1,720,999 research outputs found
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
Agricultural Commodities: Risk Management for Exporting Countries
Full text linkWe consider three aspects of agricultural risk management: volatility modelling of commodity
returns for several agricultural commodities, convenience yield modelling for various
commodities and weather risk in Thailand, a supplier of rubber, sugar and rice.
To model the volatility of commodity returns, we extend the GJR-Generalized Autoregressive
Conditional Heteroskedasticity (GJR-GARCH). The inclusion of seasonal patterns,
composed of a day-of-the-week effect (representing investor behaviour) and a yearly effect
(representing harvest yields) are important in providing more accurate models of volatility.
To capture fat tails, Standardised-t and the generalised error distribution (GED) are employed
in estimations and compared with Gaussian error distribution. The Value-at-Risk (VaR) of
the optimal volatility model's forecasting performances are used to determine the accuracy of
these models.
The second study examines convenience yield modelling and heteroskedasticity. The analysis
of seven agriculture net convenience yields clearly shows that the benefit of net convenience
yield exists only in the short term, otherwise it converges to zero. Both the current tests and
a new proposed test confirm the existence of heteroskedasticity. An autoregressive model is
used to model convenience yield: GARCH (1,1) and Standardised-t are more accurate than
the alternatives considered. Finally, the net convenience yield is investigated in the context
of the international market. We found that the depreciation of exchange rates of the leading
exporting countries eliminates the benefit of holding the agricultural product.
In the final study, we devised a weather insurance model, a hybrid error distribution that
captures two important daily rainfall characteristics, to assess the weather risk to the Thai
agricultural products. Our probability distribution combines a seasonal-Weibull distribution,
which captures moderate rainfall, with an Extreme Value distribution, which captures extreme
to heavy rainfall. Monte Carlo methods are used to simulate the daily data in order to compare
our model performances with the actual data and estimate the rainfall insurance premium
Interest-rate models: an extension to the usage in the energy market and pricing exotic energy derivatives.
Full text linkIn this thesis, we review various popular pricing models in the interest-rate market. Among these
pricing models, we choose the LIBOR Market model (LMM) as the benchmark model. Based on
market practice experience, we also develop a pricing model named the “Market volatility model”.
By pricing vanilla interest-rate options such as interest-rate caps and swaptions, we compare the
performance of our Market volatility model to that of the LMM. It is proved that the Market
Volatility model produce comparable results to the LMM, while its computing efficiency largely
exceeds that of the LMM.
Following the recent rapid development in the commodity market, in particular the energy market,
we attempt to extend the use of our proposed Market volatility model from the interest-rate market
to the energy market. We prove that the Market Volatility model is capable of pricing various energy
derivative under the assumption of absence of the convenience yield. In addition, we propose a new
type of exotic energy derivative which has a flexible option structure. This energy derivative is
named as the Flex-Asian spread options (FASO). We give examples of different option structures
within the FASO framework and use the Market volatility model to generate option prices and
greeks for each structure.
Although the Market volatility model can be used to price various energy derivatives based on
oil/gas contracts, it is not compatible with the structure of one of the most advanced derivatives
in the energy market, the storage option. We modify the existing pricing model for storage options
and use our own 3D-binomial tree approach to price gas storage contracts. By doing these, we
improve the performance of the traditional storage model
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
Optimal stopping for portfolio management
Full text linkThis thesis is concerned with the modelling and algorithmic development of a Stopping Rule Problem (SRP) in the area of Portfolio Management. More specifically, the objective is to provide an exit strategy for an invested portfolio containing one or more assets. The exit strategy aims to protect gains in addition to limiting losses. The thesis focuses on the investment/disinvestment in the portfolio and is not concerned with the composition of the portfolio.
A new Finite Horizon SRP, referred to as the Portfolio Management Problem (PMP), has been proposed that allows future scenarios to be considered in the optimisation of the exit time. The PMP aims at maximizing the expected reward of a Portfolio Manager (PM) through an optimal policy. A Dynamic Programming approach is proposed and the DP algorithm developed is capable of solving real-life problems for short- and long-term trades.
The applicability of the PMP is limited to cases where no constraints have been imposed by the PM. In view of adding more realism into the model, a Stop Loss and Target Return has been encapsulated in the formulation of the PMP model and thus, in the optimisation of the exit time. The impact of the model with enhanced managerial capabilities, is a better control of the maximum drawdown which restricts the risk of investment, influencing positively metrics of performance. An efficient tradeoff between computational time and size of problem solved has been developed.
