scholarly journals A Guaranteed Deterministic Approach to Superhedging—The Case of Convex Payoff Functions on Options

Mathematics ◽  
2019 ◽  
Vol 7 (12) ◽  
pp. 1246 ◽  
Author(s):  
Sergey Smirnov
Keyword(s):  
A Priori ◽  
Contingent Claim ◽  
Mixed Strategies ◽  
Deterministic Approach ◽  
Deterministic Problem ◽  
History Of ◽  
Game Theoretic ◽  
Payoff Functions ◽  
Special Case ◽  
Problem Setting

This paper considers super-replication in a guaranteed deterministic problem setting with discrete time. The aim of hedging a contingent claim is to ensure the coverage of possible payoffs under the option contract for all admissible scenarios. These scenarios are given by means of a priori given compacts that depend on the history of prices. The increments of the price at each moment in time must lie in the corresponding compacts. The absence of transaction costs is assumed. The game–theoretic interpretation of pricing American options implies that the corresponding Bellman–Isaacs equations hold for both pure and mixed strategies. In the present paper, we study some properties of the least favorable (for the “hedger”) mixed strategies of the “market” and of their supports in the special case of convex payoff functions.

scholarly journals A guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium

2020 ◽  
Vol 12 (1) ◽  
pp. 60-90
Author(s):  
Сергей Николевич Смирнов ◽  
Sergey Smirnov
Keyword(s):  
Transaction Costs ◽  
A Priori ◽  
Contingent Claim ◽  
Mixed Strategies ◽  
Deterministic Approach ◽  
Game Equilibrium ◽  
Game Theoretic ◽  
Price History ◽  
Pure Strategies ◽  
Trading Constraints

For a discrete-time superreplication problem, a guaranteed deterministic formulation is considered: the problem is to ensure a cheapest coverage of the contingent claim on an option under all scenarios which are set using a priori defined compacts, depending on the price history: price increments at each moment of time must lie in the corresponding compacts. The market is considered with trading constraints and without transaction costs. The statement of the problem is game-theoretic in nature and leads directly to the Bellman - Isaacs equations. In this article, we introduce a mixed extension of the ``market'' pure strategies. Several results concerning game equilibrium are obtained.

scholarly journals A guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behaviour and moment problem

2020 ◽  
Vol 12 (3) ◽  
pp. 50-88
Author(s):  
Сергей Николаевич Смирнов ◽  
Sergey Sergey
Keyword(s):  
Bellman Equation ◽  
A Priori ◽  
Theoretical Interpretation ◽  
Mixed Strategies ◽  
Deterministic Approach ◽  
Step Method ◽  
Risky Assets ◽  
Deterministic Problem ◽  
Game Equilibrium ◽  
Problem Setting

A guaranteed deterministic problem setting of super-replication with discrete time is considered: the aim of hedging of a contingent claim is to ensure the coverage of possible payout under the option contract for all admissible scenarios. These scenarios are given by means of a priori given compacts, that depend on the prehistory of prices: the increments of the price at each moment of time must lie in the corresponding compacts. The absence of transaction costs is assumed. The game-theoretical interpretation implies that the corresponding Bellman-Isaac equations hold, both for pure and mixed strategies. In the present paper, we propose a two-step method of solving the Bellman equation arising in the case of (game) equilibrium. In particular, the most unfavorable strategies of the `market can be found in the class of the distributions concentrated at most in n+1 point, where n is the number of risky assets.

scholarly journals Guaranteed Deterministic Approach to Superhedging: Case of Binary European Option

2021 ◽  
Vol 2021 ◽  
pp. 1-18
Author(s):  
Sergey N. Smirnov ◽  
Andrey Yu. Zanochkin
Keyword(s):  
A Priori ◽  
Payoff Function ◽  
Market Model ◽  
Solution Properties ◽  
Deterministic Approach ◽  
European Option ◽  
Bellman Equations ◽  
Contingent Liability ◽  
Game Theoretic ◽  
Trading Constraints

For the superreplication problem with discrete time, a guaranteed deterministic formulation is considered: the problem is to guarantee coverage of the contingent liability on sold option under all admissible scenarios. These scenarios are defined by means of a priori defined compacts dependent on price prehistory: the price increments at each point in time must lie in the corresponding compacts. In a general case, we consider a market with trading constraints and assume the absence of transaction costs. The formulation of the problem is game theoretic and leads to the Bellman–Isaacs equations. This paper analyses the solution to these equations for a specific pricing problem, i.e., for a binary option of the European type, within a multiplicative market model, with no trading constraints. A number of solution properties and an algorithm for the numerical solution of the Bellman equations are derived. The interest in this problem, from a mathematical prospective, is related to the discontinuity of the option payoff function.

