scholarly journals Application of BSDE in Standard Inventory Financing Loan

2017 ◽  
Vol 2017 ◽  
pp. 1-6 ◽  
Author(s):  
Hui Zhang ◽  
Wenyu Meng ◽  
Xiaojie Wang ◽  
Jianwei Zhang
Keyword(s):  
Financial Market ◽  
Critical Factor ◽  
Risk Tolerance ◽  
Knightian Uncertainty ◽  
Explicit Solutions ◽  
Short Term ◽  
Minimum Risk ◽  
Interval Solution ◽  
Equivalent Martingale ◽  
Inventory Financing

This paper examines the issue of loans obtained by the small and medium-sized enterprises (SMEs) from banks through the mortgage inventory of goods. And the loan-to-value (LTV) ratio which affects the loan business is a very critical factor. In this paper, we provide a general framework to determine a bank’s optimal loan-to-value (LTV) ratio when we consider the collateral value in the financial market with Knightian uncertainty. We assume that the short-term prices of the collateral follow a geometric Brownian motion. We use a set of equivalent martingale measures to build the models about a bank’s maximum and minimum levels of risk tolerance in an environment with Knightian uncertainty. The models about the LTV ratios are established with the bank’s maximum and minimum risk preferences. Applying backward stochastic differential equations (BSDEs), we get the explicit solutions of the models. Applying the explicit solutions, we can obtain an interval solution for the optimal LTV ratio. Our numerical analysis shows that the LTV ratio in the Knightian uncertainty-neutral environment belongs to the interval solutions derived from the models.

The causes of poverty in Russia

2020 ◽  
Vol 13 (1) ◽  
pp. 21-36
Author(s):  
I.S. Ivanchenko
Keyword(s):  
Regression Analysis ◽  
Regional Development ◽  
Financial Market ◽  
Russian Federation ◽  
Short Term ◽  
Financial Situation ◽  
Macroeconomic Variables ◽  
Development Plans ◽  
The Russian Federation ◽  
Short Term Forecasting

Subject. This article analyzes the changes in poverty of the population of the Russian Federation. Objectives. The article aims to identify macroeconomic variables that will have the most effective impact on reducing poverty in Russia. Methods. For the study, I used the methods of logical, comparative, and statistical analyses. Results. The article presents a list of macroeconomic variables that, according to Western scholars, can influence the incomes of the poorest stratum of society and the number of unemployed in the country. The regression analysis based on the selected variables reveals those ones that have a statistically significant impact on the financial situation of the Russian poor. Relevance. The results obtained can be used by the financial market mega-regulator to make anti-poverty decisions. In addition, the models built can be useful to the executive authorities at various levels for short-term forecasting of the number of unemployed and their income in drawing up regional development plans for the areas.

scholarly journals Option Pricing Driven by a Telegraph Process with Random Jumps

2012 ◽  
Vol 49 (3) ◽  
pp. 838-849 ◽  
Author(s):  
Oscar López ◽  
Nikita Ratanov
Keyword(s):  
Option Pricing ◽  
Financial Market ◽  
Option Prices ◽  
Martingale Measures ◽  
Market Models ◽  
Telegraph Process ◽  
Equivalent Martingale Measures ◽  
Hedging Strategies ◽  
Random Jumps ◽  
Equivalent Martingale

In this paper we propose a class of financial market models which are based on telegraph processes with alternating tendencies and jumps. It is assumed that the jumps have random sizes and that they occur when the tendencies are switching. These models are typically incomplete, but the set of equivalent martingale measures can be described in detail. We provide additional suggestions which permit arbitrage-free option prices as well as hedging strategies to be obtained.

Short-Term Change in a Population of the Meat Ant Iridomyrmex Purpureus (Hymenoptera: Formicidae).

