Search results for "TF"

The Best Hedging Strategy in the Presence of Transaction Costs

2009

Considerable theoretical work has been devoted to the problem of option pricing and hedging with transaction costs. A variety of methods have been suggested and are currently being used for dynamic hedging of options in the presence of transaction costs. However, very little was done on the subject of an empirical comparison of different methods for option hedging with transaction costs. In a few existing studies the different methods are compared by studying their empirical performances in hedging only a plain-vanilla short call option. The reader is tempted to assume that the ranking of the different methods for hedging any kind of option remains the same as that for a vanilla call. The …

Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations

2008

In the presence of transaction costs the perfect option replication is impossible which invalidates the celebrated Black and Scholes (1973) model. In this chapter we consider some approaches to option pricing and hedging in the presence of transaction costs. The distinguishing feature of all these approaches is that the solution for the option price and hedging strategy is given by a nonlinear partial differential equation (PDE). We start with a review of the Leland (1985) approach which yields a nonlinear parabolic PDE for the option price, one of the first such in finance. Since the Leland's approach to option pricing has been criticized on different grounds, we present a justification of…

The introduction of the Euro and its effects on portfolio decisions

2010

Abstract Examining investment behavior related to the Euro introduction, we address the relevance of different investment determinants. With the advent of the currency union two potential sources of portfolio reallocation can be distinguished: First, the diminishment of exchange rate risk and transaction costs within the EMU. Second, the increase of correlation of EMU returns so that diversification benefits decreased. We test for structural breaks in the holdings of German investors and estimate a market model to account for the two effects. A significant decrease in national and an increase in EMU and rest-of-the-world investments can be observed. Comparing the observed holdings with benc…

Optimal Hedging of Option Portfolios with Transaction Costs

2006

One of the most successful approaches to option hedging with transaction costs is the utility based approach pioneered by Hodges and Neuberger (1989). However, this approach has one major drawback that prevents the broad application of this approach in practice: the lack of a closed-form solution. The direct numerical computations of the utility based hedging strategy are cumbersome in a practical implementation. Despite some recent advances in finding an explicit description of the utility based hedging strategy by using either asymptotic, approximation, or other methods, so far they were concerned primarily with hedging a single plain-vanilla option. However, in practice one often faces t…

Optimal Index Tracking Under Transaction Costs and Impulse Control

1998

We apply impulse control techniques to a cash management problem within a mean-variance framework. We consider the strategy of an investor who is trying to minimise both fixed and proportional transaction costs, whilst minimising the tracking error with respect to an index portfolio. The cash weight is constantly fluctuating due to the stochastic inflow and outflow of dividends and liabilities. We show the existence of an optimal strategy and compute it numerically.

Initiator-Directed Transcription: Fission Yeast Nmtl Initiator Directs Preinitiation Complex Formation and Transcriptional Initiation

2022

The initiator element is a core promoter element encompassing the transcription start site, which is found in yeast, Drosophila, and human promoters. This element is observed in TATA-less promoters. Several studies have defined transcription factor requirements and additional cofactors that are needed for transcription initiation of initiator-containing promoters. However, those studies have been performed with additional core promoters in addition to the initiator. In this work, we have defined the pathway of preinitiation complex formation on the fission yeast nmt1 gene promoter, which contains a functional initiator with striking similarity to the initiator of the human dihydrofolate red…

Stromal and Immune Cell Dynamics in Tumor Associated Tertiary Lymphoid Structures and Anti-Tumor Immune Responses

2022

Tertiary lymphoid structures (TLS) are ectopic lymphoid organs that have been observed in chronic inflammatory conditions including cancer, where they are thought to exert a positive effect on prognosis. Both immune and non-immune cells participate in the genesis of TLS by establishing complex cross-talks requiring both soluble factors and cell-to-cell contact. Several immune cell types, including T follicular helper cells (Tfh), regulatory T cells (Tregs), and myeloid cells, may accumulate in TLS, possibly promoting or inhibiting their development. In this manuscript, we propose to review the available evidence regarding specific aspects of the TLS formation in solid cancers, including 1) …

End Triassic karstification of a south Tethyan carbonate platform: the genesis of the “Libeccio Antico” a famous Baroque dimension stone.

2010

Acidification processes in a peritidal carbonate succession across the Triassic/Jurassic boundary (Sicily)

2017

For the first time, a correlation between biostratigraphic events and δ13C curve was attempted along an UpperTriassic-Lower Jurassic peritidal limestone succession cropping out in westernmost Sicily. The peritidal carbonates are organized in shallowing upward cycles characterized by subtidal skeletal mudstone to grainstone, intertidal microbial mats and supratidal paleosoils. About 300 meters of this succession covering the Triassic-Jurassic interval were studied in details. On the base of the macro- and microfossil assemblages from the subtidal facies, four informal units have been recognized along the studied section. Unit R1 (at the base, 111 m thick) is dominated by large megalodonts, r…

Triassic/Jurassic boundary in peritidal carbonates from western Tethys

2016

A carbonate platform from the western margin of the Ionian Tethys has been investigated for biotic and geochemical variations across the Triassic/Jurassic boundary (TJB). The section of Mount Sparagio (north-western Sicily) exposes a peritidal succession of Rhaetian-Hettangian age with a thickness of about 400 m. The peritidal sediments are organized in metre-scale shallowing upward cycles formed by subtidal, intertidal and supratidal facies. Along the section, the subtidal facies vary from bioturbated mud/wackestones with rare mollusc shells, to Megalodont-rich wacke/packstones to, more rarely, coral bafflestones, most likely as response to variations of the accommodation space and water e…