Immunotheraphy in Allergic Diseases

2018 ◽  
Vol 24 (11) ◽  
pp. 1174-1194
Author(s):  
Albert Roger ◽  
Maria Basagana ◽  
Aina Teniente-Serra ◽  
Nathalie Depreux ◽  
Yanina Jurgens ◽  
...  
Keyword(s):  
Specific Immunotherapy ◽  
Allergic Diseases ◽  
Specific Ige ◽  
World Population ◽  
Allergen Specific Immunotherapy ◽  
Routes Of Administration ◽  
Disease Modifying Therapy ◽  
History Of ◽  
Ige Mediated ◽  
Special Case

The prevalence of allergic diseases is increasing worldwide. It is estimated that more than 30% of the world population is now affected by one or more allergic conditions and a high proportion of this increase is in young people. The diagnosis of allergy is dependent on a history of symptoms on exposure to an allergen together with the detection of allergen-specific IgE. Accurate diagnosis of allergies opens up therapeutic options. Allergen specific immunotherapy is the only successful disease-modifying therapy for IgE-mediated allergic diseases. New therapeutic strategies have been developed or are currently under clinical trials. Besides new routes of administration, new types of allergens are being developed. The use of adjuvants may amplify the immune response towards tolerance to the antigens. In this review, we analyze different antigen-specific immunotherapies according to administration route, type of antigens and adjuvants, and we address the special case of food allergy.

scholarly journals The crowd and citylife: Materiality, negotiation and inclusivity at Tokyo’s train stations

Urban Studies ◽  
2021 ◽  
pp. 004209802110078
Author(s):  
Romit Chowdhury ◽  
Colin McFarlane
Keyword(s):  
A Priori ◽  
Urban Density ◽  
History Of ◽  
Mode Of Being ◽  
The Relationship ◽  
The City ◽  
Human Embodiment

In the history of urban thought, density has been closely indexed to the idea of citylife. Drawing on commuters’ experiences and perceptions of crowds in and around Tokyo’s Shinjuku Station, this article offers an ethnographic perspective on the relationship between urban crowds and life in the city. We advance understandings of the relations between the crowd and citylife through three categories of ‘crowd relations’– materiality, negotiation and inclusivity – to argue that the multiplicity of meanings which accrue to people’s encounters with crowds refuses any a priori definitions of optimum levels of urban density. Rather, the crowd relations gathered here are evocations of citylife that take us beyond the tendency to represent the crowd as a particular kind of problem, be it alienation, exhaustion or a threshold for ‘good’ and ‘bad’ densities. The portraits of commuter crowds presented capture the various entanglements between human and non-human, embodiment and mobility, and multiculture and the civic, through which citylife emerges as a mode of being with oneself and others.

scholarly journals A Variance Gamma model for Rugby Union matches

2020 ◽  
Vol 17 (1) ◽  
pp. 67-75
Author(s):  
John Fry ◽  
Oliver Smart ◽  
Jean-Philippe Serbera ◽  
Bernhard Klar
Keyword(s):  
Three Dimensional ◽  
Rugby Union ◽  
Three Dimensional Model ◽  
Gamma Model ◽  
Variance Gamma ◽  
Poisson Models ◽  
History Of ◽  
Bonus Points ◽  
Variance Gamma Model ◽  
Special Case

Abstract Amid much recent interest we discuss a Variance Gamma model for Rugby Union matches (applications to other sports are possible). Our model emerges as a special case of the recently introduced Gamma Difference distribution though there is a rich history of applied work using the Variance Gamma distribution – particularly in finance. Restricting to this special case adds analytical tractability and computational ease. Our three-dimensional model extends classical two-dimensional Poisson models for soccer. Analytical results are obtained for match outcomes, total score and the awarding of bonus points. Model calibration is demonstrated using historical results, bookmakers’ data and tournament simulations.

