ON THE FUTURE CONTRACT QUALITY OPTION: A NEW LOOK

The paper provide a new method to replicate and price the quality options usually embedded in many future contracts. The replicating strategies may draw on both the future contract and its related calls and puts. They also yield the quality option theoretical price in perfect markets, as well as upper and lower bounds for its bid or ask prices if frictions are incorporated. With respect to previous literature, this new approach seems to reflect four contributions: Firstly, the analysis does not depend on any dynamic assumption concerning the TSIR behaviour, secondly, it incorporates the information contained in calls and puts whose underlying security is the future contract, thirdly, it allows us to use real market perfectly synchronized prices, and fourthly, transaction costs can be considered. The paper presents an empirical test involving the German market that reveals some differences with regard to previous studies.

Infinitely many securities and the fundamental theorem of asset pricing

Several authors have pointed out the possible absence of martingale measures for static arbitrage-free markets with an infinite number of available securities. This paper addresses this caveat by drawing on projective systems of probability measures. Firstly, it is shown that there are two distinct sorts of models whose treatment is necessarily different. Secondly, and more important, we analyze those situations for which one can provide a projective system of ó .additive measures whose projective limit may be interpreted as a risk-neutral probability. Hence, the Fundamental Theorem of Asset Pricing is extended so that it can apply for models with infinitely many assets.

GENERALIZED VECTOR RISK FUNCTIONS

The paper introduces a new notion of vector-valued risk function. Both deviations and expectation bounded coherent risk measures are defined and analyzed. The relationships with both scalar and vector risk functions of previous literature are discussed, and it is pointed out that this new approach seems to appropriately integrate several preceding point of view. The framework of the study is the general setting of Banach lattices and Bochner integrable vector-valued random variables. Sub-gradient linked representation theorems, as well as portfolio choice problems, are also addressed, and general optimization methods are presented. Finally, practical examples are provided.

MARKET IMPERFECTIONS, DISCOUNT FACTORS AND STOCHASTIC DOMINANCE: AN EMPIRICAL ANALYSIS WITH OIL-LINKED DERIVATIVES

Oil-linked derivatives are becoming very important in Modern Investment Theory. Accordingly, the analysis of Pricing Techniques and Portfolio Choice Problems involving these securities is a major topic for both managers and researchers. We focus on both the No-Arbitrage Approach and Stochastic Discount Factor (SDF) based methods in order to study oil-linked derivatives available at The New York Mercantile Exchange, Inc, one of the world's largest markets in energy and precious metals. First, we generalize some theoretical properties of the SDF in order to capture the effects induced by the bid-ask spread when analyzing dominated/efficient portfolios. Secondly, we apply our findings and empirically analyze the existence of dominated assets and portfolios in the oil derivatives market. Our results reveal the systematic presence of dominated prices, which should be taken into account by traders when composing their portfolios. Additionally, the test yields pricing and portfolio choice methods as well as new strategies that may allow brokers to outperform their service for their clients. It is worth to point out that the conclusions of the test have two important characteristics: On the one hand, they are very precise since we draw on perfectly synchronized bid/ask prices, as provided by Reuters. On the other hand, they are robust in the sense that they do not depend on any assumption about the underlying asset price dynamics. Finally, despite the empirical test focuses on oil derivatives, the methodology is general enough to apply to a broad range of markets.

Hedging bond portfolios versus infinitely many ranked factors of risk

The paper considers bond portfolios affected by both interest-rate- and default-risk. In order to guarantee a correct performance of our analysis we will hedge against an infinite number of factors. Hence we do not have to impose and do not depend on any assumption concerning the dynamic behavior of the term structure of interest rates. On the other hand, since a complete hedging is not feasible unless some ideal situations hold, we rank the factors according to the empirical evidence. Thus, we make the most important risks vanish and we minimize the effect of those kinds of risk less usual in practice.

