1,720,959 research outputs found
Mathematical treatment of commodity markets
No full textWe study some mathematical problems that arise in the analysis of commodity markets. In the first chapter, we present a factor-model for the term structure of futures prices aimed at providing flexibility on the drivers. This allows a better fitting of curve movements for example contango and backwardation. We study the estimation of the parameters of the model based on Kalman-filter techniques. On the other hand, the factors' processes are found based on the absence of arbitrage. We consider the pricing of derivative securities where the underlyings are the model factors. In the search for closed form solutions, we find the joint distribution of the extreme values and endpoints of correlated Brownian motions with drift, as a summation of Sturm-Liouville functions.
In the second chapter, based on the similarities between bonds and commodity term structures (TS), we generalize bond models such as Duffie-Kan 1996, Ahn, Dittmar and Gallant 2002 and Brace, Gatarek and Musiela 1997, to the world of commodities. We consider two transformations of futures prices, the identity and logarithmic. Due to the known complexity of futures prices TS, we create and deduce non-arbitrage processes for new families of models for example: polynomial models, (n-powers of the factors), and models with multivariate drivers. We also propose the idea of explaining complex commodities term structures by using more simple term structures.
The third chapter deals with the relations between commodity movements and default events. We study both structural (Merton 1974, Giesecke 2003) and reduced form (Jarrow and Turnbull 1995) models in the context of Schwartz 1998 model for commodity futures prices. Several defaultable TS curves are presented, e.g. defaultable forward price. The processes for these TS are found based on the absence of arbitrage. Several commodity derivatives are proposed. In particular, we deal with the pricing of vulnerable options and basket derivatives in the context of constant recovery (Klein 1996). For this valuation, we use convenient change of measures and the multivariate distribution found in chapter 1.Ph.D
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
Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis
Get PDFThis paper proposes an expected multivariate utility analysis for ESG
investors in which green stocks, brown stocks, and a market index are modeled
in a one-factor, CAPM-type structure. This setting allows investors to
accommodate their preferences for green investments according to proper risk
aversion levels. We find closed-form solutions for optimal allocations, wealth
and value functions. As by-products, we first demonstrate that investors do not
need to reduce their pecuniary satisfaction in order to increase green
investments. Secondly, we propose a parameterization to capture investors'
preferences for green assets over brown or market assets, independent of
performance. The paper uses the RepRisk Rating of U.S. stocks from 2010 to 2020
to select companies that are representative of various ESG ratings. Our
empirical analysis reveals drastic increases in wealth allocation toward
high-rated ESG stocks for ESG-sensitive investors; this holds even as the
overall level of pecuniary satisfaction is kept unchanged.Comment: 24 pages, 12 figures, 2 table
Variations on the Author
Get PDF“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
Get PDFWe 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
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
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
Author-wise bibliometric analysis based on entropy.
No full textAuthor-wise bibliometric analysis based on entropy.</p
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