87 research outputs found
Electrostatic Spray Ionization Mass Spectrometry Imaging
No full textImaging samples on a surface by mass spectrometry (MS) requires the combination of MS detection with a scanning mode that enables localized desorption and ionization and/or detection of sample analytes with good spatial resolution. We have developed a new mass spectrometry imaging (MSI) method based on electrostatic spray ionization. It works under ambient conditions and can be applied to a wide range of molecules providing quantitative MS analysis even in the presence of salts in excess. 2D MS images of protein and peptide spots, inkjet-printed black dye patterns, and cells were obtained. The presented novel ambient ionization mass spectrometry imaging method can find many applications in analytical and bioanalytical chemistryLEPALCPP
Vanna-volga pricing
No full textThe vanna-volga method, also called the traders rule of thumb is an empirical procedure that can be used to infer an implied-volatility smile from three available quotes for a given maturity. It is based on the construction of locally replicating portfolios whose associated hedging costs are added to corresponding Black-Scholes prices to produce smile-consistent values. Besides being intuitive and easy to implement, this procedure has a clear financial interpretation, which further supports its use in practice. --
Closed formula for options with discrete dividends and its derivatives
No full textWe present a closed pricing formula for European options under the BlackScholes model and formulas for its partial derivatives. The formulas are developed making use of Taylor series expansions and by expressing the spatial derivatives as expectations under special measures, as in Carr, together with an unusual change of measure technique that relies on the replacement of the initial condition. The closed formulas are attained for the case where no dividend payment policy is considered. Despite its small practical relevance, a digital dividend policy case is also considered which yields approximation formulas. The results are readily extensible to time dependent volatility models but no so for local-vol type models. For completeness, we reproduce the numerical results in Vellekoop and Nieuwenhuis using the formulas here obtained. The closed formulas presented here allow a fast calculation of prices or implied volatilities when compared with other valuation procedures that rely on numerical methods. --equity option,discrete dividend,hedging,analytic formula
Understanding the high profitability of Chinese banks
No full textThe big Chinese state-owned banks came as winners out of the global financial crisis. According to the Banker ranking, Chinese banks led the global banking profitability ranking through the years from 2008 to 2010 and contributed one fifth of global banking profits in 2010. The Chinese banking sector, which was deemed as wholly insolvent ten years ago, was reborn like a phoenix from the fire of the Asian financial crisis and the current financial crisis. The banking reform in the last decade with large-scale capital injection, assets carve-outs, restructuring and public listing celebrated great success. However, the low efficiency in Chinese banks is still persistent, as evident in many empirical studies (e.g. Feyzioglu, (2009)). The contradiction of high profitability and low efficiency causes great confusion in understanding banking in China. Our paper aims to reveal the real sources of the high profitability of the big Chinese banks. We compare their profitability pattern with peer banks from Asia, Europe and North America. We first test the hypothesis that the average asset return of the big five Chinese banks will fall below the international comparative level if the current high net interest margin given by the managed interest system in China falls to the international peer average level. Surprisingly, the hypothesis has to be rejected. Instead, our results show that the profitability of Chinese banks stays at international comparative level, despite the high inefficiency in Chinese banks. We therefore test a second hypothesis stating that the profitability of Chinese banks will fallbelow their international peers if staff costs increase by 30 percent in average to reach the international level, with the joint condition of margin decrease. This hypothesis can be proved, which means that the big five Chinese banks compensate its inefficiency by a combination of a non-competitive high interest margin and unsustainable lower labor cost. The above results of course raise the question how the big Chinese banks can stay competitive if China continues to liberalize its interest rate system and labor cost increases. In our concluding remarks, we discuss the possibility that Chinese banks change their business model towards universal banking with additional non-interest income to compensate the drop in interest margin. --China,banks,finance,banking business model,universal banking
Latin hypercube sampling with dependence and applications in finance
