE β-STRATEGY: AN ALTERNATIVE AND POWERFUL COGNITIVE STRATEGY WHEN PERFORMING SENSORY DISCRIMINATION TESTS (2001)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of sensory studies 16 (2001), S. 0 
    Details
    ISSN: 1745-459X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: For discrimination tests not requiring the nature of the difference to be specified in the instructions, such as the triangle, duo-trio and same-different protocols, it is usually assumed that the decision rule used by the subject in order to generate an answer involves the comparison of the relative sensory distances between the samples. However, there is evidence that an alternative cognitive strategy, the β-strategy, involving the absolute categorization of the sensations could be used by the subject when performing these protocols. This paper introduces the characteristics of this alternative strategy by discussing its statistical power (higher than the traditional strategies) and by describing means of investigating which strategy is used by the subject during an experiment as well as illustrating the experimental conditions that might facilitate the use of this particular decision rule.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1745-459X.2001.tb00303.x
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  • 10
    Electronic Resource
    Electronic Resource
    INTERACTION OF ASTRINGENCY AND TASTE CHARACTERISTICS (2001)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of sensory studies 16 (2001), S. 0 
    Details
    ISSN: 1745-459X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: The perception of astringency and basic taste in mixtures and their interaction effects were investigated by two procedures. In Experiment 1, focused and nonfocused testing procedures were compared using mixtures of low and high concentrations of alum and basic taste solutions. Both procedures yielded taste and astringency intensities that were modality-dependent. Nonfocused testing was used in Experiment 2 to investigate the interactions of astringent phenolic (tannic acid) and nonphenolic (alum) compounds with each basic taste. Sweetness of sucrose increased with increased concentration with or without alum or tannin present. Changes in salty, bitter, and sour taste intensities were modality-dependent. Astringency either remained unchanged or decreased with the addition of sucrose, sodium chloride, citric acid, or caffeine depending upon the taste concentration. Bitterness of tannin and alum at high concentrations was suppressed by the addition of sucrose, sodium chloride, or citric acid; sourness also decreased in the presence of sucrose or sodium chloride as well as a high level of caffeine.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1745-459X.2001.tb00295.x
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