Asian options with jumps: A closed form formula

In this article Marena, Roncoroni, and Fusai derive a closed-form formula for the fair value of call and put options written on the arithmetic average of security prices driven by jump diffusion processes displaying (possibly periodical) trend, time varying volatility, and mean reversion. The model allows one for jointly fitting quoted futures curve and the time structure of spot price volatility. These result extends the no-jump case put forward in [Fusai, G., Marena, M., Roncoroni, A. 2008. Analytical Pricing of Discretely Monitored Asian-Style Options: Theory and Application to Commodity Markets. Journal of Banking and Finance 32 (10), 2033-2045]. A few tests based on commodity price data assess the importance of introducing a jump component on the resulting option prices

A Gentle Introduction to Default Risk and Counterparty Credit Modelling

In this paper we introduce the reader to the basic tools for the computation of Counterparty Credit Risk such as Credit Value Adjustment and Debt Value Adjustment. We also present the effect of mitigating clauses, like netting and collateral, in reducing the credit exposure. Detailed numerical examples are presented with reference to commodity derivatives

Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets

We compute an analytical expression for the moment generating function of the joint random vector consisting of a spot price and its discretely monitored average for a large class of square-root price dynamics. This result, combined with the Fourier transform pricing method proposed by Carr and Madan [Carr, P., Madan D., 1999. Option valuation using the fast Fourier transform. Journal of Computational Finance 2(4), Summer, 61–73] allows us to derive a closed-form formula for the fair value of discretely monitored Asian-style options. Our analysis encompasses the case of commodity price dynamics displaying mean reversion and jointly fitting a quoted futures curve and the seasonal structure of spot price volatility. Four tests are conducted to assess the relative performance of the pricing procedure stemming from our formulae. Empirical results based on natural gas data from NYMEX and corn data from CBOT show a remarkable improvement over the main alternative techniques developed for pricing Asian-style options within the market standard framework of geometric Brownian motion

Impact of Commercial Hip Hop/Rap Music Videos on Women of Color

poster abstractThe purpose of this research project is to examine hip hop and rap’s portrayal of minority women and how that adversely affects the development of female identities. Young females of biracial or multiracial backgrounds are the targeted demographic of this research. The types of images as well as the cultural tolerance of these images presented in hip hop and rap music videos have changed significantly over the decades. The television channel MTV had created a platform for a visual component of music that had never existed before in the industry. Since demeaning lyrics have been a hot topic in the past, music videos are the main focus of this research. Women of color in videos are being objectified through their clothing, what they are saying, and their actions. The methodology for conducting this research is an examination of literature reviews of scholarly articles as well as an analysis of a sample size of popular videos from each decade since the creation of MTV in 1981

Evaluation of commercial ADC radiation tolerance for accelerator experiments

Electronic components used in high energy physics experiments are subjected to a radiation background composed of high energy hadrons, mesons and photons. These particles can induce permanent and transient effects that affect the normal device operation. Ionizing dose and displacement damage can cause chronic damage which disable the device permanently. Transient effects or single event effects are in general recoverable with time intervals that depend on the nature of the failure. The magnitude of these effects is technology dependent with feature size being one of the key parameters. Analog to digital converters are components that are frequently used in detector front end electronics, generally placed as close as possible to the sensing elements to maximize signal fidelity. We report on radiation effects tests conducted on 17 commercially available analog to digital converters and extensive single event effect measurements on specific twelve and fourteen bit ADCs that presented high tolerance to ionizing dose. Mitigation strategies for single event effects (SEE) are discussed for their use in the large hadron collider environment.Comment: 16 pages, 8 figure

Pengaruh Fasilitas Belajar, Minat Belajar terhadap Hasil Belajar Mata Pelajaran Ekonomi Siswa Kelas XI IPS di SMA Negeri 12 Pekanbaru

This research aims to determine the effect of learning facilities , interest in learning on learning outcomes of economic subjects class XI SMA 12 Pekanbaru . Learning outcomes are influenced by several learning factors such as facilities and interest in learning . Class XI students of SMAN 12 Pekanbaru has a population of 114 students . Based on the results of 54 samples taken randomly in mind that as many as 20 students ( 30 % ) having a very complete home study with a value of 74. The highest percentage of students who have interest in learning at home are very high as many as 17 students ( 30 % ) with The highest percentage of 51 . The primary data obtained through kuosioner about learning facilities at home and interest in learning at home while secondary data obtained from the study hasl documentation in SMA 12 Pekanbaru . The data has been collected by the authors then analyzed by regression analysis . Before the authors conducted a regression analysis , data normality test requirements . By using the One - Sample Kolmogorov - Smirnov Test - normal distribution of data known with indigo significance of learning facilities at home 0998 and 0.968 for the significant value of the interest in learning at home . There is a significant relationship between learning facilities at home and interest in learning at home together on learning outcomes . with a count of 12 809 f greater than t table at 3:18 . While partially on learning facility there is no significant influence on learning outcomes as t , t table ( 0529 t table ( 2,800 > 2.00758 ) with perentase of 25.2 % .. As for the influence of learning facilities and interest in learning on learning outcomes can be seen from the value of the R Square sebsar 33.4 % , while the remaining 66.6 % is influenced by other factors not examined in this study

Post-exposure rate of tuberculosis infection among health care workers measured with tuberculin skin test conversion after unprotected exposure to patients with pulmonary tuberculosis: 6-year experience in an Italian teaching hospital

BACKGROUND: This study assesses the risk of LTBI at our Hospital among HCWs who have been exposed to TB patients with a delayed diagnosis and respiratory protection measures were not implemented. METHODS: All HCWs exposed to a patient with cultural confirmed pulmonary TB and respiratory protection measures were not implemented were included. Data on TST results performed in the past (defined as T0) were recorded. TST was performed twice: first, immediately after exposure to an index patient (T1) and three months later (T2). The period of time between T0 and T1 was used to calculate he annual rate of tuberculosis infection (ARTI), while le period of time between T1 and T2 was used to calculate the post exposure annual rate of tuberculosis infection (PEARTI). RESULTS: Fourteen index patients were admitted; sputum smear was positive in 7 (58.3%), 4 (28.6%) were non-Italian born patients. 388 HCWs were exposed to index patients, a median of 27 (12-39) HCW per each index patient. One hundred eighty (46.4%) HCWs received BCG in the past. One hundred twenty two HCWs (31%) were TST positive at a previous routine screening and not evaluated in this subset. Among the remaining 255 HCWs with negative TST test in the past, TST at T1 was positive in 11 (4.3%). ARTI was 1.6 (95% CI 0.9-2.9) per 100 PY. TST at T2 was positive in 9 (3.7%) HCWs, that were TST negative at T1. PEARTI was 26 (95% CI 13.6-50) per 100 PY. At univariate analysis, older age was associated with post exposure latent tuberculosis infection (HR 1.12; 95% CI 1.03-1.22, p=0.01). CONCLUSIONS: PEARTI was considerably higher among HCWs exposed to index patients than ARTI. These data underscore the overwhelming importance of performing a rapid diagnosis, as well as implementing adequate respiratory protection measures when TB is suspected

"Piedras al mar": el silencio y la memoria en Ritos de Pasaje

Reseña de la colección titulada Ritos de Pasaje, de Kadiri Vaquer Fernández, San Juan: La secta de los perros, 2019