264,008 research outputs found
Valuing target redemption notes by a stratified Longstaff Schwartz algorithm
No full textA great challenge using the traditional regression based Bermuda option valuation based on Longstaff and Schwartz (LS) (see Longstaff and Schwartz [10]) is the stability of solutions for different basis functions. In this paper we develop an alternative method in the spirit of LS which is less challenging with respect to proper choice of basis functions. The method also makes it possible to quantify the probability of exercise at future nodes in a Bermuda option when moving backward in time. We will apply the method to valuation of target redemption notes with early exercise features under stochastic interest rates based on a LIBOR market model
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Asset Pricing, Slow-Moving Capital, Monetary Policy, and Inflation
No full textThis dissertation focuses on a major challenge to neoclassical asset pricing theory - the existence of persistent arbitrage mispricing in financial markets. Many scholars, e.g. Liu and Longstaff (2004) and Shleifer and Vishny (2007), have challenged the neoclassical no-arbitrage paradigm. However, the nature of arbitrage mispricing is not yet fully understood and requires further study.The first chapter 'The TIPS--Treasury Bond Puzzle', jointly written with Francis A. Longstaff and Hanno Lustig, analyzes the relative pricing between U.S. Treasury Bonds and Treasury Inflation-Protected Securities (TIPS). We document that Treasury bonds are consistently overpriced relative to TIPS. The price of a Treasury bond can exceed that of an inflation swapped TIPS issue exactly matching the cash flows of the Treasury bond by more than 100 notional amount. The relative mispricing of TIPS and Treasury bonds represents one of the largest examples of arbitrage ever documented and poses a major puzzle to classical asset pricing theory. We find direct evidence that the mispricing narrows as additional capital flows into the markets. This provides strong support for the slow-moving-capital explanation of arbitrage persistence.In the second chapter, I extend the analysis in the first chapter to the G7 government bond markets and document new stylized facts about the dynamics and determinants of arbitrage mispricing in and across financial markets. The new insight for the slow-moving capital theory is that capital available to specific types of arbitrageurs is significantly related to the inflation-linked-nominal bond mispricing (ILB mispricing). Specifically, returns of hedge funds following fixed income strategies strongly predict subsequent changes in ILB mispricing, whereas other hedge fund categories lack statistically significant forecasting power. Furthermore, I analyze the effects of monetary policy on arbitrage mispricing and find that central banks have exacerbated mispricing through large-scale asset purchase programs.The third chapter extends the analysis of inflation-linked securities markets. The magnitude of deflation risk and the economic and financial factors that contribute to deflation risk are not well studied. This chapter, jointly written with Francis A. Longstaff and Hanno Lustig, presents a new market-based approach for measuring deflation risk. This approach allows us to solve directly for the market's assessment of the probability of deflation for horizons of up to 30 years using the prices of inflation swaps and options. We find that the market prices the economic tail risk of deflation very similarly to other types of tail risks such as catastrophic insurance losses. In contrast, inflation tail risk has only a relatively small premium
Going Beyond Counting First Authors in Author Co-citation Analysis
No full textThe 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
Mechanical Stability and Fibrinolytic Resistance of Clots Containing Fibrin, DNA, and Histones
No full textNeutrophil extracellular traps are networks of DNA and associated proteins produced by nucleosome release from activated neutrophils in response to infection stimuli and have recently been identified as key mediators between innate immunity, inflammation, and hemostasis. The interaction of DNA and histones with a number of hemostatic factors has been shown to promote clotting and is associated with increased thrombosis, but little is known about the effects of DNA and histones on the regulation of fibrin stability and fibrinolysis. Here we demonstrate that the addition of histone-DNA complexes to fibrin results in thicker fibers (increase in median diameter from 84 to 123 nm according to scanning electron microscopy data) accompanied by improved stability and rigidity (the critical shear stress causing loss of fibrin viscosity increases from 150 to 376 Pa whereas the storage modulus of the gel increases from 62 to 82 pascals according to oscillation rheometric data). The effects of DNA and histones alone are subtle and suggest that histones affect clot structure whereas DNA changes the way clots are lysed. The combination of histones + DNA significantly prolongs clot lysis. Isothermal titration and confocal microscopy studies suggest that histones and DNA bind large fibrin degradation products with 191 and 136 nm dissociation constants, respectively, interactions that inhibit clot lysis. Heparin, which is known to interfere with the formation of neutrophil extracellular traps, appears to prolong lysis time at a concentration favoring ternary histone-DNA-heparin complex formation, and DNase effectively promotes clot lysis in combination with tissue plasminogen activator
Coherent super-resolution microscopy via laterally structured illumination
No full textSpecial issue on Super-resolution and other Novel MicroscopiesBrad Littleton, Kim Lai, Dennis Longstaff, Vassilios Sarafis, Paul Munroe, Norman Heckenberg and Halina Rubinsztein-Dunlo
The Dynamics of the Short-Term Interest Rate in the UK
No full textWe estimate and test different continuous-time short-rate models for the UK. The preferred model encompasses both the “level effect” of Chan, Karolyi, Longstaff and Sanders (1992a) and the conditional heteroskedasticity effect of GARCH type models. Our findings suggest that including a GARCH effect in the specification of the conditional variance, almost halves the dependence of volatility on rate levels. We also find weak evidence of mean-reversion and volatility asymmetries in the stochastic behavior of rates. Extensive diagnostic tests suggest that the Constant Elasticity of Variance model of Cox (1975), with an added GARCH effect, provides a reliable description of short-rate dynamics. We demonstrate that the most important feature in short-rate modeling is the correct specification of the conditional variance of changes in rates; suggesting that the conditional mean characterization is of second order.Short-rate, level effect, GARCH effect.
