http://hdl.handle.net/10453/13 2013-05-24T00:21:01Z http://hdl.handle.net/10453/17960 Processes of class Sigma, last passage times, and drawdowns Cheridito Patrick; Nikeghbali Ashkan; Platen Eckhard We propose a general framework for studying last passage times, suprema, and drawdowns of a large class of continuous-time stochastic processes. Our approach is based on processes of class Sigma and the more general concept of two processes, one of which moves only when the other is at the origin. After investigating certain transformations of such processes and their convergence properties, we provide three general representation results. The first allows the recovery of a process of class Sigma from its final value and the last time it visited the origin. In many situations this gives access to the distribution of the last time a stochastic process attains a certain level or is equal to its running maximum. It also leads to recently discovered formulas expressing option prices in terms of last passage times. Our second representation result is a stochastic integral representation that will allow us to price and hedge options on the running maximum of an underlying that are triggered when the underlying drops to a given level or, alternatively, when the drawdown or relative drawdown of the underlying attains a given height. The third representation gives conditional expectations of certain functionals of processes of class Sigma. It can be used to deduce the distributions of a variety of interesting random variables such as running maxima, drawdowns, and maximum drawdowns of suitably stopped processes. 2012-01-01T00:00:00Z http://hdl.handle.net/10453/17961 Optimal designs for stated choice experiments that incorporate position effects Bush Stephen; Street Deborah; Burgess Leonie Davidson and Beaver (1977) extended the Bradley-Terry model to incorporate the possible effect of position within a choice set on the choices made in paired comparisons experiments. We further extend the Davidson-Beaver result to choice sets of any size and show, under a mild restriction, that designs optimal for the multinomial logit model are still optimal. Designs balanced for carry-over effects of all orders can be used to construct designs with a diagonal information matrix for attribute effects. The theoretical results are derived assuming equal merits and we discuss the possible consequences of assuming unequal merits in an example. 2012-01-01T00:00:00Z http://hdl.handle.net/10453/17962 Macroeconomic stabilization policies in intrinsically unstable macroeconomies Chiarella Carl; Flaschel Peter; Koper Carsten; Proano C; Semmler Willi Many monetary and fiscal policy measures have aimed at mitigating the effects of the financial market meltdown that started in the U. S. subprime sector in 2008 and has subsequently spread world wide as a great recession. Slowly some recovery appears to be on the horizon, yet it is worthwhile exploring the fragility and potentially destabilizing feedbacks of advanced macroeconomies in the context of a framework that builds on the ideas of Keynes and Tobin. This framework stresses the fragilities and destabilizing feedback mechanisms that are potential features of all major markets-those for goods, labor, and financial assets. We use a Tobin macroeconomic portfolio approach and the interaction of heterogeneous agents on the financial market to characterize the potential for financial market instability. Though the study of the latter has been undertaken in many partial models, we focus here on the interconnectedness of all three markets. Furthermore, we study what potential labor market, fiscal and monetary policies can have in stabilizing unstable macroeconomies. In order to study this problem we introduce, besides money, long term bonds and equity into the asset market. We in particular propose a countercyclical monetary policy that sells assets in the boom and purchases them in recessions. Modern stability analysis is brought to bear to demonstrate the stabilizing effects of the suggested policies. The policies suggested here could help the Fed in its search for an appropriate exit strategy after its massive intervention in the financial market. 2012-01-01T00:00:00Z http://hdl.handle.net/10453/17947 Similarity measure models and algorithms for hierarchical cases Wu Dianshuang; Lu Jie; Zhang Guangquan Many business situations such as events, products and services, are often described in a hierarchical structure. When we use case-based reasoning (CBR) techniques to support business decision-making, we require a hierarchical-CBR technique which can effectively compare and measure similarity between two hierarchical cases. This study first defines hierarchical case trees (HC-trees) and discusses related features. It then develops a similarity evaluation model which takes into account all the information on nodes¿ structures, concepts, weights, and values in order to comprehensively compare two hierarchical case trees. A similarity measure algorithm is proposed which includes a node concept correspondence degree computation algorithm and a maximum correspondence tree mapping construction algorithm, for HC-trees. We provide two illustrative examples to demonstrate the effectiveness of the proposed hierarchical case similarity evaluation model and algorithms, and possible applications in CBR systems 2011-01-01T00:00:00Z