Lost (and Found) in Translation: A Cultural History of Translators and Translating in Early Modern Europe

2007 ◽  
Vol 15 (1) ◽  
pp. 83-94 ◽  
Author(s):  
PETER BURKE
Keyword(s):  
Early Modern ◽  
Cultural History ◽  
Translation Studies ◽  
Early Modern Europe ◽  
General Phenomenon ◽  
Lost And Found ◽  
History Of ◽  
Modern Europe ◽  
Special Case ◽  
Made In

Attempting to combine cultural history with translation studies, this article examines translation between languages as a special case of a more general phenomenon, translation between cultures. It surveys printed translations made in Europe between 1500 and 1700, discussing which kinds of people translated which kinds of book from and into which languages. Particular attention is given to the reconstruction of the early modern ‘regime’ of translation, in other words the manner (free or literal, domesticating or ‘foreignizing’) in which translations were made.

Assisted-living for older people in Israel: market control or government regulation?

2003 ◽  
Vol 23 (6) ◽  
pp. 779-795 ◽  
Author(s):  
ISRAEL DORON ◽  
ERNIE LIGHTMAN
Keyword(s):  
Older People ◽  
Assisted Living ◽  
Government Regulation ◽  
A Priori ◽  
Self Regulation ◽  
Legal Regulation ◽  
Rapid Expansion ◽  
Assisted Living Facilities ◽  
History Of ◽  
Legitimate Interests

In recent decades there has been a rapid expansion of assisted-living facilities for older people in many different countries. Much of this growth has occurred with only limited or no government regulation, but many problems have arisen, typically around the quality of care, which have led to demands that governments act to protect vulnerable residents. This paper examines whether formal legal regulation is the optimal policy to protect the needs and rights of frail residents, while respecting the legitimate interests of others, such as operators and owners. It presents the case for and against direct legal regulation (as in institutions), and suggests that no overall a priori assessment is possible. The analysis is based on the case of Israel, where proposed regulations for assisted-living have been introduced but not implemented. After a brief history of assisted-living in Israel – its recent dramatic growth and why this occurred – the paper concludes that formal direct regulation is not the best route to follow, but that the better course would be to develop totally new ‘combined’ regulatory legislation. This would define the rights of residents and encourage self-regulation alongside minimal and measured mechanisms of deterrence. Such an approach could promote the continued development of the assisted-living industry in Israel and elsewhere, while guaranteeing that the rights, needs and dignity of older residents are protected.

A New Approach to the Modeling of Magnetorheological Dampers and Application to Resonance Control

2021 ◽  
Author(s):  
Dennis A. Siginer ◽  
Mario Letelier ◽  
Juan Sebastián Stockle Henríquez
Keyword(s):  
Flow Pattern ◽  
Yield Stress ◽  
A Priori ◽  
Time History ◽  
Magnetorheological Damper ◽  
Mr Fluid ◽  
Variable Resistance ◽  
History Of ◽  
Displacement Pattern ◽  
Analytical Tools

Abstract A predetermined flow pattern in a magnetorheological damper providing continuously variable resistance to flow is required for efficient damping of a given load. The required predetermined flow pattern rests on the a priori determination of the constitutive properties of the magnetorheological (MR) fluid determined to generate variable resistance to flow. The inverse problem of constructing the predetermined response of the damper with a specific displacement pattern of the piston in the damper for efficient damping of a given load is solved. The magnetorheological (MR) fluid in the damper is modeled as a Bingham phase change material with time dependent yield stress offering continuously variable resistance to the flow in the piston to achieve the required specific displacement pattern. The governing equations are solved for any time history of the dimensionless yield stress of the fluid which in turn is determined from the imposed response of the damper. Analytical tools developed can be used in optimizing damper performance. The application of the method to resonance mitigation is illustrated.

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