TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON-NESTED MONTE CARLO

We present a generic non-nested Monte Carlo procedure for computing true upper bounds for Bermudan products, given an approximation of the Snell envelope. The pleonastic true stresses that, by construction, the estimator is biased above the Snell envelope. The key idea is a regression estimator for the Doob martingale part of the approximative Snell envelope, which preserves the martingale property. The so constructed martingale can be employed for computing tight dual upper bounds without nested simulation. In general, this martingale can also be used as a control variate for simulation of conditional expectations. In this context, we develop a variance reduced version of the nested primal-dual estimator. Numerical experiments indicate the efficiency of the proposed algorithms.     

哈尔滨城市交通发展的问题和对策

过去的20年,哈尔滨获得了前所未有的发展,道路交通建设和交通管理取得了很大成绩。但是,出现的交通拥挤堵塞问题也非常严重。解决城市交通拥堵,应大力发展公共交通,培养一支高素质的城市客运经营管理队伍,建设一系列配套齐全的城市客运服务设施,使哈尔滨的市内交通得以改善。     

碳达峰目标下中国煤炭价格预测研究

要想实现碳达峰目标,能源结构调整与产业转型升级是主要途径。煤炭作为主体能源,其价格变动既能反映煤炭供需状况,又能引导煤炭投资行为。相比其他情景,碳达峰情景下的煤炭价格预测更为困难,特别是确定合适的煤炭价格变动模型更为困难。使用2010年10月20日至2021年9月1日环渤海动力煤周价格指数,采用蒙特卡罗法对多个煤炭价格变动模型的拟合度进行检验,并根据检验结果预测2030年前中国煤炭价格变动情况。结果显示:几何布朗模型与均值回归模型均可体现中国煤炭价格的变动特征,两者在短期内的预测结果较为一致,但中长期的预测结果则呈现不同的变动情况。根据研究结论,提出了相关对策建议。     

Transport safety for older people: A study of their experiences,perceptions and management needs

With evidence of increasing accident risk due to age-related declines in health and cognition affecting driver performance, there is a need for research promoting safe mobility of older people. The present study aimed to identify transport options and licensing issues for a group of older people in an Australian community. Ninety-five participants aged 75 and over were interviewed about their driving status and accident record and tested for cognitive ability. After stratification on cognitive level and driver status (current, ex-driver or non-driver), 30 were selected for further in-depth interviews concerning demographics, licence status and impact of change, travel options available and used, and travel characteristics. Considerable reliance on the motor vehicle as the mode of transport and the decision to cease driving were major quality-of-life issues. There was little evidence of planning and support in making the decision to stop driving. Some differences in transport decisions on the basis of cognitive level were evident; however, people with severely compromised cognitive ability (and, therefore, unable to give informed consent) had been excluded. The study suggested the need for resources to assist older people/carers/health professionals to plan for the transition from driver to non-driver and to manage alternative transport options more effectively.     

A review of traffic safety status in Abu Dhabi city,UAE (2008–2013)

Large numbers of traffic accidents were experienced on the road networks of Arab Gulf Countries including United Arab Emirates (UAE). This had resulted in enormous loss of lives and economy. This article through using Abu Dhabi city, UAE capital as a case study is aiming to understand the reasons behind such safety problem through analysing a large accidents data-set extending over the period from 2008 to 2013. The traffic accidents data-set was obtained from Abu Dhabi traffic police department records and covers wide range of accident's attributes. A wide spectrum of accident attributes was analysed in the paper including but not limited to the time of accident, accident location, type of accident, reasons behind the accident, driver characteristics, road conditions, and many other accident attributes. A specific reasoning for each of these attributes was given by authors. Furthermore, recommendations to enhance the safety levels were introduced.     

PRICING OF HIGH‐DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS

Pricing of American options in discrete time is considered, where the option is allowed to be based on several underlyings. It is assumed that the price processes of the underlyings are given Markov processes. We use the Monte Carlo approach to generate artificial sample paths of these price processes, and then we use the least squares neural networks regression estimates to estimate from this data the so‐called continuation values, which are defined as mean values of the American options for given values of the underlyings at time t subject to the constraint that the options are not exercised at time t. Results concerning consistency and rate of convergence of the estimates are presented, and the pricing of American options is illustrated by simulated data.     

A STATE-SPACE PARTITIONING METHOD FOR PRICING HIGH-DIMENSIONAL AMERICAN-STYLE OPTIONS

The pricing of American-style options by simulation-based methods is an important but difficult task primarily due to the feature of early exercise, particularly for high-dimensional derivatives. In this paper, a bundling method based on quasi-Monte Carlo sequences is proposed to price high-dimensional American-style options. The proposed method substantially extends Tilley's bundling algorithm to higher-dimensional situations. By using low-discrepancy points, this approach partitions the state space and forms bundles. A dynamic programming algorithm is then applied to the bundles to estimate the continuation value of an American-style option. A convergence proof of the algorithm is provided. A variety of examples with up to 15 dimensions are investigated numerically and the algorithm is able to produce computationally efficient results with good accuracy.     

