Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs

In this paper, we propose a new algorithm to find the optimal static replicating portfolios for general path-independent nonlinear pay-off functions and give an estimate for the rate of convergence that is absent in the literature. We choose the static replication by designing an adaptation function arising in the error bound between the nonlinear pay-off function and the linear spline approximation and derive the equidistribution equation for selecting the optimal strikes. The numerical tests for variance swaps, swaptions, static quadratic hedges and also for a jump-diffusion process, allowing for the default of the underlying asset, show that the proposed iterative equidistribution equation algorithm is simple, fast and accurate. The paper generalizes and improves the results on static replication and approximation in the literature.     

Noisy signaling in discrete time

This paper characterizes the equilibrium set of a dynamic noisy-signaling model in discrete time. A seller privately knows the quality of her asset. She can exert a costly effort to generate stochastic returns. Buyers stochastically arrive over time and, after observing the history of returns, they make price offers. In our model, the equilibrium behavior of the buyers is discontinuous: they only make acceptable (high) offers if the posterior about the quality is above a given threshold. As a result, the recursive nature of the model replicates the discontinuity, giving the equilibrium continuation payoff a complex self-replicating structure that may take the form of a devil’s staircase.     

How Islamic are Islamic banks? A non-linear assessment of Islamic rate – conventional rate relations

In this paper, we perform a non-linear assessment of Islamic rate – conventional rate relations for the case of Malaysia. Using monthly data covering the period January 1999 to November 2016, we find strong evidence supporting non-linear reactions of the Islamic investment rates to conventional rates in the long run and/or short-run for all matched maturities. More precisely, the Islamic investment rates exhibit faster upward movement (slower downward movement) in responses to conventional deposit rate increases (decreases). The asymmetric pricing behaviour of Islamic banks however tends to weaken as maturity lengthens. Accordingly, we infer that Islamic banks do not rigidly peg their investment deposit rates to conventional deposit rates as some have claimed in questioning the Islamicity of Islamic banks.     

单车场无时间窗甩挂运输车辆调度的启发式算法

考虑了牵引车空驶、带空挂车行驶和带重挂车行驶所引起的成本差异，定义了牵引车运行成本的概念，将总运行成本最小作为调度方案优劣的判别指标，并同时考虑牵引车数量最少。将牵引任务分为四种类型，定义了任务链、虚拟任务、链内交叉和链间交叉的概念，提出了一种求解该类单车场甩挂运输车辆调度无时间窗约束的启发式算法，包括初始调运方案、链内优化、空车调运交叉、牵引车数量优化和链间交叉。最后给出了仿真算例，算法优化后的最终方案与初始方案相比，牵引车数量减少，总运行成本降低，验证了算法的有效性和可行性。     

Post encroachment time threshold identification for right-turn related crashes at unsignalized intersections on intercity highways under mixed traffic

Abstract

Unsignalized intersections in developing countries experience many serious conflicts between cross-traffic due to indiscipline traffic manoeuvrability. Historically, Post Encroachment Time (PET) has gained attention as a proximal indicator to analyze crossing conflicts. However, identifying an appropriate PET threshold to classify critical conflicts for highly heterogeneous traffic scenario is still an unexplored area. Consequently, this study proposes a novel approach of PET threshold identification with proof of application by collecting data from ten intersections located on four-lane intercity highways in the National Capital Region (NCR), India. Both crossing conflicts and right-turn related crash data (for the left-hand drive) are collected. Their correlations are thoroughly studied for each PET threshold using a quantitative technique considering all and individual vehicle categories. Finally, a qualitative analysis is done by ranking the sites based on cumulative PET and related crashes to verify the proposed quantitative technique. A PET threshold of 1?s is obtained from both the techniques which can be used to identify critical conflicts for unsignalized intersections located on four-lane intercity highways. The proposed methodology will serve as an alternative, faster and effective tool to evaluate the hazardousness of unsignalized intersections located on intercity highways under highly heterogeneous traffic condition.     

Minimising emergency response time of ambulances through pre-positioning in Dhaka city,Bangladesh

This study conducted a large-scale survey in Dhaka, Bangladesh; the survey involved 95 major hospitals, more than 3000 emergency room patients, and 2 of the largest ambulance operators. Currently, most ambulances are parked within the vicinity of hospitals and are either dispatched or fetched by the acquaintances of the patient on demand, resulting in lengthy round trips. Reducing the response time of ambulances would certainly improve the emergency service, and pre-positioning of the ambulances could be a solution to reducing the response time. This study used two approaches to address the problem. First, the location-allocation problem was solved to find the optimal number of ambulance locations by maximising the demand coverage. Second, separate location-allocation for the peak and off-peaks, using K-means clustering, was applied to systematically optimise the ambulance positioning in small clusters near demand points. These approaches could substantially improve the existing emergency response time. Distributing ambulances near demand points yielded greater improvements in response time than when the ambulances are stationed near hospitals.     

Light fuel demand and public policies in Brazil, 2003–2013

The main objective of this article is to evaluate determinants of demand for light fuels in Brazil between 2003 and 2013. Through a vector autoregression analysis, an effort was made to identify and quantify the impact of different economic variables and public policy measures adopted during this period on the surprising increase in energy consumption by Brazil’s light-vehicle fleet. The results suggest that demand for energy by the light-vehicle fleet was influenced by an increase in income, by a decrease in fuel prices associated with a policy designed to prevent increases in the price of gasoline from pushing the inflation rate up, by a higher availability of credit for buying vehicles, and by a drop in the real price of those goods, with emphasis on countercyclical measures to waive the tax on industrialized products levied on new vehicles during economic downturns in the automotive industry.     

论历史逻辑

历史逻辑是以历史时间的历时性和共时性统一为基础的概念推论，研究关于叙述史中基本概念之间的意义关系和推论规则。过去、现在和未来是历史逻辑的基本范畴，“过去-现在-未来”三段式是历史逻辑的基本公式，它是概念逻辑推论三段式“正题-反题-合题”在历史逻辑中的具体形式。历史逻辑研究的目的，是根据特定历史时段的特殊性，建构以不同时段概念为逻辑变项的历史逻辑，预见未来的发展，规划现在的实践。     

Overlapping Generations and Environmental Policy： An Introduction

A small but growing body of literature uses overlapping generations （OLG） models to study environmental policy for long-lived problems such as climate change. An OLG model, unlike the infinitely lived representative agent model, dis- tinguishes between impatience with respect to one＇s own future utility, and attitudes toward successors＇ utility. I discuss the problem of time inconsistency, the role of Markov perfection, and show that a class of OLG models can be studied using me- thods developed to analyze models of non-constant discounting. An example illu- strates the techniques and determines the conditions under which, in equilibrium, there is under-investment or over-investment in natural capital.     

Going for gold: Investigating the (non)sense of increased advertising around major sports events

Major sports events draw unsurpassed media attention. Companies are motivated to increase their advertising investments around these events to reach large audiences in a short period. Is such an advertising surge actually beneficial though, or should companies avoid advertising in these periods because of negative effects of competitive interference? This study investigates when consumer packaged goods companies should invest in advertising to increase sales: before, during, or after the event or outside these event periods. The author estimates short- and long-term own- and cross-advertising elasticities for 206 brands using four years of weekly data. Although considerable heterogeneity exists across brands, own-advertising effectiveness diminishes especially before and during major sports events, in both the short and the long run. In addition, brands benefit less from category-demand effects through competitors' advertising. Conversely, greater increases in advertising spending resulting in significant growth in share of voice around focused, single-sport events are a successful strategy to overcome this overall general negative trend.