Multi-objective optimisation of machine tool error mapping using automated planning
No full textError mapping of machine tools is a multi-measurement task that is planned based on expert knowledge. There are no intelligent tools aiding the production of optimal measurement plans. In previous work, a method of intelligently constructing measurement plans demonstrated that it is feasible to optimise the plans either to reduce machine tool downtime or the estimated uncertainty of measurement due to the plan schedule. However, production scheduling and a continuously changing environment can impose conflicting constraints on downtime and the uncertainty of measurement. In this paper, the use of the produced measurement model to minimise machine tool downtime, the uncertainty of measurement and the arithmetic mean of both is investigated and discussed through the use of twelve different error mapping instances. The multi-objective search plans on average have a 3% reduction in the time metric when compared to the downtime of the uncertainty optimised plan and a 23% improvement in estimated uncertainty of measurement metric when compared to the uncertainty of the temporally optimised plan. Further experiments on a High Performance Computing (HPC) architecture demonstrated that there is on average a 3% improvement in optimality when compared with the experiments performed on the PC architecture. This demonstrates that even though a 4% improvement is beneficial, in most applications a standard PC architecture will result in valid error mapping plan
Protecting Animals 36: Author Witi Ihimaera
No full textIn this very special episode of Knowing Animals I am joined by beloved New Zealand author Witi Ihimaera. Witi has written many books featuring nonhuman animals. He offers us a non-colonial lens through which to think about the human/nonhuman relationship
Author Under Sail The Imagination of Jack London, 1893-1902
No full textIn Author Under Sail, Jay Williams offers the first complete literary biography of Jack London as a professional writer engaged in the labor of writing. It examines the authorial imagination in London's work, the use of imagination in both his fiction and nonfiction, and the ways he defined imagination in the creative process in his business dealings with his publishers, editors, and agents. In this first volume of a two-volume biography, Williams traverses the years 1893 to 1902, from London's "Story of a Typhoon" to The People of the Abyss. The Jack London who emerges in the pages of Author Under Sail is a writer whose partnership with publishers, most notably his productive alliance with George Brett of Macmillan, was one of the most formative in American literary history. London pioneered many author models during the heyday of realism and naturalism, blurring the boundaries of these popular genres by focusing on absorption and theatricality and the representation of the seen and unseen. London created an impassioned, sincere, and extremely personal realism unlike that of other American writers of the time. Author Under Sail is a literary tour de force that reveals the full range of London as writer, creative citizen, and entrepreneur at the same time it sheds light on the maverick side of machine-age literature.Intro -- Title Page -- Copyright Page -- Dedication -- Contents -- Acknowledgments -- Introduction -- 1. Spirit Truth -- 2. From Absorption to Theatricality and Back Again -- 3. "I Will Build a New Present" -- 4. Sons as Authors -- 5. Fathers as Publishers -- 6. The Daughter as Author -- 7. Lovers as Authors -- 8. At Sea with the Family -- 9. Yellow News, Yellow Stories -- 10. The Return Home -- Notes -- Bibliography -- Index -- About Jay WilliamsIn Author Under Sail, Jay Williams offers the first complete literary biography of Jack London as a professional writer engaged in the labor of writing. It examines the authorial imagination in London's work, the use of imagination in both his fiction and nonfiction, and the ways he defined imagination in the creative process in his business dealings with his publishers, editors, and agents. In this first volume of a two-volume biography, Williams traverses the years 1893 to 1902, from London's "Story of a Typhoon" to The People of the Abyss. The Jack London who emerges in the pages of Author Under Sail is a writer whose partnership with publishers, most notably his productive alliance with George Brett of Macmillan, was one of the most formative in American literary history. London pioneered many author models during the heyday of realism and naturalism, blurring the boundaries of these popular genres by focusing on absorption and theatricality and the representation of the seen and unseen. London created an impassioned, sincere, and extremely personal realism unlike that of other American writers of the time. Author Under Sail is a literary tour de force that reveals the full range of London as writer, creative citizen, and entrepreneur at the same time it sheds light on the maverick side of machine-age literature.Description based on publisher supplied metadata and other sources.Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, YYYY. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries
ISAR imaging using an emulated multistatic radar system
No full textThe use of a monostatic radar configuration limits the ability of an inverse synthetic aperture radar (ISAR) system to image targets in certain geometries. By employing multistatic geometries this limitation may be overcome. This paper discusses the emulation of multistatic geometries, via sea surface multipath reflections, using a monostatic system. This application capitalises on the advantages provided by both monostatic and bistatic systems. The possibility of obtaining ISAR images using these emulated multistatic radar configurations is first theoretically discussed and then verified using experimental results
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