Low Volatility Options and Numerical Diffusion of Finite Difference Schemes

2000 Mathematics Subject Classification: 65M06, 65M12.In this paper we explore the numerical diffusion introduced by two nonstandard finite difference schemes applied to the Black-Scholes partial differential equation for pricing discontinuous payoff and low volatility options. Discontinuities in the initial conditions require applying nonstandard non-oscillating finite difference schemes such as the exponentially fitted finite difference schemes suggested by D. Duffy and the Crank-Nicolson variant scheme of Milev-Tagliani. We present a short survey of these two schemes, investigate the origin of the respective artificial numerical diffusion and demonstrate how it could be diminished

Nonstandard Finite Difference Schemes with Application to Finance: Option Pricing

2000 Mathematics Subject Classification: 65M06, 65M12.The paper is devoted to pricing options characterized by discontinuities in the initial conditions of the respective Black-Scholes partial differential equation. Finite difference schemes are examined to highlight how discontinuities can generate numerical drawbacks such as spurious oscillations. We analyze the drawbacks of the Crank-Nicolson scheme that is most frequently used numerical method in Finance because of its second order accuracy. We propose an alternative scheme that is free of spurious oscillations and satisfy the positivity requirement, as it is demanded for the financial solution of the Black-Scholes equation

Long in the Making: Policy Insights from the Thai Bioeconomy Sector

• While the presence of natural resource endowments and a developed agricultural sector serve as prerequisites, the implementation of innovation and market-shaping industrial policy is essential to achieve value addition in bioproductions • The current development of the Thai bioeconomy sector has its origins in the innovation initiatives implemented in the early 2000s by the Thai National Innovation Agency (NIA) in collaboration with a few major private and public sector actors. • The 2017 Bio-Circular-Green (BCG) Strategy marks the mainstreaming, rather than the establishment, of bioproductions as targets for industrial policy in Thailand. • Value addition in bioproductions has been achieved not just through the BCG Strategy, but through a 20-year constant adaption of policy to the innovation phase and to different levels of technological sophistication, from biofuels to bioplastics, leaving a valuable policy legacy. • Regulatory, governance and market-shaping reforms are needed for the development of the biotech industry in higher value-added productions, such as biopharmaceuticals

Entrepreneurship in State-Owned Enterprises. An International Comparative Analysis of IRI, Temasek and öiag

In the last two decades, the global economy has witnessed the success of Chinese state-owned enterprises and a resurgence of SOEs as integral parts of national industrial strategies. However, mainstream theory often fails to grasp the array of different SOE typologies and the essence of state entrepreneurship. The purpose of this work is to identify a spectrum of SOEs and entrepreneurial ways of running SOEs through an international comparative analysis. An evaluating framework based on the capacity of SOEs to be visionary, to return rewards to the state, to achieve social goals, and to be independent is used to evaluate the performance of three SOEs: IRI, Temasek and öiag. All three companies are State Holding Companies since this type of soe provides the flexibility necessary to follow an entrepreneurial management style. This international comparative analysis highlights that, in order for SOEs to be entrepreneurial, they must go beyond fixing market failures and that social goals are not necessarily in opposition to rewards, and to profitability in particular. The state should not just fix market failures, it must create new markets and new paths of development for national economies. SHCs can be effective tools in achieving these results

Pictorial Real, Historical Intermedial. Digital Aesthetics and the Representation of History in Eric Rohmer's The Lady and the Duke

Abstract In The Lady and the Duke (2001), Eric Rohmer provides an unusual and "conservative" account of the French Revolution by recurring to classical and yet "revolutionary" means. The interpolation between painting and film produces a visual surface which pursues a paradoxical effect of immediacy and verisimilitude. At the same time though, it underscores the represented nature of the images in a complex dynamic of "reality effect" and critical meta-discourse. The aim of this paper is the analysis of the main discursive strategies deployed by the film to disclose an intermedial effectiveness in the light of its original digital aesthetics. Furthermore, it focuses on the problematic relationship between image and reality, deliberately addressed by Rohmer through the dichotomy simulation/illusion. Finally, drawing on the works of Louis Marin, it deals with the representation of history and the related ideology, in order to point out the film's paradoxical nature, caught in an undecidability between past and present

Long in the making: Policy insights from the Thai bioeconomy sector

Low- and middle-income countries are increasingly turning to the bioeconomy as a pathway for development. This policy brief presents the case of bioproduction targeting in Thailand, it shows the policy origins and how policy evolution has adapted along innovation phase and technological sophistication. Its goal is to identify which policies have been successful in achieving the current level of bioeconomy sector development and which reform steps are needed to pursue higher value-added bioproductions, such as biopharmaceuticals

Statistical properties of acoustic emission signals from metal cutting processes

Acoustic Emission (AE) data from single point turning machining are analysed in this paper in order to gain a greater insight of the signal statistical properties for Tool Condition Monitoring (TCM) applications. A statistical analysis of the time series data amplitude and root mean square (RMS) value at various tool wear levels are performed, �nding that ageing features can be revealed in all cases from the observed experimental histograms. In particular, AE data amplitudes are shown to be distributed with a power-law behaviour above a cross-over value. An analytic model for the RMS values probability density function (pdf) is obtained resorting to the Jaynes' maximum entropy principle (MEp); novel technique of constraining the modelling function under few fractional moments, instead of a greater amount of ordinary moments, leads to well-tailored functions for experimental histograms.Comment: 16 pages, 7 figure