Optimal risk in marketing resource allocation

Marketing resource allocation is increasingly based on the optimization of expected returns on investment. If the investment is implemented in a large number of repetitive and relatively independent simple decisions, it is an acceptable method, but risk must be considered otherwise. The Markowitz classical mean-deviation approach to value marketing activities is of limited use when the probability distributions of the returns are asymmetric (a common case in marketing). In this paper we consider a unifying treatment for optimal marketing resource allocation and valuation of marketing investments in risky markets where returns can be asymmetric, using coherent risk measures recently developed in finance. We propose a set of first order conditions for the solution, and present a numerical algorithm for the computation of the optimal plan. We use this approach to design optimal advertisement investments in sales response managementResource allocation, Coherent risk measures, Optimization, Sales response models

Dating Clinopyroxene Phenocrysts in Submarine Basalts Using ^(40)Ar/^(39)Ar Geochronology

Dating submarine basalts using ^(40)Ar/^(39)Ar geochronology is often hindered by a lack of potassium‐bearing phenocrystic phases and severe alteration in the groundmass. Clinopyroxene is a common phenocrystic phase in seafloor basalts and is highly resistive to low‐temperature alteration. Here we show that clinopyroxene phenocrysts separated from marine basalts are a viable phase for ^(40)Ar/^(39)Ar incremental heating age determinations. We provide results from a pilot study comprising 16 age experiments from nine clinopyroxene separates, five of which from samples with dated coeval phases. The clinopyroxene ages range from 11.5 to 112 Ma with relatively high uncertainties (ranging from 0.8% to 7.1%; median of 1.9%) compared to more traditional phases. The clinopyroxene age plateaus form at low to moderate temperature steps and are characterized by relatively elevated K/Ca of 0.002–0.4, suggesting that other K‐bearing phases hosted within the clinopyroxene are likely degassing to yield the ^(40)Ar/^(39)Ar age information. There are three possible origins for the K and corresponding ^(40)Ar* including films of trapped melt/nanomineral inclusions along grain defects, secondary melt inclusion bands, or variations in degassing behaviors between lower and higher crystalline Ca pyroxene phases. Regardless of the source of the K, the age determinations are successful with 75% of the experiments producing long plateaus (>60% ^(39)Ar released) with mean square of the weighted deviations ranging from 0.6 to 1.5 and probability of fit values >0.05. We conclude that clinopyroxene dating by the ^(40)Ar/^(39)Ar method has the potential to provide a wealth of information for previously undated, altered seafloor lithologies and continental equivalents

Somatotype and Digital Dermatoglyph in Mexican Football Players

La valoración de la forma corporal y de las capacidades físicas es una necesidad para la selección, clasificación y entrenamiento de los jugadores de futbol. El presente estudio examinó en futbolistas profesionales mexicanos (N = 49) la relación entre clases de somatotipo y clases de capacidades físicas de acuerdo a dermatoglifia dactilar. Las frecuencias de clases de somatotipo y clases de capacidad física fueron comparadas entre subgrupos de futbolistas. Una mayor proporción de futbolistas se caracterizó por somatotipo mesomorfo balanceado con dermatoglifia tipo 2 y 3 correspondiente a fuerza, fuerza explosiva y velocidad. Esto es consistente con hallazgos previos en futbolista

Millennial-Scale Instability in the Geomagnetic Field Prior to the Matuyama-Brunhes Reversal

Changes in the Earth's magnetic field have global significance that reach from the outer core extending out to the uppermost atmosphere. Paleomagnetic records derived from sedimentary and volcanic sequences provide important insights into the geodynamo processes that govern the largest geomagnetic changes (polarity reversals), but dating uncertainties have hindered progress in this understanding. Here, we report a paleomagnetic record from multiple lava flows on Tahiti that bracket the Matuyama‐Brunhes (M‐B) polarity reversal ∼771,000 years ago. Our high‐precision ^(40)Ar/^(39)Ar ages constrain several rapid and short‐lived changes in field orientation up to 33,000 years prior to the M‐B reversal. These changes are similar to ones identified in other less well‐dated lava flows in Maui, Chile, and La Palma that occurred during an extended period of reduced field strength recorded in sediments. We use a simple stochastic model to show that these rapid polarity changes are highly attenuated in sediment records with low sedimentation rates. This prolonged 33,000 year period of reduced field strength and increased geomagnetic instability supports models that show frequent centennial‐to‐millennial‐scale polarity changes in the presence of a strongly weakened dipole field