An integral representation of elasticity and sensitivity for stochastic volatility models

This paper presents a generic probabilistic approach to study elasticities and sensitivities of financial quantities under stochastic volatility models. We describe the shock elasticity, the quantile sensitivity and the vega value of cash flows with respect to perturbation of the volatility function of the model. The main contribution is to establish explicit formulae for these elasticities and sensitivities based on a novel application of the exponential measure change technique in Palmowski and Rolski (Bernoulli 8(6):767–785 2002). We carry out explicit calculations for the Heston model and the 3/2 stochastic volatility model, and derive explicit expressions in terms of model parameters.     

Buckling and damage of dynamically loaded plates in shock tubes

In this study circular metal plates are subjected alternately to impulsive loadings in shock tubes. The aim is to develop an experimental method to measure the buckling shapes of shock wave-loaded plates during the impulse duration. Furthermore, the measurements are used to validate failure modes predicted in finite element simulations. (© 2005 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Sampling of Operators

Sampling and reconstruction of functions is a fundamental tool in science. We develop an analogous sampling theory for operators whose Kohn-Nirenberg symbols are bandlimited. We prove sampling theorems for in this sense bandlimited operators and show that our results generalize both, the classical sampling theorem, and the fact that a time-invariant operator is fully determined by its impulse response.     

A more meaningful parameterization of the Lee–Carter model

A new Lee–Carter model parameterization is introduced with two advantages. First, the Lee–Carter parameters are normalized such that they have a direct and intuitive interpretation, comparable across populations. Second, the model is stated in terms of the “needed-exposure” (NE). The NE is the number required in order to get one expected death and is closely related to the “needed-to-treat” measure used to communicate risks and benefits of medical treatments. In the new parameterization, time parameters are directly interpretable as an overall across-age NE. Age parameters are interpretable as age-specific elasticities: percentage changes in the NE at a particular age in response to a percent change in the overall NE. A similar approach can be used to confer interpretability on parameters of other mortality models.     

基于系统冲击的灰色预测模型及其应用研究

针对系统受到系统外部冲击问题,结合泛函理论和灰色系统理论,建立了含有系统冲击泛函分析因子的灰色泛函预测模型。并运用贝叶斯网络推理技术,建立了系统冲击与系统控制的灰色贝叶斯网络推理预测模型。所建模型可以分析基于系统冲击演化的泛函分析因子的动态推演问题。依据泛函分析因子的变动,可以预测与修正系统发展趋势。案例分析了2013年房地产经济受到新政策的冲击问题。由于房地产经济受到新政策冲击,使经济发展态势发生转变。根据房地产经济的当前时段信息,利用灰色贝叶斯网络推理预测模型对历史趋势进行修正,预测结果与实际数值仅有3.81%的偏离,预测结果较其它现有模型的预测结果精确。灰色贝叶斯网络推理模型强调对近期数据的开发利用,适用于预测系统近期受到外部冲击的发展趋势问题。     

Quantile regression for robust bank efficiency score estimation

We discuss quantile regression techniques as a robust and easy to implement alternative for estimating Farell technical efficiency scores. The quantile regression approach estimates the production process for benchmark banks located at top conditional quantiles. Monte Carlo simulations reveal that even when generating data according to the assumptions of the stochastic frontier model (SFA), efficiency estimates obtained from quantile regressions resemble SFA-efficiency estimates. We apply the SFA and the quantile regression approach to German bank data for three banking groups, commercial banks, savings banks and cooperative banks to estimate efficiency scores based on a simple value added function and a multiple-input–multiple-output cost function. The results reveal that the efficient (benchmark) banks have production and cost elasticities which differ considerably from elasticities obtained from conditional mean functions and stochastic frontier functions.     

One-sided elasticities and technical efficiency in multi-output production: A theoretical framework

One of the concepts that have sparked considerable interest in the theory of production and efficiency is that of returns to scale (RTS). Economics researchers typically define RTS using the notion of elasticity. Considerable research activity on RTS has also been observed by management science researchers, who utilize the methodology of Data Envelopment Analysis (DEA) to gain insights on RTS. In this paper, we present a theoretical framework that integrates existing economics and management science literature on RTS, and provides a solid foundation for research work in this area. Our framework defines, discusses, and proposes an approach to measure input- and output-oriented elasticities, and one-sided RTS. We demonstrate how the work done in DEA is a special case of our framework, and discuss the conditions under which the resulting two left-hand, and the two right-hand elasticities can be equal. Future research directions are also discussed.     