1975 ◽  
Vol 23 (4) ◽  
pp. 511 ◽  
Author(s):  
PJM Greenslade
Keyword(s):  
Seasonal Variation ◽  
Colony Size ◽  
Critical Factor ◽  
Nest Entrance ◽  
Short Term ◽  
Growth And Survival ◽  
Short Term Change ◽  
Term Change ◽  
Rates Of Growth ◽  
Size And Structure

A population of the mound-building meat ant, Iridomyrmex purpureus s. s., was studied from 1971 to 1974 near the cool, wet end of its South Australian range. Seasonal variation in the numbers of nest mounds, and in number of nest entrance holes used by the population, indicate that it is under climatic stress in winter and summer. It is also subject to human interference and many mounds have been damaged; the fate of such colonies suggests that the mounds affect nest temperatures and are important in reducing winter stress. Comparison of parts of the population from areas differing in aspect and drainage shows that colony size and structure are controlled by rates of growth and survival of nests, depending largely on summer and winter stress respectively. The latter appears to be the critical factor in this population.

scholarly journals Age, but not short-term intensive swimming, affects chondrocyte turnover in zebrafish vertebral cartilage

PeerJ ◽  
2018 ◽  
Vol 6 ◽  
pp. e5739 ◽  
Author(s):  
Quan-Liang Jian ◽  
Wei-Chun HuangFu ◽  
Yen-Hua Lee ◽  
I-Hsuan Liu
Keyword(s):  
Critical Factor ◽  
The Body ◽  
Micro Computed Tomography ◽  
Mineral Density ◽  
Short Term ◽  
Cartilage Homeostasis ◽  
Intensive Exercise ◽  
Before And After ◽  
Two Factors ◽  
Brdu Labeling

Both age and intensive exercise are generally considered critical risk factors for osteoarthritis. In this work, we intend to establish zebrafish models to assess the role of these two factors on cartilage homeostasis. We designed a swimming device for zebrafish intensive exercise. The body measurements, bone mineral density (BMD) and the histology of spinal cartilages of 4- and 12-month-old zebrafish, as well the 12-month-old zebrafish before and after a 2-week exercise were compared. Our results indicate that both age and exercise affect the body length and body weight, and the micro-computed tomography reveals that both age and exercise affect the spinal BMD. However, quantitative analysis of immunohistochemistry and histochemistry indicate that short-term intensive exercise does not affect the extracellular matrix (ECM) of spinal cartilage. On the other hand, the cartilage ECM significantly grew from 4 to 12 months of age with an increase in total chondrocytes. dUTP nick end labeling staining shows that the percentages of apoptotic cells significantly increase as the zebrafish grows, whereas the BrdU labeling shows that proliferative cells dramatically decrease from 4 to 12 months of age. A 30-day chase of BrdU labeling shows some retention of labeling in cells in 4-month-old spinal cartilage but not in cartilage from 12-month-old zebrafish. Taken together, our results suggest that zebrafish chondrocytes are actively turned over, and indicate that aging is a critical factor that alters cartilage homeostasis. Zebrafish vertebral cartilage may serve as a good model to study the maturation and homeostasis of articular cartilage.

scholarly journals On the Asymmetries of Sovereign Credit Rating Announcements and Financial Market Development in the European Region

2019 ◽  
Vol 11 (23) ◽  
pp. 6636 ◽  
Author(s):  
Chunling Li ◽  
Khansa Pervaiz ◽  
Muhammad Asif Khan ◽  
Faheem Ur Rehman ◽  
Judit Oláh
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Credit Rating ◽  
Market Development ◽  
European Region ◽  
Short Term ◽  
Sovereign Credit ◽  
Financial Market Development ◽  
The Impact ◽  
Sovereign Credit Rating

In modeling the impact of sovereign credit rating (CR) on financial markets, a considerable amount of the literature to date has been devoted to examining the short-term impact of CR on financial markets via an event-study methodology. The argument has been established that financial markets are sensitive to CR announcements, and market reactions to such announcements (both upgrading and degrading) are not the same. Using the framework of an autoregressive distributed lag setting, the present study attempted to empirically test the linear and non-linear impacts of CR on financial market development (FMD) in the European region. Nonlinear specification is capable to capture asymmetries (upgrades and downgrades) in the estimation process, which have not been considered to date in financial market literature. Overall findings identified long-term asymmetries, while there was little evidence supporting the existence of short-term asymmetries. Thus, the present study has extended the financial market literature on the subject of the asymmetrical impact of a sovereign CR on European FMD and provides useful input for policy formation taking into account these nonlinearities. Policies solely based upon linear models may be misleading and detrimental.

