1,438,919 research outputs found
At The Same Time. Essays and Speeches
No full textIn 2006 Paolo Dilonardo was chosen by the Susan Sontag Literary Estate as one of the editors of Sontag’s posthumous work. The access to Sontag private archives allowed him and Anne Jump to reconstruct form and intentions of the collection of essays Sontag was outlining in the last years of her life. Through the study of her manuscripts, Dilonardo and Jump prepared the essays for publication, restoring the original version of the pieces that were cut or edited at the time of first publication in magazines, and incorporating the corrections and edits the author made after that first publication. The result of their work is Susan Sontag, At the Same Time. Essays and Speeches, edited by Paolo Dilonardo and Anne Jump. Foreword by David Rieff, published first in the United States then in the U.K. The collection of essays edited by Dilonardo and Jump was then translated into French, Spanish, German and Portuguese. The Italian edition, translated by Paolo Dilonardo, was published by Mondadori in 2008
On the Strong Approximation of Pure Jump Processes
Get PDFThis paper constructs strong discrete time approximations for pure jump processes that can be described by stochastic differential equations. Strong approximations based on jump-adapted time discretizations, which produce no discretization bias, are analyzed. The computational complexity of these approximations is proportional to the jump intensity. Furthermore, by exploiting a stochastic expansion for pure jump processes, higher order discrete time approximations, whose computational complexity is not dependent on the jump intensity, are proposed. The strong order of convergence of the resulting schemes is analyzed.pure jump processes; stochastic Taylor expansion; discrete time approximation; simulation; strong convergence
Consistency Problems For Jump-Diffusion Models
Get PDFIn this paper we examine a consistency problem for a multi-factor jump diffusion model. First we bridge a gap between a jump-diffusion model and a generalized Heath-Jarrow-Morton (HJM) model, and bring a multi- factor jump-diffusion model into the HJM framework. By applying the drift condition for a generalized arbitrage-free HJM model, we derive the general consistency condition for a jump-diffusion model. Then we consider the case that the forward rate function has a separable structure, and obtain a specific version of the general consistency condition. In particular, we provide the necessary and sufficient condition for a jump-diffusion model to be affine, which generalizes the result in Duffie and Kan (1996). Finally we discuss the Nelson-Siegel type of forward curve structure, and give the necessary and sufficient condition for the consistency of this class of models in the jump- diffusion case.Arbitrage-free Condition, HJM Models, Jump-Diffusion Models
A Modern View on Merton's Jump-Diffusion Model
Get PDFMerton has provided a formula for the price of a European call option on a single stock where the stock price process contains a continuous Poisson jump component, in addition to a continuous log-normally distributed component. In Merton's analysis, the jump-risk is not priced. Thus the distribution of the jump-arrivals and the jump-sizes do not change under the change of measure. We go onto introduce a Radon-Nikodym derivative process that induces the change of measure from the market measure to an equivalent martingale measure. The choice of parameters in the Radon-Nikodym derivative allows us to price the option under different financial-economic scenarios. We introduce a hedging argument that eliminates the jump-risk in some sort of averaged sense, and derive an integro-partial differential equation of the option price that is related to the one obtained by Merton.financial derivatives; compound Poisson processes; equivalent martingale measure; hedging portfolio
On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
Get PDFEvent-driven uncertainties such as corporate defaults, operational failures or central bank announcements are important elements in the modelling of financial quantities. Therefore, stochastic differential equations (SDEs) of jump-diffusion type are often used in finance. We consider in this paper weak discrete time approximations of jump-diffusion SDEs which are appropriate for problems such as derivative pricing and the evaluation of risk measures. We present regular and jump-adapted predictor-corrector schemes with first and second order of weak convergence. The regular schemes are constructed on regular time discretizations that do not include jump times, while the jump-adapted schemes are based on time discretizations that include all jump times. A numerical analysis of the accuracy of these schemes when applied to the jump-diffusion Merton model is provided.weak approximations; Monte Carlo simulations; predictor-corrector schemes; jump diffusions
On the Strong Approximation of Jump-Diffusion Processes
Get PDFIn financial modelling, filtering and other areas the underlying dynamics are often specified via stochastic differential equations (SDEs) of jump-diffusion type. The class of jump-diffusion SDEs that admits explicit solutions is rather limited. Consequently, there is a need for the systematic use of discrete time approximations in corresponding simulations. This paper presents a survey and new results on strong numerical schemes for SDEs of jump-diffusion type. These are relevant for scenario analysis, filtering and hedge simulation in finance. It provides a convergence theorem for the construction of strong approximations of any given order of convergence for SDEs driven by Wiener processes and Poisson random measures. The paper covers also derivative free, drift-implicit and jump adapted strong approximations. For the commutative case particular schemes are obtained. Finally, a numerical study on the accuracy of several strong schemes is presented.jump-diffusion processes; stochastic Taylor expansion; discrete time approximation; simulation; strong convergence
