Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach

Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multi-period guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with certainty makes the insurance company able to meet the obligations from the insurance policies it has issued. We find that by imposing transaction costs, the insurance company reduces the rebalancing of the hedge portfolio. The cost of establishing the hedge portfolio also increases as the transaction cost increases. For the multi-period guarantee there is a rather large rebalancing of the hedge portfolio as we go from one period to the next. By introducing transaction costs we find the size of this rebalancing to be reduced. Transaction costs may therefore be one possible explanation for why we do not see the insurance companies performing a large rebalancing of their investment portfolio at the end of each year.     

Optimal information acquisition for a linear quadratic control problem

This paper develops a generalization of the linear quadratic control problem with partial information. As in the standard partial information setting, it is assumed that the state variable is only observed with noise. The idea in this paper is that the information level may be chosen optimally. In real life information is costly to acquire. It is therefore a trade off between the costs of getting detailed information and the increased value this information gives. We believe that the technique we present should have potential for application within both economics and engineering.     

A dual finite element complex on the barycentric refinement

A simplicial mesh on an oriented two-dimensional surface gives rise to a complex $X^{?}$ of finite element spaces centered on divergence conforming Raviart–Thomas vector fields and naturally isomorphic to the simplicial cochain complex. On the barycentric refinement of such a mesh, we construct finite element spaces forming a complex $Y^{?}$, centered around curl conforming vector fields, naturally isomorphic to the simplicial chain complex on the original mesh and such that $Y^{2?i}$ is in ${\mathrm{L}}^2$ duality with $X^i$. In terms of differential forms this provides a finite element analogue of Hodge duality. To cite this article: A. Buffa, S.H. Christiansen, C. R. Acad. Sci. Paris, Ser. I 340 (2005).     

On the linearization of Regge calculus

We study the linearization of three dimensional Regge calculus around Euclidean metric. We provide an explicit formula for the corresponding quadratic form and relate it to the curl t curl operator which appears in the quadratic part of the Einstein–Hilbert action and also in the linear elasticity complex. We insert Regge metrics in a discrete version of this complex, equipped with densely defined and commuting interpolators. We show that the eigenpairs of the curl t curl operator, approximated using the quadratic part of the Regge action on Regge metrics, converge to their continuous counterparts, interpreting the computation as a non-conforming finite element method.     

Convergence of lattice gauge theory for Maxwell’s equations

In this article we prove convergence of Lattice Gauge Theory in the energy norm for electromagnetism, which corresponds to gauge group U(1). This is done by stability analysis and comparison with the classical Yee-scheme which is convergent.     

Stability of Hodge decompositions in finite element spaces of differential forms in arbitrary dimension

We elaborate on the interpretation of some mixed finite element spaces in terms of differential forms. In particular we define regularization operators which, combined with the standard interpolators, enable us to prove discrete Poincaré–Friedrichs inequalities and discrete Rellich compactness for finite element spaces of differential forms of arbitrary degree on compact manifolds of arbitrary dimension.     

Discrete Fredholm properties and convergence estimates for the electric field integral equation

The Galerkin discretization of the Electric Field Integral Equation is reinvestigated. We prove quasi-optimal convergence estimates at nonresonant frequencies, using orthogonal splittings of the Galerkin space. At resonant frequencies we show that the spurious electric currents radiate only weakly in the exterior domain. This is achieved through the study of some finitely degenerated problems in terms of LBB Inf-Sup estimates and the use of discrete Helmholtz decompositions.

     

Uniformly stable preconditioned mixed boundary element method for low-frequency electromagnetic scattering

We propose a mixed boundary finite element discretization of the Electric Field Integral Equation for which we have an Inf–Sup condition which is uniform in both the mesh-width h and the wave-number k, for small enough h and k. For this equation we construct a preconditioner such that the spectral condition number of the preconditioned system is also bounded independently of k and h. To cite this article: S.H. Christiansen, C. R. Acad. Sci. Paris, Ser. I 336 (2003).     

Contribution to harmonic balance calculations of self-sustained periodic oscillations with focus on single-reed instruments

The harmonic balance method (HBM) was originally developed for finding periodic solutions of electronical and mechanical systems under a periodic force, but has been adapted to self-sustained musical instruments. Unlike time-domain methods, this frequency-domain method does not capture transients and so is not adapted for sound synthesis. However, its independence of time makes it very useful for studying any periodic solution, whether stable or unstable, without care of particular initial conditions in time. A computer program for solving general problems involving nonlinearly coupled exciter and resonator, HARMBAL, has been developed based on the HBM. The method as well as convergence improvements and continuation facilities are thoroughly presented and discussed in the present paper. Applications of the method are demonstrated, especially on problems with severe difficulties of convergence: the Helmholtz motion (square signals) of single-reed instruments when no losses are taken into account, the reed being modeled as a simple spring.     

Éléments finis mixtes minimaux sur les polyèdres

Given a cellular complex consisting of polytopes, embedded in a Euclidean space, we construct finite element spaces of differential forms, conforming with respect to the exterior derivative, containing those that are polynomial of given maximal degree, having locally the property of exact sequence and extension, so that among all spaces having these properties they have the smallest dimension. More generally we construct, for any finite element system included in a compatible finite element system, an intermediate compatible finite element system of minimal dimension.