Dynamic Robust Pricing Model of European Call Option under the Fractional Market with Knightian Uncertainty

2011 ◽  
Vol 271-273 ◽  
pp. 675-678
Author(s):  
Hui Zhang ◽  
Wen Yu Meng
Keyword(s):  
Financial Market ◽  
Conditional Expectation ◽  
Explicit Solution ◽  
Knightian Uncertainty ◽  
Call Option ◽  
Pricing Model ◽  
European Call Option

The fractional financial market with Knightian uncertainty is studied. Using the important theories of the quasi conditional expectation and the quasi martingale, we establish the dynamic robust pricing model of European call option and get the explicit solution of the model.

scholarly journals By-catch species susceptibilities and potential for survival in Algarve (southern Portugal) deep-water crustacean trawl fishery

2018 ◽  
Vol 82 (S1) ◽  
pp. 141
Author(s):  
Ana C. Adão ◽  
Michael Breen ◽  
Moritz Eichert ◽  
Teresa C. Borges
Keyword(s):  
Critical Factor ◽  
Short Term ◽  
Term Survival ◽  
Trawl Fishery ◽  
Mullus Surmuletus ◽  
Negative Impacts ◽  
By Catch ◽  
Conger Eel ◽  
Conger Conger ◽  
Short Term Survival

Bottom trawling for crustaceans in Portuguese coastal waters is an important fishery in terms of revenue, despite its negative impacts on deep-sea ecosystems. This fishery catches large amounts of unwanted species that were discarded for various reasons before the introduction of the Landing Obligation, which banned the discarding of regulated species. However, where it can be demonstrated that a species has an acceptably high likelihood of survival, exemptions to this ban may be granted. In this study, time-to-mortality was used to estimate immediate mortality rates and identify important biological characteristics determining the susceptibility of 14 by-catch species, most with commercial interest (Conger conger, Galeus melastomus, Helicolenus dactylopterus, Lepidorhombus boscii, Lophius budegassa, Lophius piscatorius, Merluccius merluccius, Micromesistius poutassou, Mullus surmuletus, Phycis blennoides, Scyliorhinus canicula, Trigla lyra, Trachurus trachurus and Trachurus picturatus). Species with potential to survive after the discarding process were identified and a short-term survival assessment of conger eel (Conger conger) was performed. The results suggest that species with scales, gas bladder and high metabolic rates have higher post-discard mortality. Size was a critical factor determining survival in some species, with smaller individuals dying faster. The short-term survival rate of conger eel was determined to be 84% (95% CI: 75.5 to 93.3%). The methodology and results from this study can help identify species that may survive the discarding process and factors influencing their survival.

scholarly journals Financial Market Participation Of Immigrants And Native-Born Americans: The Role Of Income Uncertainty

2011 ◽  
Vol 8 (5) ◽  
Author(s):  
Swarn Chatterjee
Keyword(s):  
Financial Market ◽  
The United States ◽  
Risk Tolerance ◽  
Individual Investors ◽  
Financial Asset ◽  
Asset Ownership ◽  
Market Participation ◽  
Income Uncertainty ◽  
Financial Market Participation

This paper uses the National Longitudinal Survey dataset to examine the role of income uncertainty in explaining the likelihood of financial asset ownership among native-born and immigrant Americans. After controlling for a number of socioeconomic, demographic and behavioral factors, the results suggest that individual investors who face greater income uncertainty are less likely to own financial assets. This relationship holds true for immigrants and native-born Americans. Additionally, the likelihood of financial asset ownership increases with income, risk tolerance, and educational attainment for immigrants as well as for natives. Results also suggest that financial market participation among immigrants increases with the number of years they remain in the United States.

Sign in / Sign up

Export Citation Format

Share Document