Optimal Malliavin Weighting Function for the Computation of the Greeks

This paper reexamines the Malliavin weighting functions introduced by Fournié et al. (1999) as a new method for efficient and fast computations of the Greeks. Reexpressing the weighting function generator in terms of its Skorohod integrand, we show that these weighting functions have to satisfy necessary and sufficient conditions expressed as conditional expectations. We then derive the weighting function with the smallest total variance. This is of particular interest as it bridges the method of Malliavin weights and the one of likelihood ratio, as introduced by Broadie and Glasserman (1996) . The likelihood ratio is precisely the weighting function with the smallest total variance. We finally examine when to use the Malliavin method and when to prefer finite difference.     

Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs

We consider the problem of computing hedging portfolios for options that may have discontinuous payoffs, in the framework of diffusion models in which the number of factors may be larger than the number of Brownian motions driving the model. Extending the work of Fournié et al. (1999) , as well as Ma and Zhang (2000) , using integration by parts of Malliavin calculus, we find two representations of the hedging portfolio in terms of expected values of random variables that do not involve differentiating the payoff function. Once this has been accomplished, the hedging portfolio can be computed by simple Monte Carlo. We find the theoretical bound for the error of the two methods. We also perform numerical experiments in order to compare these methods to two existing methods, and find that no method is clearly superior to others.     

资产价格产生非线性特征的内在原因分析——基于异质信念资产定价模型的蒙特卡罗法模拟

基于异质信念资产定价模型,运用蒙特卡罗模拟的方法产生异质信念下资产均衡价格的时间序列数据,并对其非线性特征进行相关检验。研究发现,该时间序列具有尖峰肥尾特征、波动率聚类现象和自相似特征,但没能捕捉到长期记忆现象。说明投资者的并质信念是资产价格产生非线性特征的重要内在原因。     

The impact of pedestrian countdown signals on single and two vehicle motor vehicle collisions: a quasi-experimental study

The objective of this study was to examine the impact of pedestrian countdown signals (PCS) on the rate of motor vehicle collisions (MVCs) in Toronto, Canada. A quasi-experimental design was used to compare rates of single and two vehicle MVCs before and after installation of PCS in Toronto, Canada between January 2005 and December 2009. Collision incidence rates were compared using Poisson regression analyses with adjustment for relevant cofounders and reported as incidence rate ratios (IRR) with 95% confidence intervals (CI). Secondary analyses were performed on subsets of collisions by collision type and injury severity. A total of 94,175 MVCs occurred at or near 1965 intersections at which PCS were installed over the five-year study period. Overall, the MVC incidence rate increased 7.5% (IRR = 1.075; 95% CI: 1.042–1.109; p < 0.0001) after installation of PCS. The installation of PCS led to an increase in MVCs. PCS may have an unintended consequence of increasing the rate of MVCs.     

Environmental risk factors contributing to traffic accidents in children: a case-control study

The aim of this study is to identify environmental risk factors related to road accidents in children of Tehran. This case-control study was performed in 2013. The cases were injured pedestrians aged 5–15 who were admitted to major hospitals supervised by Tehran University of Medical Sciences. The sample size for the cases was 273 and for the control group was 546. For the completeness of the clusters, 7 extra persons in case (total = 280) and 14 persons (total = 560) in control group were included. The interference of confounding variables assessed through forward conditional logistic regression. Result shows occurrence of traffic accidents was significantly associate with the width of the alleys or (<5 m: OR = 8.4, 95% CI: 3.3–21.5; 5–8 m: OR = 4.7, 95% CI: 1.8–12.2), distance from home to school((<100 m: OR = 1.7, 95% CI: 1.0–2.8), existence of parking lot (OR = 1.5, 95% CI: 1.0–2.3), traffic congestion (OR = 4.1, 95% CI: 2.6–6.4), traffic speed (OR = 2.1, 95% CI: 1.3–3.2) and existence of pedestrian bridges(OR = 4.2, 95% CI: 2.6–6.8). In the light of the important role of environmental factors in the occurrence of child traffic accidents, alleviating structural risk factors in addition to education and enforcement need more systematic efforts and planning by policymakers and urban planners to attain pedestrian safety goals.     

Determinants of severe injury and mortality from road traffic accidents among motorcycle and car users in Southern Thailand

Abstract

This study aimed to identify factors associated with severe injury and mortality from road traffic accidents (RTA) among motorcycle and car users in southern Thailand. The data were obtained from the Office of Disease Prevention and Control, Thailand, for years 2008–2013. Chi-squared tests were used to assess associations between determinants and outcomes and these associations were then estimated after adjusting for possible confounding with other factors using logistic regression. Severe injury and mortality contributed 11.6% and 5% to RTA of motorcycle users, and 14.3% and 7.5% for car users. Among motorcycle users, male gender, older age, and not wearing a helmet increased severe injury and mortality rates, whereas drivers had more severe injuries than passengers. Older car users had higher severe injury and mortality rates, whereas not fastening seat belts had higher mortality. Safety device use should be made mandatory for both drivers and passengers. Male motorcycle users and the elderly should be focused on.