2,126 research outputs found
On the cost of delayed currency fixing announcements
No full textIn Foreign Exchange Markets vanilla and barrier options are traded frequently. The market standard is a cutoff time of 10:00 a.m. in New York for the strike of vanillas and a knock-out event based on a continuously observed barrier in the inter bank market. However, many clients, particularly from Italy, prefer the cutoff and knock-out event to be based on the fixing published by the European Central Bank on the Reuters Page ECB37. These barrier options are called discretely monitored barrier options. While these options can be priced in several models by various techniques, the ECB source of the fixing causes two problems. First of all, it is not tradable, and secondly it is published with a delay of about 10 - 20 minutes. We examine here the effect of these problems on the hedge of those options and consequently suggest a cost based on the additional uncertainty encountered. --exotic options,currency fixings
Studien zum Werk von Uwe Johnson und Peter Weiss
No full textIn diesem Buch zeigt sich, dass die Krise des Erzählens in der literarischen Moderne in den Texten Uwe Johnsons und Peter Weiss‘ im Medium der Beschreibung reflektiert und bearbeitet wird. Obwohl in den letzten 20 Jahren zahlreiche Arbeiten zu intermedialen Bezügen und zur Bildbeschreibung in literarischen Texten erschienen sind, besteht im deutschsprachigen Raum ein Defizit bei der Untersuchung von textuellen Verfahren zur Übersetzung von Visualität in Sprache. Thorsten Pflugmacher gibt einen ausführlichen Forschungsbericht über die bedeutenden beschreibungstheoretischen Werke aus der vornehmlich französischen Erzähltheorie und Textlinguistik. Das dabei gewonnene textanalytische Handwerkszeug erprobt er an zwei der bedeutendsten Werke aus der deutschen Literatur des ausgehenden 20. Jahrhunderts: Uwe Johnsons »Jahrestage« und Peter Weiss’ »Ästhetik des Widerstands
Studien zum Werk von Uwe Johnson und Peter Weiss
No full textIn diesem Buch zeigt sich, dass die Krise des Erzählens in der literarischen Moderne in den Texten Uwe Johnsons und Peter Weiss‘ im Medium der Beschreibung reflektiert und bearbeitet wird. Obwohl in den letzten 20 Jahren zahlreiche Arbeiten zu intermedialen Bezügen und zur Bildbeschreibung in literarischen Texten erschienen sind, besteht im deutschsprachigen Raum ein Defizit bei der Untersuchung von textuellen Verfahren zur Übersetzung von Visualität in Sprache. Thorsten Pflugmacher gibt einen ausführlichen Forschungsbericht über die bedeutenden beschreibungstheoretischen Werke aus der vornehmlich französischen Erzähltheorie und Textlinguistik. Das dabei gewonnene textanalytische Handwerkszeug erprobt er an zwei der bedeutendsten Werke aus der deutschen Literatur des ausgehenden 20. Jahrhunderts: Uwe Johnsons »Jahrestage« und Peter Weiss’ »Ästhetik des Widerstands
Interest rate convexity and the volatility smile
No full textWhen pricing the convexity effect in irregular interest rate derivatives such as, e.g., Libor-in-arrears or CMS, one often ignores the volatility smile, which is quite pronounced in the interest rate options market. This note solves the problem of convexity by replicating the irregular interest flow or option with liquidly traded options with different strikes thereby taking into account the volatility smile. This idea is known among practitioners for pricing CMS caps. We approach the problem on a more general scale and apply the result to various examples. --interest rate options,volatility smile,convexity,,option replication
Common modules for processing invalidly cued events in the human cortex
No full textA central question regarding the nature of cognitive control is the extent to which different tasks are controlled by a common system. We addressed this issue by comparing the cortical activation associated with the processing of an invalidly cued event with the activation associated with a validly cued event. In a perceptual cueing task, we cued the likely stimulus modality (visual or auditory), and in a motor cueing task, we cued the likely motor response (left or right hand). Event-related functional MRI revealed increased activation in the anterior cingulate cortex on valid and invalid trials in both tasks. In addition, a network of six regions, including the dorsal medial frontal cortex, showed increased activation on invalid trials irrespective of whether the invalid cue referred to the stimulus modality or response. Findings suggest that dorsal medial frontal cortex rather than the anterior cingulated cortex is involved in conflict monitoring operations. We summarize our findings in a model that links six modules for processing invalidly cued events
Voluntary Commitment to Environmental Protection: A Bounded Rationality Approach
No full textGlobal environmental protection is characterized as a public good. In contrast to the national level where the state is able to regulate external effects, there is a lack of supranational institutions which have enough power to force countries to reduce pollution levels. In spite of the free-riding problem it can nevertheless be observed that countries sometimes commit themselves to contribute to the public good `environmental protection'. The case of the Kyoto protocol for global reduction demonstrates that some countries make substantial volunatry contributions, but others do not or on a much less level. The paper provides a game-theoretic explanation how the free-riding-problem can be overcome to some extent by voluntary cooperative behavior. It is analysed under which conditions free-riding countries can be motivated to make at least small pollution reduction efforts.global environmental policy, public good, voluntary cooperation, bounded rationality, game theory.
Suppression of afferent visual information in a patient with dissociative identity disorder and state-dependent blindness
No full texthe neural basis of conscious vision is still elusive despite numerous experimental and clinical studies. Here, we present the case of patient BT suffering from Dissociative identity disorder after trauma who had been diagnosed as legally blind by neuro-ophthalmic examination including visual evoked potentials (VEPs). After 15 years of blindness, she regained sight and showed normal VEPs in one of her personality states although VEPs are still absent in a remaining blind state. Retinotopic mapping with functional MRI revealed that V1 and thalamic activity were absent during the blind but normal during the sighted state. Findings suggest that BT responded to her trauma with a blind personality state that was attained by complete suppression of visual input at the thalamic level. This case demonstrates a fundamental ability of the brain to block early visual processing in rapid response to personality changes to prevent conscious visual processing at cortical level
Rigid gauges and F-zips, and the fundamental sheaf of gauges Gn
No full textWe establish an equivalence of categories between a category of gauges and Moonens and Wedhorns category of F-zips. We prove that cohomology of Fontaines and Jannsens sheaf Gn is equal for different good topologies
Using the Manufacturing Productivity Distribution to Evaluate Growth Theories
No full textSome multi-sector endogenous growth models make strong predictions about productivity differences across sectors in the form of a distribution or density function. In this paper it is demonstrated that this distribution is left-skewed for a wide range of plausible parameter values. This stands in strong contrast to the right-skewed shape of the respective empirical distribution estimated by kernel methods for a measure of relative productivity for more than 450 four-digit U.S. manufacturing industries during 1958-96. This difference is interpreted as evidence in favor of devoting more emphasis on the effects of structural change on the sectoral level in growth models.multisector growth models, manufacturing productivity distribution, skewness
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