Valuing risky income streams in incomplete markets

A model for pricing and hedging in incomplete markets is proposed. This model is derived from expected utility theory, and a connection with the traditional no‐arbitrage framework is noted. It is shown that the CGM model can be implemented to value risky assets in incomplete markets.     

Combined imaging biomarkers for therapy evaluation in glioblastoma multiforme: correlating sodium MRI and F-18 FLT PET on a voxel-wise basis

We evaluate novel magnetic resonance imaging (MRI) and positron emission tomography (PET) quantitative imaging biomarkers and associated multimodality, serial-time-point analysis methodologies, with the ultimate aim of providing clinically feasible, predictive measures for early assessment of response to cancer therapy. A focus of this work is method development and an investigation of the relationship between the information content of the two modalities. Imaging studies were conducted on subjects who were enrolled in glioblastoma multiforme (GBM) therapeutic clinical trials. Data were acquired, analyzed and displayed using methods that could be adapted for clinical use. Subjects underwent dynamic [¹⁸F]fluorothymidine (F-18 FLT) PET, sodium (²³Na) MRI and 3-T structural MRI scans at baseline (before initiation of therapy), at an early time point after beginning therapy and at a late follow-up time point after therapy. Sodium MRI and F-18 FLT PET images were registered to the structural MRI. F-18 FLT PET tracer distribution volumes and sodium MRI concentrations were calculated on a voxel-wise basis to address the heterogeneity of tumor physiology. Changes in, and differences between, these quantities as a function of scan timing were tracked.     

井筒中电缆磨损风险评估技术

生产管柱下入时受复杂井眼轨迹影响,电缆磨损失效等情况时有发生,造成不必要的返工,影响作业成本与时效.针对这种情况,建立了井下生产管柱受力有限元分析模型,并采用间隙单元处理接触非线性问题,用以准确地分析井筒中生产管柱与井壁接触力大小及具体接触位置.通过定量评估不同井周处电缆磨损风险,并结合钻井平台的艏向,确定电缆最佳安放位置,使电缆在井下尽量避开管柱与井壁接触较为密集的位置,降低磨损风险.现场应用表明本评估方法可靠,能够为现场电缆安放提供参考.     

Partial splitting of longevity and financial risks: The longevity nominal choosing swaptions

The previous attempts to launch liquid and standardized longevity derivatives in the market failed because banks do not seem to be ready to take longevity risk. Therefore, instead of trying to transfer longevity risk to investors, it could be interesting for financial institutions to propose interest rate hedges adapted to longevity portfolios, in the spirit of liability driven investments. In this paper, we introduce a new structured financial product: the so-called Longevity Nominal Chooser Swaption. Thanks to such a contract, insurers could keep pure longevity risk and transfer to financial markets a great part of interest rate risk underlying annuity portfolios.We use a population dynamics longevity model and a classical two-factor interest rate model to price this product. Numerical results show that the option offered to the insurer (in terms of choice of nominal) is not too expensive in many real-world cases. We also discuss the pros and the cons of the product and of our methodology.     

Condition Monitoring of an Industrial Oil Pump Using a Learning Based Technique

This paper proposes an efficient learning based approach to detect the faults of an industrial oil pump. The proposed method uses the wavelet transform and genetic algorithm (GA) ensemble for an optimal feature extraction procedure. Optimal features, which are dominated through this method, can remarkably represent the mechanical faults in the damaged machine. For the aim of condition monitoring, we considered five common types of malfunctions such as casing distortion, cavitation, looseness, misalignment, and unbalanced mass that occur during the machine operation. The proposed technique can determine optimal wavelet parameters and suitable statistical functions to exploit excellent features via an appropriate distance criterion function. Moreover, our optimization algorithm chooses the most appropriate feature submatrix to improve the final accuracy in an iterative method. As a case study, the proposed algorithms are applied to experimental data gathered from an industrial heavy-duty oil pump installed in Arak Oil Refinery Company. The experimental results are very promising.     

