1,721,625 research outputs found
Stochastic Volatility Option Pricing
No full textThis paper examines alternative methods for pricing options when the underlying security
volatility is stochastic. We show that when there is no correlation between innovations in
security price and volatility, the characteristic function of the average variance of the price
process plays a pivotal role. It may be used to simplify Fourier option pricing techniques and
to implement simple power series methods. We compare these methods for the alternative
mean-reverting stochastic volatility models introduced by Stein and Stein (1991) and Heston
(1993). We also examine the biases in the Black-Scholes model that are eliminated by
allowing for stochastic volatility, and we correct some errors in the Stein and Stein (1991)
analysis of this issue
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
A jump diffusion model for the European monetary system
No full textWe propose a general continuous time bivariate jump-diffusion representation for the exchange rates of European currencies. Our model captures key features of the exchange rate mechanism. Fluctuation within bilateral limits is modeled by appropriate diffusion dynamics, while discontinuous variation in the level of the fluctuation band is posited to have a jump structure. Under specific assumptions, the probability distribution of the exchange rate process is derived analytically. We also perform an empirical investigation of these exchange rates. Comparing the fit of alternative models, we find some evidence of mean reversion inside the bands for these exchange rates. (JEL F33, C51). © 1993
Target zone modelling and estimation for European Monetary System exchange rates
No full textKrugman (1991) provided a rigorous economic argument for the merits of target zone exchange rate arrangements. His analysis revealed the existence of a stabilizing nonlinear relation between the exchange rate and its driving fundamentals. However, the econometric testing of this relationship has proved difficult. We use data from the European Monetary System (EMS) to implement efficient testing of the Krugman model and extensions which allow mean reversion in the fundamentals process. In particular, we model the fundamentals driving the bilateral exchange rates of participating currencies by means of an Ornstein Uhlenbeck process with reflecting barriers. This specification captures the enforcement of an exchange rate fluctuation band through central bank intervention at band limits as well as through intramarginal intervention. Our empirical work is based on a period of exceptional stability in exchange rate markets and well approximates the credible band limit assumptions common in the target zone modelling literature. Building on recent work by Ricciardi and Sacerdote (1987), de Jong (1991), and Lindberg and Söderlind (1991, 1992), we implement full maximum likelihood estimation of the parameters of the time series dynamics for the most heavily traded bilateral exchange rates in the EMS. In doing so we identify the functional relation between the fundamentals and the exchange rate and quantify the nonlinearity in this relation. When nonlinearity is not present, a restriction of the model posits that the exchange rate, per se, follows a reflected OU process. A further restriction contains reflected Brownian motion as a nested special case. Our analysis affords a description of the alternative exchange rate policies adopted in the various countries party to the EMS. © 1994
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Ball, C G, QX9300
No full textThis record was harvested from a previous catalogue system and will be withdrawn in 2025. Information in this record may be superseded or incomplete. Visit this record in UMA's new catalogue at: https://archives.library.unimelb.edu.au/nodes/view/369911Surname: BALL
Given Name(s) or Initials: C G
Military Service Number or Last Known Location: QX9300
Missing, Wounded and Prisoner of War Enquiry Card Index Number: 22501180171
Item: [2016.0049.02238] "Ball, C G, QX9300
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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