Imprecise expectations for imprecise linear filtering

In most sensor measure based applications, the raw sensor signal has to be processed by an appropriate filter to increase the signal-to-noise ratio or simply to recover the signal to be measured. In both cases, the filter output is obtained by convoluting the sensor signal with a supposedly known appropriate impulse response. However, in many real life situations, this impulse response cannot be precisely specified. The filtered value can thus be considered as biased by this arbitrary choice of one impulse response among all possible impulse responses considered in this specific context. In this paper, we propose a new approach to perform filtering that aims at computing an interval valued signal containing all outputs of filtering processes involving a coherent family of conventional linear filters. This approach is based on a very straightforward extension of the expectation operator involving appropriate concave capacities.     

Optimal risk transfer for agents with germs

We introduce a new class of risk measures called generalized entropic risk measures (GERMS) that allow economic agents to have different attitudes towards different sources of risk. We formulate the problem of optimal risk transfer in terms of these risk measures and characterize the optimal transfer contract. The optimal contract involves what we call intertemporal source-dependent quotient sharing, where agents linearly share changes in the aggregate risk reserve that occur in response to shocks to the system over time, with scaling coefficients that depend on the attitudes of each agent towards the source of risk causing the shock. Generalized entropic risk measures are not dilations of a common base risk measure, so our results extend the class of risk measures for which explicit characterizations of the optimal transfer contract can be found.     

Market segmentation by maximum likelihood clustering using choice elasticities

We determine market segments by clustering households on the basis of their average choice elasticities across purchases and brands w.r.t. price, sales promotion and brand loyalty. The cluster analysis technique used is a maximum likelihood method which allows varying size and orientation and assumes constant volume. Elasticities originate from choice models with alternatively linear and nonlinear utility functions. Choice models are estimated on the basis of household scanner data. Segments are interpreted by means of multiple discriminant analysis and multinomial logit models whose predictors are elasticities of predictors and external variables (i.e. number of purchases, number of brands bought, income and household size), respectively.     

Pointwise convergence to shock waves for viscous conservation laws

We are interested in the pointwise behavior of the perturbations of shock waves for viscous conservation laws. It is shown that, besides a translation of the shock waves and of linear and nonlinear diffusion waves of heat and Burgers equations, a perturbation also gives rise to algebraically decaying terms, which measure the coupling of waves of different characteristic families. Our technique is a combination of time-asymptotic expansion, construction of approximate Green functions, and analysis of nonlinear wave interactions. The pointwise estimates yield optimal L_p convergence of the perturbation to the shock and diffusion waves, 1 ≤ p ≤ ∞. The new approach of obtaining pointwise estimates based on the Green functions for the linearized system and the analysis of nonlinear wave interactions is also useful for studying the stability of waves of distinct types and nonclassical shocks. These are being explored elsewhere. © 1997 John Wiley & Sons, Inc.     

Relevance of functional flexibility for heterogeneous sales response models: A comparison of parametric and semi-nonparametric models

So far studies estimating sales response functions on the basis of store-specific data either consider heterogeneity or functional flexibility. That is why in this contribution a model is developed possessing both these features. It is a multilayer perceptron with store-specific coefficients which follows a hierarchical Bayesian framework. An appropriate Markov Chain Monte Carlo estimation technique is introduced capable to satisfy theoretical constraints (e.g. sign constraints on elasticities). The empirical study refers to a data base consisting of weekly observations of sales and prices for nine leading brands of a packaged consumer good category. The data were acquired in 81 stores over a time span of at least 61 weeks. The multilayer perceptron is compared to a strict parametric multiplicative model and turns out to be clearly superior in terms of posterior model probability. This result indicates the benefits of using a flexible model even if heterogeneity is dealt with. Estimated sales curves and elasticities demonstrate that both models differ with regard to implications on price response.     

