1,720,956 research outputs found
Advanced quantitative finance with C++
No full textCreate and implement mathematical models in C++ using quantitative finance
Overview
Describes the key mathematical models used for price equity, currency, interest rates, and credit derivatives
The complex models are explained step-by-step along with a flow chart of every implementation
Illustrates each asset class with fully solved C++ examples, both basic and advanced, that support and complement the tex
The perfect storm: Societé Generale and Jerome Kerviel
No full textThis case describes a dramatic chapter in banking history: the January 2008 trading loss incident at Societe Generale. The incident, which involved trader Jerome Kerviel, resulted in a loss of 4.9 billion euro - the largest in banking history. SocGen says Kerviel acted alone for years taking enormous unauthorized positions in financial derivatives. Kerviel says that his managers at SocGen knew of his activities and supported them. This case presents various points of view, including the personal ambitions of Jerome Kerviel, the performance oriented culture of trading, the varied but ineffective risk controls at SocGen, the management failures, and the extremely bad market conditions of January 2008. The complex interplay of these factors gives the student the opportunity to have a glimpse at the difficulties encountered by modern financial institutions, especially banks, to manage some of their key units such as derivatives trading desks. The case offers a concrete exemplar from which to derive many potential lessons for the risk management in financial institutions. It can be used for an MBA course in Risk Management or Financial Derivatives
Variability and fractal analysis of middle cerebral artery blood flow velocity and arterial blood pressure in subarachnoid hemorrhage
No full textHigher biologic systems operate far from equilibrium resulting in order, complexity, fluctuation of inherent parameters, and dissipation of energy. According to the decomplexification theory, disease is characterized by a loss of system complexity. We analyzed such complexity in patients after subarachnoid hemorrhage (SAH), by applying the standard technique of variability analysis and the novel method of fractal analysis to middle cerebral artery blood flow velocity (FV) and arterial blood pressure (ABP). In 31 SAH -patients, FV (using transcranial Doppler sonography) and direct ABP were measured. The standard deviations (s.d.) and coefficients of variation (CV=relative s.d.) for FV and ABP time series of length 2(10) secs were calculated as measures of variability. The spectral index beta(low) and the Hurst coefficient H(bdSWV) were analyzed as fractal measures. Outcome was assessed 1 year after SAH according to the Glasgow Outcome Scale (GOS). Both FV (beta(low)=2.2+/-0.4, mean+/-s.d.) and ABP (beta(low)=2.3+/-0.4) were classified as nonstationary (fractal Brownian motion) signals. FV showed significantly (P<0.05) higher variability (CV=7.2+/-2.5%) and Hurst coefficient (H(bdSWV)=0.26+/-0.13) as compared with ABP (CV=5.5+/-2.7%, H(bdSWV)=0.19+/-0.11). Better outcome (GOS) correlated significantly (P<0.05) with higher s.d. of FV (Spearman's r(s)=0.51, r(s)(2)=0.26) and ABP (r(s)=0.57, r(s)(2)=0.32), as well as with a higher Hurst coefficient of ABP (r(s)=0.46, r(s)(2)=0.21). Cerebral vasospasm reduced CV of FV, but left H(bdSWV) unchanged. FV and ABP fluctuated markedly despite homeostatic control. A reduced variability of FV and ABP might indicate a loss of complexity and was associated with a less favorable outcome. Therefore, the decomplexification theory of illness may apply to SAH
The one factor libor market model using Monte Carlo simulation: an empirical investigation
No full textThe Libor Market Model (LMM) is an advanced mathematical model
used to price interest rate derivatives. Also known as the BGM model
after its authors (Brace, Gatarek, Musiela, 1997), the LMM has become
hegemonic in the financial markets worldwide. The LMM in reality is
not a single model, but rather as a large family of models (Rebonato
2000, Brigo and Mercurio, 2006). Its many variants include: the number
of factors considered, the type of volatility modelling used, the type of
correlation modelling used, if stochastic volatility or SABR are used, if
forward libor rates or swap rates are used, if semi-analytical or numerical
solution methods are used, among others. The many faces of the LMM
offer the disadvantage of making it difficult to understand for beginners.
It also makes it difficult to clearly see what is the best version to use in
practice. Our aim in this contribution will be to construct the simplest
possible version of the LMM, implement it in C++ and investigate its
accuracy to price real market-quoted interest rate derivatives. We consider
three examples: a plain vanilla interest rate swap (IRS), and IRS
with a CAP and an IRS with a CORRIDOR feature. Our results show
that in these cases our implementation of the LMM1F captures quite well
the market prices of these products, as compared with Bloomberg and
Sungard Monis
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
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
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