Effect of Using Hand-Weights on Performance in the Standing Long Jump
Get PDFPrevious standing long jump studies have shown that jumping with hand weights can significantly increase jumping performance. The purpose of this study was to investigate the mechanisms that enable performance improvement in the standing long jump when using hand weights and test the hypothesis that releasing the hand weights during flight can further increase jump distance. Four college-aged male subjects were chosen based on participation in athletic activities and physical ability. Each subject executed 24 jumps (six trials for each of four different standing long jump techniques: without weights, with weights, releasing the weights backwards near the high point of the jump, and releasing the weights just prior to landing). Joint positions were recorded using multiple high-speed cameras and reflective position markers on the body. The net joint moments were calculated using a 2D inverse dynamics analysis. An energy analysis of the system between jump initiation and takeoff was also performed. Results showed jumping with weights increased jump distance by an average of 9 cm while releasing them increased jump distance by another 7 cm. No significant difference in jump distance was found between the two release points. The mechanisms that enabled this performance improvement were a combination of increased kinetic energy stored in the hand weights before the propulsive phase, increased work performed by the muscles during the propulsive phase, and an increase in horizontal position of the center of mass at take-off. In addition performance was enhanced by releasing the weights backwards during flight due to conservation of linear momentum during the flight phase
Approximation of Jump Diffusions in Finance and Economics
Get PDFIn finance and economics the key dynamics are often specified via stochastic differential equations (SDEs) of jump-diffusion type. The class of jump-diffusion SDEs that admits explicit solutions is rather limited. Consequently, discrete time approximations are required. In this paper we give a survey of strong and weak numerical schemes for SDEs with jumps. Strong schemes provide pathwise approximations and therefore can be employed in scenario analysis, filtering or hedge simulation. Weak schemes are appropriate for problems such as derivative pricing or the evaluation of risk measures and expected utilities. Here only an approximation of the probability distribution of the jump-diffusion process is needed. As a framework for applications of these methods in finance and economics we use the benchmark approach. Strong approximation methods are illustrated by scenario simulations. Numerical results on the pricing of options on an index are presented using weak approximation methods.jump-diffusion processes; discrete time approximation; simulation; strong covergence; weak convergence; benchmark approach; growth optimal portfolio
Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics
Get PDFThis paper examines the effect of macroeconomic releases on stock market volatility through a Poisson-Gaussian-GARCH process with time varying jump intensity, which is allowed to respond to such information. It is found that the day of the announcement, per se, has little impact on jump intensities. Employment releases are an exception. However, when macroeconomic surprises are considered, inflation shocks show persistent effects while monetary policy and employment shocks show only short-lived effects. Also, the jump intensity responds asymmetrically to macroeconomic shocks. Evidence that macroeconomic variables are relevant to explain jump dynamics and improve volatility forecasts on event days is provided.Conditional jump intensity, conditional volatility, macroeconomic announcements.
Jump risk, time-varying risk premia, and technical trading profits
Get PDFIn this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia. Following Brock, Lakonishok, and LeBaron (1992), we apply popular technical trading rules to the daily S&P 500 index over a long period of time. Trading profits are examined using bootstrap simulation to address distributional anomalies. We estimate a variety of asset pricing models, including the random walk, autoregressive models, a combined jump diffusion model, and a combined model of jump-diffusion and autoregressive conditional heteroskedasticity. Technical trading profits are shown to be statistically significant for the pure diffusion models and autoregressive models, yet become less significant when jump risk is incorporated into the model and virtually disappear for an asset pricing model that incorporates both jump risk and time-varying risk premia. The empirical evidence suggests that technical trading profits could be fair compensation for the risk of price discontinuity as well as time-varying risk premia of asset returns. Alternatively, technical trading profits provide a test of specification of asset pricing models; in this vein the evidence provides support for the incorporation of jump risk into asset pricing models.Financial markets ; Prices
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