OSCILLATIONS OF IMPULSES DELAY DIFFERENTIAL EQUATIONS WITH FORCING TERM

A kind of extended first order impulses nonlinear FDE with forcing term is studied in this paper. Several criteria on the oscillations of solutions are given. We find some suitable impulse functions such that all the solutions of the equation are oscillatory under the impulse control.     

On nonlinear translation-varying operators

In this work nonlinear translation-varying operators are analyzed and represented by means of a generalized impulse response. This is the response of the transpose operator to the family of shifted impulse functionals. Continuous operators from a topological vector space into the space of functions on Rⁿ, as well as $\text{A}$-bounded operators, are investigated.     

Generalized Functions in Signal Theory

Within a self-contained signal theory, generalized functions have to be taken into account, because without them notions like impulse response or transmission function cannot be defined. Starting from the requirements that have to be taken for a function space, if it should be suitable for a signal theory, generalized functions are introduced. Moreover, the connections between such a signal theory and the theory of white noise are discussed.     

人民币国际化与能源价格互动关系研究

目前人民币国际化已被广泛关注,国际大宗商品贸易、特别是能源贸易中计价货币绑定成为货币走向世界的新道路,因此研究人民币国际化与能源价格的关系对于进一步推动人民币国际化有着重要意义.本文选用渣打银行人民币环球指数来度量人民币国际化进程,利用协整、格兰杰因果和脉冲响应三种方法对人民币国际化与国内外石油及煤炭价格的互动关系进行了研究.实证结果表明:人民币国际化与能源价格之间存在长期均衡关系,且短期内能源价格变动对于人民币国际化变动都有着正向的影响.并且,石油价格以及国内煤炭价格是人民币国际化的格兰杰原因,而人民币国际化指数仅仅是国际煤炭价格的格兰杰原因;最后,通过脉冲响应分析,发现能源价格变动对人民币国际化进程有积极推动作用.     

Quality adjusted measures of services in public schools

This study considers specification and estimation of cost functions in public schools. A number of production characteristics are included in the specification to control for observable differences between municipalities in the provision of their school services. Both parametric and non-parametric approaches are used to take into account the quality differences in school services. These approaches are then compared to the alternative output measure without any adjustment for quality differences. The sensitivity of different elasticities and returns to scale (RTS) measures with respect to alternative model specifications and quality adjustments are also analyzed. In the empirical section we examine performances of 286 Swedish municipalities in the production of primary and secondary school education during the 1992/3–1994/5 school years.     

Characterization of Transfer Functions of Pritchard–Salamon or Other Realizations with a Bounded Input or Output Operator

We show that the transfer functions that have a (continuoustime) well-posed realization with a bounded input operator are exactly those that are strong-H² (plus constant feedthrough) over some right half-plane. The dual condition holds iff the transfer function has a realization with a bounded output operator. Both conditions hold iff the transfer function has a Pritchard–Salamon (PS) realization. A state-space variant of the PS result was proved already in [3], under the additional assumption that the weighting pattern (or impulse response) is a function (whose values are bounded operators). We illustrate by an example that this does not cover all PS systems, not even if the input and output spaces are separable.     

Entropy stable shock capturing space–time discontinuous Galerkin schemes for systems of conservation laws

We present a streamline diffusion shock capturing spacetime discontinuous Galerkin (DG) method to approximate nonlinear systems of conservation laws in several space dimensions. The degrees of freedom are in terms of the entropy variables and the numerical flux functions are the entropy stable finite volume fluxes. We show entropy stability of the (formally) arbitrarily high order accurate method for a general system of conservation laws. Furthermore, we prove that the approximate solutions converge to the entropy measure valued solutions for nonlinear systems of conservation laws. Convergence to entropy solutions for scalar conservation laws and for linear symmetrizable systems is also shown. Numerical experiments are presented to illustrate the robustness of the proposed schemes.     

Efficiency in a forced contribution threshold public good game

We contrast and compare three ways of predicting efficiency in a forced contribution threshold public good game. The three alternatives are based on ordinal potential, quantal response and impulse balance theory. We report an experiment designed to test the respective predictions and find that impulse balance gives the best predictions. A simple expression detailing when enforced contributions result in high or low efficiency is provided.