1,354,686 research outputs found
Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
No full textAmerican call and put options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) over 1983-2006 are identified as potentially profitable investment opportunities. Call bid prices more frequently violate their upper bound than put bid prices do, while evidence of underpriced calls and puts over this period is scant. In out-of-sample tests, the inclusion of short positions in such overpriced calls, puts, and, particularly, straddles in the market portfolio is shown to increase the expected utility of any risk averse investor and also increase the Sharpe ratio, net of transaction costs and bid-ask spreads. The results are strongly supportive of mispricing. (JEL G11, G13, G14)
Option bounds for multinomial stock returns in Jump-Diffusion processes - a Monte Carlo simulation for a multi-jump process
No full textThis paper addresses the problem of option bounds computation under the assumption that the price of the underlying asset follows a jump-diffusion Merton process as formulated in Perrakis (1993) extending the number of the jumps from one jump up and one jump down with fixed sizes to a finite number of jumps with sizes drawn from the lognormal distribution. The objective of this paper is to create a Monte Carlo simulation for the estimation of the bounds with various numbers of jumps and periods to maturity.Monte Carlo simulation, Jump-Diffusion processes, multi-jump process
Adventures of the spirit: the older woman in the works of Doris Lessing, Margaret Atwood, and other contemporary women writers
No full text(print) viii, 321 p. : ill. ; 24 cmSleepers wake / Virginia Tiger -- Navigating the spiritual cycle in Memoirs of a survivor and Shikasta / Phyllis Sternberg Perrakis -- Through the Wall / Sharon R. Wilson -- Margaret Atwood's The blind assassin as spiritual adventure / Earl G. Ingersoll -- And they went to bury her / Debrah Raschke and Sarah Appleton -- Atwood's space crone / Kathryn VanSpanckeren -- Mirror, mirror on the wall / Roberta Rubenstein -- On the road again / Sally Chivers -- So much depends upon a ya-ya scrapbook / Sandra Singer -- Surviving the colonialist legacy of the Klondike Gold Rush / Susan Berry Brill De Ramírez -- Soul murder and rebirth / Jeanie E. WarnockItem embargoed for five year
Bacterial chitobiase structure provides insight into catalytic mechanism and the basis of Tay-Sachs disease
No full textChitin, the second most abundant polysaccharide on earth, is degraded by chitinases and chitobiases. The structure of Serratia marcescens chitobiase has been refined at 1.9 A resolution. The mature protein is folded into four domains and its active site is situated at the C-terminal end of the central (beta alpha)8-barrel. Based on the structure of the complex with the substrate disaccharide chitobiose, we propose an acid-base reaction mechanism, in which only one protein carboxylate acts as catalytic acid, while the nucleophile is the polar acetamido group of the sugar in a substrate-assisted reaction. The structural data lead to the hypothesis that the reaction proceeds with retention of anomeric configuration. The structure allows us to model the catalytic domain of the homologous hexosaminidases to give a structural rationale to pathogenic mutations that underlie Tay-Sachs and Sandhoff disease
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
Variations on the Author
No full text“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
No full textWe 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
Financial Structure and Market Equilibrium in a Vertically Differentiated Industry
No full textThis paper examines the effects of uncertainty and the choice of financial structure in a vertically differentiated duopoly. In the market model consumers are located along a continuum of taste parameters and prefer unanimously higher to lower qualities when quality prices are set at average variable cost. In such a model only two firms can survive with a positive market share. We introduce uncertainty in demand by varying the range of the consumer taste parameter and consider a simultaneous game of sequential choices of quality, financial structure and product price, with varying order of decision-making and revelation of information. We consider both restricted and free entry. It is shown that financial structure affects market equilibrium, which is also heavily dependent on the order of choice of structure and quality, as well as on whether uncertainty exists in the lower or the upper limit of the taste parameter. In all cases leverage increases the lower quality and in most cases it also increases the lower quality price. There are also welfare implications, with the use of leverage when it is optimal improving both total and consumer surplus.Vertical differentiation; uncertainty; financial structure; leverage; quality; sequential choice
Crystal structure of a bacterial chitinase at 2.3 A resolution
No full textThe reaction mechanism seems to be similar to that of lysozyme and most other glycosylhydrolases, i.e. general acid-base catalysis. The role of the amino-terminal domain could not be identified, but it has similarities to the fibronectin III domain. This domain may possibly facilitate the interaction of chitinase A with chitin
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