Small Sample Asymptotics for Credit Risk Portfolios

This article considers small sample asymptotics for the distribution of the total loss S_n of a credit risk portfolio. For portfolios with a few exceptionally high potential loss values, the distribution of S_n turns out to be bimodal. Direct approximation by Esscher tilting does not capture this feature. An improved recursive algorithm is proposed. The new approach leads to a more accurate small sample approximation that models bimodality in the presence of outliers. The results are illustrated by a simulated example as well as an example of an observed credit risk portfolio.     

Detecting stock market regimes from option prices

Equity market returns alternate between periods of calm and crises. Researchers commonly employ regime switching models to capture this behaviour. We show that forward-looking information extracted from option prices improves regime detection. In particular, horizon spreads in option-implied equity risk premia allow earlier detection of regime switches and improve prediction of the equity premium. This findings holds across recent disaster periods like the 2008/2009 financial crisis and the 2020 Covid pandemic outbreak, in both US and Emerging equity markets.     

On pricing of corporate securities in the case of jump-diffusion

Structural models of credit risk are known to present vanishing spreads at very short maturitiesThis shortcoming, which is due to the diffusive behavior assumed for asset values, can be circumvented by considering discontinuities of the jump type in their evolution over timeIn this paper, we extend the pricing model for corporate bond and determine the default probability in jump-diffusion model to address this issueTo make the problem clearly,we first investigate the case that the firm value follows a geometric Brownian motion under similar assumptions to those in Black and Scholes(1973), Briys and de Varenne(1997), i.e, the default barrier is KD(t, T) and the recovery rate is(1- ω), where D(t, T) is the price of zero coupon default free bond and ω is a constant(0 ω≤ 1)By changing the numeraire, we obtain the closed-form solution for both the price of bond and default probabilityFurther, we consider the case of jump-diffusion and suppose that a firm will go bankruptcy if its value Vt ≤ KD(t, T)and at the same time, the bondholder will receive(1- ω)Vt KBy introducing the Green function of PDE with absorbing boundary and converting the problem to an II-type Volterra integral equation, we get the closed-form expressions in series form for bond price and corresponding default probabilityNumerical results are presented to show the impact of different parameters to credit spread of bond.     

基于金融服务供应链的极端洪水灾害风险应急合作模型研究

基于金融服务供应链管理的基本思想,建立极端洪水灾害风险应急金融服务供应链,分析此应急金融服务供应链中各成员的利益函数模型之间的关系,结果表明,经营性政府的效益与公众利益呈正相关性,经营性政府的效益与保险公司的利润呈负相关性;同时,考虑当经营性政府效益和保险公司利润固定时,保险公司的保费,经营性政府对公众购买保险的补贴率和政府为了避免保险公司在极端洪水灾害发生后破产概率过高,给予的转移支付之间的关系.     

Residual dynamic and risk assessment of dimethomorph in Swiss chard grown at two different sites

Residue analysis of dimethomorph in Swiss chard cultivated at two different locations under greenhouse conditions was conducted using high‐performance liquid chromatography–ultraviolet detection and confirmed by tandem mass spectrometry. The randomly collected samples (over 14 days) were extracted with acetonitrile and purified using a Florisil solid‐phase extraction cartridge. Linearity over a concentration range of 0.05–50.0 mg/L had an excellent coefficient of determination of 0.9996. Recovery rate ranged from 82.98 to 95.43% with relative standard deviations ≤5.12% and limits of detection and quantification of 0.003 and 0.01 mg/kg, respectively. The initial deposits [day 0 (2 h post‐application)] were considerably lower (7.57 and 8.55 mg/kg for sites 1 and 2, respectively) than the maximum residue limit (30 mg/kg) set by the Korean Ministry of Food and Drug Safety. The dissipation half‐life was approximately the same, being 5.0 and 5.1 days for sites 1 and 2, respectively. Risk assessment estimated as acceptable daily intake revealed a value of 0.084 or 0.094% (day 0) and 0.014% (10 days post‐application), for sites 1 and 2, respectively. The values indicated that dimethomorph can be safely used on Swiss chard, with no hazardous effects expected for Korean consumers.