The final part of this thesis focuses on a PMP which takes into consideration in a dynamic way the new market information for the determination of the optimal policy for assets exhibiting Mean-reversion (MR). This has been achieved through the insertion of a MR Rule specifically developed for the PMP which quantifies future tendencies of the asset prices based on its varying average. An algorithm dealing with the further additional memory requirements has been developed, capable of solving problems of size identical to the original PMP.Open Acces
A Stochastic Volatility LIBOR Market Model with a Closed Form Solution
Full text linkSince its initial publication the SABR model has gained widespread use across asset
classes and it has now become the standard pricing framework used in the market to
quote interest rate products sensitive to the non flat strike-structure of the market
implied volatility. While very simple, the model’s use has always been based on the
original study of its authors who derive a formula for pricing European options through
a few approximating assumptions which are at times severely violated in the market.
This thesis’ main theoretical goal is to set the path for a generalization of the SABR
model which possesses a closed form solution free from assumptions about the
magnitude of the model’s parameters. We propose such model and derive a closed form
solution for the particular case in which the underlying forward rate and its volatility
are uncorrelated. After using the solution for pricing caplets within a LIBOR Market
Model framework we simplify an approximation for the swap rate developed by
Piterbarg in order to use the same solution for the pricing of swaptions. We conduct the
model’s calibration for short maturities using a computationally efficient approach which
derives an approximation for the model’s implied volatility and uses it to fit the model
to market quotes. Finally, we study the properties of the greeks of our model in
comparison with those of the classical Black model
Macroeconomic Volatility and Sovereign Asset-Liability Management
Full text linkFor most developing countries, the predominant source of sovereign wealth is commodity related export income. However, over-reliance on commodity related income exposes countries to significant terms of trade shocks due to excessive price volatility. The spillovers are pro-cyclical fiscal policies and macroeconomic volatility problems that if not adequately managed, could have catastrophic economic consequences including sovereign bankruptcy. The aim of this study is to explore new ways of solving the problem in an asset-liability management framework for an exporting country like Ghana. Firstly, I develop an unconditional commodity investment strategy in the tactical mean-variance setting for deterministic returns. Secondly, in continuous time, shocks to return moments induce additional hedging demands warranting an extension of the analysis to a dynamic stochastic setting whereby, the optimal commodity investment and fiscal consumption policies are conditioned on the stochastic realisations of commodity prices. Thirdly, I incorporate jumps and stochastic volatility in an incomplete market extension of the conditional model. Finally, I account for partial autocorrelation, significant heteroskedastic disturbances, cointegration and non-linear dependence in the sample data by adopting GARCH-Error Correction and dynamic Copula-GARCH models to enhance the forecasting accuracy of the optimal hedge ratios used for the state-contingent dynamic overlay hedging strategies that guarantee Pareto efficient allocation. The unconditional model increases the Sharpe ratio by a significant margin and noticeably improves the portfolio value-at-risk and maximum drawdown. Meanwhile, the optimal commodities investment decisions are superior in in-sample performance and robust to extreme interest rate changes by up to 10 times the current rate. In the dynamic setting, I show that momentum strategies are outperformed by contrarian policies, fiscal consumption must account for less than 40% of sovereign wealth, while risky investments must not exceed 50% of the residual wealth. Moreover, hedging costs are reduced by as much as 55% while numerically generating state-dependent dynamic futures hedging policies that reveal a predominant portfolio strategy analogous to the unconditional model. The results suggest buying commodity futures contracts when the country’s current exposure in a particular asset is less than the model implied optimal quantity and selling futures contracts when the actual quantity exported exceeds the benchmark.Open Acces
Modelling the Dynamic Relationship between Systematic Default and Recovery Risk
Full text linkDefault correlation modelling is becoming the most popular problem in the
field of credit derivatives pricing. An increase in default risk would cause the
recovery rate to change correspondingly. Correlation between default and
recovery rates has a noticeable effect on risk measures and credit derivatives
pricing.
After an introduction, we review the most recent literature covering default
correlation and the relationship between default and recovery rates. We
adopt the copula methodology to focus on estimating the default correlations
rather than focus on modelling probabilities of default, we then use stress
testing to compare the distributions of the probability of default under different
copula functions. We develop a Gamma-Beta model to link the recovery
rate directly with the individual probability of default, this is instead of an
extended one factor model to relate them by a systematic common factor.
One factor models are re-examined to explore correlated recovery rates under
three distributions: the Logit-normal, the Normal and the Log-normal. By
analyzing the results respectively obtained from these two classes of modelling
scheme, we argue that the direct dependence (Gamma-Beta) model
behaves better, in estimating the recovery rate given individual probability
of default and in suggesting a better indication of their relationship. Finally,
we apply default correlation and the correlated recovery rate to portfolio risk
modelling. We conclude that if the recovery rates are independent stochastic
variables, the expected losses in a large portfolio might be underestimated
because the uncorrelated recovery risks can be diversified, so the correlation
between default rate and recovery risk can not be neglected in the applications.
Here, we believe the first time, the recovery rate depends on individual
default probability by means of a closed formula
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