No full textIn Monte Carlo simulation, Latin hypercube sampling (LHS) [McKay et al. (1979)] is a well-known variance reduction technique for vectors of independent random variables. The method presented here, Latin hypercube sampling with dependence (LHSD), extends LHS to vectors of dependent random variables. The resulting estimator is shown to be consistent and asymptotically unbiased. For the bivariate case and under some conditions on the joint distribution, a central limit theorem together with a closed formula for the limit variance are derived. It is shown that for a class of estimators satisfying some monotonicity condition, the LHSD limit variance is never greater than the corresponding Monte Carlo limit variance. In some valuation examples of financial payoffs, when compared to standard Monte Carlo simulation, a variance reduction of factors up to 200 is achieved. LHSD is suited for problems with rare events and for high-dimensional problems, and it may be combined with Quasi-Monte Carlo methods. --Monte Carlo simulation,variance reduction,Latin hypercube sampling,stratified sampling
Rapid Noninvasive Skin Monitoring by Surface Mass Recording and Data Learning
No full textSkin problems are often overlooked due to a lack ofrobust and patient-friendly monitoring tools. Herein, we report arapid, noninvasive, and high-throughput analytical chemical method-ology, aiming at real-time monitoring of skin conditions and earlydetection of skin disorders. Within this methodology, adhesivesampling and laser desorption ionization mass spectrometry arecoordinated to record skin surface molecular mass in minutes.Automated result interpretation is achieved by data learning, usingsimilarity scoring and machine learning algorithms. Feasibility of themethodology has been demonstrated after testing a total of 117 healthy, benign-disordered, or malignant-disordered skins. Remark-ably, skin malignancy, using melanoma as a proof of concept, wasdetected with 100% accuracy already at early stages when the lesionswere submillimeter-sized, far beyond the detection limit of most existing noninvasive diagnosis tools. Moreover, the malignancydevelopment over time has also been monitored successfully, showing the potential to predict skin disorder progression. Capable ofdetecting skin alterations at the molecular level in a nonsurgical and time-saving manner, this analytical chemistry platform ispromising to build personalized skin care
Einführung in das Kapitalstrukturmanagement
No full textThis paper gives an overview of the capital requirements for banks. Regulatory capital is analyzed, followed by the discussion of economic capital. These ideas are used to explain risk adjusted performance measures. --Regulatorisches Kapital,ökonomisches Kapital,RAROC,RORAC
On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model
No full textWe focus on closed-form option pricing in Hestons stochastic volatility model, in which closed-form formulas exist only for few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this approach and derive multivariate characteristic functions depending on at least two spot values for different points in time. The derived characteristic functions are used as building blocks to set up (semi-) analytical pricing formulas for exotic options with payoffs depending on finitely many spot values such as fader options and discretely monitored barrier options. We compare our result with different numerical methods and examine accuracy and computational times. --exotic options,Heston Model,Characteristic Function,Multidimensional Fast Fourier Transforms
Private Equity und Familienunternehmen: eine Untersuchung unter besonderer Berücksichtigung deutscher Maschinen- und Anlagenbauunternehmen
No full textDespite the common view that there is inherently a relationship of confliction, it is now impossible to imagine the financing of family-owned enterprises in Germany without the alternative method of Private Equity financing. Based on a survey on Private Equity in family owned companies specialising in the mechanical engineering sector, this working paper identifies that Private Equity in general is not as unwanted as once assumed. Overall more than 3/4 of the surveyed companies do not exclude investment capital. However, the study demonstrates that the time of large buy-outs is arguably up, and minority capital has now come into vogue. This working paper examines, from the viewpoint of the managing directors of the studied companies, the conceptions and beliefs held by such persons about Private Equity. Generally speaking, besides loss of control, managing directors primarily fear Private Equity because of exaggerated returns on investment at the expense of the long-term development of the company. On the other hand, this paper also highlights that managing directors expect that Private Equity can have a positive element as it can enable bank independence, especially at a time when it becomes increasingly difficult to maintain creditworthiness. Further, this paper analyses the relationship between the managing director of the family enterprise and the Private Equity investor. Because of the special situation of the managing director in a family owned company, trust between that person and the Private Equity investor is one of the most important factors. If there is a lack of trust the business relation is troubled from the start. --Private equity,buyout,family owned enterprises,minority capital,credit crisis,MBO,MBI,return on investments,LBO,leveraged finance,M&A
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