323,078 research outputs found
Calibration Design of Implied Volatility Surfaces
Get PDFThe calibration of option pricing models leads to the minimization of an error functional. We show that its usual specification as a root mean squared error implies fluctuating exotics prices and possibly wrong prices. We propose a simple and natural method to overcome these problems, illustrate drawbacks of the usual approach and show advantages of our method. To this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options.calibration, data design, implied volatility surface, Heston model, cliquet option
Forecasting the Term Structure of Variance Swaps
Get PDFRecently, Diebold and Li (2003) obtained good forecasting results for yield curves in a reparametrized Nelson-Siegel framework. We analyze similar modeling approaches for price curves of variance swaps that serve nowadays as hedging instruments for options on realized variance. We consider the popular Heston model, reparametrize its variance swap price formula and model the entire variance swap curves by two exponential factors whose loadings evolve dynamically on a weekly basis. Generalizing this approach we consider a reparametrization of the three-dimensional Nelson-Siegel factor model. We show that these factors can be interpreted as level, slope and curvature and how they can be estimated directly from characteristic points of the curves. Moreover, we analyze a semiparametric factor model. Estimating autoregressive models for the factor loadings we get termstructure forecasts that we compare in addition to the random walk and the static Heston model that is often used in industry. In contrast to the results of Diebold and Li (2003) on yield curves, no model produces better forecasts of variance swap curves than the random walk but forecasting the Heston model improves the popular static Heston model. Moreover, the Heston model is better than the flexible semiparametric approach that outperforms the Nelson-Siegel model.Term structure, Variance swap curve, Heston model, Nelson-Siegel curve, Semiparametric factor model
Deposition of complement C3c, immunoglobulin (Ig)G4 and IgG at the basement membrane of pancreatic ducts and acini in autoimmune pancreatitis
No full textAIMS: Autoimmune pancreatitis (AIP) is a type of pancreatitis whose immunopathogenesis is still unknown. It has been reported that renal biopsy specimens from patients diagnosed with both AIP and tubulointerstitial nephritis reveal deposits containing complement C3, immunoglobulin (Ig)G and IgG4 at the tubular basement membranes (BMs). The aim was to investigate the deposition of complement and immunoglobulins in pancreatic tissue from AIP patients compared to non-AIP patients.
METHODS: Double immunofluorescence microscopy for C3c, IgG4 and IgG together with CK7, trypsin, collagen IV, CD31 and CD79a, as well as immunofluorescence microscopy for C1q, IgA and IgM, were performed on frozen pancreatic tissue from AIP and alcoholic chronic pancreatitis (ACP) patients.
RESULTS: In AIP patients, complement C3c, IgG4 and IgG were deposited at the collagen IV-positive BMs of pancreatic and bile ducts and of acini. In a minority of the ACP patients, weak C3c-positive BM deposits were detected, but no IgG4- or IgG-positive BM deposits were present.
CONCLUSION: The deposition of C3c, IgG4 and IgG at the BM of small- and medium-sized ducts and acini of the pancreas is characteristic of AIP. This suggests that immune complex-mediated destruction of ducts and acini play a role in the pathogenesis of AIP
Autoimmune pancreatitis: the clinicopathological characteristics of the subtype with granulocytic epithelial lesions
No full textAutoimmune pancreatitis (AIP) has been established as a distinct form of chronic pancreatitis that is distinguishable from other types such as alcoholic, hereditary or obstructive chronic pancreatitis. AIP seems to be a global disease, since it has been reported in many different countries, especially from Japan, USA and Europe (Germany, Italy, United Kingdom). Typical histopathological findings in the pancreas in AIP include a periductal lymphoplasmacytic infiltration with fibrosis, causing narrowing of the involved ducts. The typical clinical features include presentation with obstructive jaundice/pancreatic mass and a dramatic response to steroids. However, while the reports from Japan describe uniform changes called lymphoplasmacytic sclerosing pancreatitis (LPSP) in the pancreas from AIP patients, the reports from Europe and USA distinguish two histopathologic patterns in AIP patients: one with the characteristics of LPSP and another with slightly different histological features, called idiopathic duct centric pancreatitis (IDCP) or AIP with granulocytic epithelial lesions (GELs). This article reviews the evidence that GEL-positive AIP or IDCP is a second type of AIP, distinct from LPSP, in regard to pancreatic pathology, immunology and epidemiology
Diffusive author(s), cohesive author: Analysis of S/N (1994)
No full textThis study indicates the ways in which various aspects of the author(s) are brought forth in Dumb type’s performance art, the S/N production. Previous research has suggested a non-hierarchical organization of Dumb type and the absence of a “privileged author” in Dumb type’s collaborative work, S/N. However, the results that I have investigated from member’s interviews on the creative process of S/N along with my analysis of the recorded images of S/N, indicate a different aspect of the author(s). First, S/N was created through, so to speak, the collective ideas of the members of Dumb type. Further, S/N has at least nine quotations from previous performances, installations, and printed writings, besides the work-in-progress technique. Explicating one of the “author functions” as given by Michel Foucault, each text has plural subjects of the author. However, it has been revealed from members’ interviews that Teiji Furuhashi had a decision-making role in selecting the members’ ideas within the performance. Since then, S/N has had plural subjects of creation; however, Furuhashi is one of the subjects of creation along with the “privileged author.” S/N has plural authors (diffusive authors) yet at the same time, it has a “privileged author,” Teiji Furuhashi (cohesive author)
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe 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
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe 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
Conditional and Dynamic Convex Risk Measures
Get PDFWe extend the definition of a convex risk measure to a conditional framework where additional information is available. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of conditional expectations. As an example we consider the class of conditional entropic risk measures. A new regularity property of conditional risk measures is defined and discussed. Finally we introduce the concept of a dynamic convex risk measure as a family of successive conditional convex risk measures and characterize those satisfying some natural time consistency properties.Conditional convex risk measure, robust representation, regularity, entropic risk measure, dynamic convex risk measure, time consistency
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No full textCan archives of audiovisual TV interviews be used to make authors more visible to students, and thereby reduce the learning gap between native and non-native language speakers in college classes? We examined students in a college course who learned about one scholar's ideas through watching an audiovisual TV interview (i.e., visible author format) and about another scholar's ideas through reading a formal text description (i.e., invisible author format). For the invisible author, native language speakers scored significantly higher than the non-native language speakers on a corresponding exam question (i.e., a cognitive measure), generated more words on the exam question (i.e., a motivational measure), and mentioned the author's name more often in answering the exam question (i.e., an affective measure). For the visible author, the groups did not differ on any of these measures. These findings provide evidence for the idea that making the author visible through audiovisual TV interviews can eliminate the learning gap between native and non-native language speakers. 3 Universities around the world serve students who are non-native speakers of th
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