Visualizing Marked Spatial and Origin-Destination Point Patterns With Dynamically Linked Windows

We present dynamic linked graphs for exploratory analysis of spatial marked point processes data and give an introduction to our exploratory graphical analysis tool, called Marked Point Processes Exploratory Analysis (MaPPEA). In particular, we consider point processes with events marked with another spatial event representing origin-destination data types. Using linked windows brushing, MaPPEA provides an illustration of the structure and relationships between marks and locations of point patterns. The main feature is the dynamically changing, spatially localized graphical summary of the mark distribution. Many different graphical summaries are available, and they are updated dynamically as the user moves the mouse on the map showing the events. The methods are illustrated with data on car theft location and the eventual car retrieval location and on trees’ locations and their associated marks. This article has supplementary material online.     

Pricing and hedging derivative securities in markets with uncertain volatilities

We present a model for pricing and hedging derivative securities and option portfolios in an environment where the volatility is not known precisely, but is assumed instead to lie between two extreme values σ_minand σ_max. These bounds could be inferred from extreme values of the implied volatilities of liquid options, or from high-low peaks in historical stock- or option-implied volatilities. They can be viewed as defining a confidence interval for future volatility values. We show that the extremal non-arbitrageable prices for the derivative asset which arise as the volatility paths vary in such a band can be described by a non-linear PDE, which we call the Black-Scholes-Barenblatt equation. In this equation, the ‘pricing’ volatility is selected dynamically from the two extreme values, σ_min, σ_max, according to the convexity of the value-function. A simple algorithm for solving the equation by finite-differencing or a trinomial tree is presented. We show that this model captures the importance of diversification in managing derivatives positions. It can be used systematically to construct efficient hedges using other derivatives in conjunction with the underlying asset.     

Cálculo de la función distancia para el método Level Set usando la formulación estabilizada USFEM/Rothe

In this work we use the Unusual Stabilized Finite Element Method (USFEM) associated to Rothe's method for solving the redistancing problem in the Level Set Method. Rothe's method is used first for advancing the solution in (pseudo)time and USFEM for solving the resulting steady advective–reaction problem in each time step. Several 2D problems are solved and results compared with SUPG scheme supplemented with a nonlinear discontinuity–capturing operator.     

Remarks on a parameter estimation for von Mises–Fisher distributions

We point out an error in the proof of the main result of the paper of Tanabe et al. (Comput Stat 22:145–157, 2007) concerning a parameter estimation for von Mises–Fisher distributions, we correct the proof of the main result and we present a short alternative proof.     

Are we using the wrong letters? An analysis of executive stock option Greeks

Greek letters, in particular delta and vega based on the Black–Scholes model (BS), have been widely used to estimate the sensitivity of CEO wealth to changes in stock price (delta) and stock return volatility (vega) and to evaluate the executive stock options (ESOs) granted on the basis of performance and risk. However, the BS model does not take into account the main features of ESOs and therefore the delta and vega values it produces are not valid. The Cvitanic–Wiener–Zapatero model (CWZ) is an alternative model to Black–Scholes for valuing ESOs. It has a closed formula and considers the main features of ESOs. We carry out a sensitivity analysis to show that research on option-based compensation and its risk-taking effects is not robust in ESO pricing models. The sensitivity analysis consists of comparing the impact of the common parameters of the BS and CWZ models, as well as the effect of the specific parameters of the CWZ model, on the sensitivity of CEO wealth to stock price and stock volatility. Additionally, using panel data methodology, we develop an empirical analysis to illustrate the influence of stock return volatility and different corporate policies on both CEO wealth sensitivities.     

The Unit Distance Problem for Centrally Symmetric Convex Polygons

   Abstract. Let f(n) be the maximum number of unit distances determined by the vertices of a convex n -gon. Erdos and Moser conjectured that this function is linear. Supporting this conjecture we prove that f ^sym (n)

Image Compression with the Region Based Easy Path Wavelet Transform

We review the Region Based Easy Path Wavelet Transform method in the context of image compression and how it can be used to encode a Region of Interest in the image with higher quality than the complementary region. (© 2017 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Weierstrass weight of the hyperosculating points of generalized Fermat curves

Let $(S,H)$ be a generalized Fermat pair of the type $(k,n)$. If $F?S$ is the set of fixed points of the non-trivial elements of the group H, then F is exactly the set of hyperosculating points of the standard embedding $S?{\mathbb{P}}^n$. We provide an optimal lower bound (this being sharp in a dense open set of the moduli space of the generalized Fermat curves) for the Weierstrass weight of these points.     

A Lower Bound for the Rectilinear Crossing Number

We give a new lower bound for the rectilinear crossing number of the complete geometric graph K_n. We prove that and we extend the proof of the result to pseudolinear drawings of K_n. Dedicated to the memory of our good friend and mentor Víctor Neumann-Lara. Received: April, 2003 Final version received: March 18, 2005     

Graded Jacobi operators on the algebra of differential forms

One-to-one correspondences are established between the set ofall nondegenerate graded Jacobi operators of degree -1 defined onthe graded algebra of differential forms on a smooth, oriented,Riemannian manifold M, the space of bundle isomorphisms , and the space of nondegenerate derivations of degree 1 havingnull square. Derivations with this property, andJacobi structures of odd -degree are also studied throughthe action of the automorphism group of .