bluuebunny/crossref_metadata_2025 huggingface dataset:
Prostate cancer detection in men with an initial diagnosis of atypical small acinar proliferation
Authors: Mancuso Pascal A. , Chabert Charles , Chin Peter , Kovac Paul , Skyring Timothy , Watt William H. , Napaki Sabar
Published: December 2006

OBJECTIVE

To determine the subsequent prostatic adenocarcinoma detection rate amongst men with an initial diagnosis of atypical small acinar proliferation (ASAP).

PATIENTS AND METHODS

We reviewed the Illawarra Prostate Pathology Database over a 10‐year period (January 1994 to January 2004) for specimens diagnosed as ASAP. These specimens were re‐reviewed and clinical data obtained.

RESULTS

Of 61 cases of ASAP, there were complete follow‐up data for 31. In this group nine patients had no further biopsies at our institution; the other 22 had at least one repeat biopsy. The incidence of prostatic adenocarcinoma in this group was 17/31 (55%). This included 13 diagnoses on second biopsy, three on third biopsy and one diagnosed at another institution.

CONCLUSION

This study showed a detection rate for prostatic adenocarcinoma of 55% after an initial diagnosis of ASAP, which indicates that an initial diagnosis of ASAP mandates re‐biopsy.
The influence of age on treatment outcomes in men with erectile dysfunction treated with two regimens of tadalafil: results of the SURE study
Authors: Wespes Eric , Moncada Ignacio , Schmitt Henry , Jungwirth Andreas , Chan Melanie , Varanese Lucio
Published: December 2006

OBJECTIVE

To evaluate whether patterns of sexual activity and efficacy over time to two dosing regimens of tadalafil differ with ageing in men with erectile dysfunction (ED).

PATIENTS AND METHODS

The SURE study was a multicentre, crossover, open‐label study. In all, 4262 men with ED were randomly assigned to treatment with tadalafil 20 mg on‐demand before sexual activity, or three times per week for 5–6 weeks. After a 1‐week washout period, patients were crossed over to the alternative regimen for 5–6 weeks. This post hoc analysis evaluated the pattern of sexual attempts, efficacy and safety of these two regimens of tadalafil across several age groups.

RESULTS

The mean number of sexual attempts per week decreased from a range of 2.6–2.8 at age ≤ 40 years to 1.9 at age >70 years. Age did not significantly influence the time of sexual activity after dosing. A high percentage of attempts occurred >4 h after dosing for all age groups (≈ 70% for men taking tadalafil three times per week and ≈ 50% for men taking tadalafil on‐demand). For all age groups, most attempts took place in the late evening. The mean per‐patient rate of successful attempts was similar for each interval up to 36 h after dosing and decreased with increasing age (≥75% at age ≤ 60 years, ≥ 68% at age >60 to ≤ 70 years, and ≥ 60% at age >70 years). Tadalafil was well tolerated at all ages.

CONCLUSIONS

Patterns of sexual activity with tadalafil 20 mg, taken on‐demand or three times per week, were similar in the different age groups. Tadalafil was effective up to 36 h after dosing for all age groups.
The penile suspensory ligament: abnormalities and repair
Authors: Li Chi‐Ying , Agrawal Vineet , Minhas Suks , Ralph David J.
Published: December 2006

Associate Editor

Michael G. Wyllie

Editorial Board

Ian Eardley, UK

Jean Fourcroy, USA

Sidney Glina, Brazil

Julia Heiman, USA

Chris McMahon, Australia

Bob Millar, UK

Alvaro Morales, Canada

Michael Perelman, USA

Marcel Waldinger, Netherlands

OBJECTIVE

To assess men presenting with abnormalities of the penile suspensory ligament (PSL) and its correction.

PATIENTS AND METHODS

In all, 35 men presenting with abnormalities of the PSL that were subsequently repaired were included in this series. The causes included; sexual trauma (15 men), congenital absence of the PSL/congenital penile curvature (14), and two each with venogenic erectile dysfunction, Peyronie’s disease and penile dysmorphic disorder. The diagnosis was made clinically by the presence of a palpable gap between the symphysis pubis and the penis, together with medical history and examination of penile torsion or instability. The surgical repair used nonabsorbable sutures placed between the symphysis pubis and the tunica albuginea of the penis.

RESULTS

A ‘good’ surgical outcome was defined as correction of the penile deformity or instability and achieving normal sexual function. There was a good surgical outcome in 91% of men as defined, and 86% of the men were happy with the outcome. There were no significant complications, but three men needed a repeat PSL repair.

CONCLUSION

Men with abnormalities of the PSL can present with a variety of clinical symptoms, but when correctly diagnosed the repair is a simple technique with a successful cosmetic and functional outcome.
Seasonal water availability predicts the relative abundance of C3 and C4 grasses in Australia
Authors: Murphy Brett P. , Bowman David M. J. S.
Published: December 2006

Aim  Numerous studies have examined the climatic factors that influence the abundance of C4 species within the grass flora (C4 relative species richness) in various regions throughout the world, but very few have examined the relative abundance of C4 vs. C3 grasses (C4 relative abundance). We sought to determine the climatic factors that influence C4 relative abundance throughout Australia.

Location  Australia (including Tasmania).

Methods  We measured C4 relative abundance at 168 locations and measured δ13C (the abundance of 13C relative to 12C) of the bone collagen of 779 kangaroos collected throughout Australia, as bone collagen δ13C was assumed to be proportional to the relative abundance of C4 grasses in the diet.

Results  Both C4 relative abundance and kangaroo bone collagen δ13C were found to have a strong positive relationship with seasonal water availability, i.e. the distribution of rainfall in the C4 vs. C3 growing seasons (76% and 69% of deviance explained, respectively). There was clear evidence that seasonal water availability was a better predictor of both C4 relative abundance and bone collagen δ13C than other climate variables such as mean annual temperature and January daily minimum temperature. However, seasonal water availability appeared to be a relatively poor predictor of C4 relative species richness, which was most closely related to January daily minimum temperature (90% of deviance explained).

Main conclusions  Our results highlight the relatively poor relationship between C4 relative abundance and C4 relative species richness, and suggest that these two variables may be related to different climatic factors. They also suggest that caution is required when using C4 relative species richness to infer the relative biomass and productivity of C4 grasses on a global scale.
Participative Leadership by American and Chinese Managers in China: The Role of Relationships*
Authors: Chen Yi Feng , Tjosvold Dean
Published: December 2006

abstract Developing participative leadership may be particularly challenging when managers are working cross‐culturally and in China. One hundred and sixty‐three Chinese employees from various industries in mainland China were surveyed about their relationships and the effectiveness of their participation with American and Chinese managers. Results, including structural equation analyses, support the hypotheses that cooperative, but not competitive or independent, goals helped Chinese employees and their foreign and Chinese managers strengthen their quality relationships as measured by supervisor–subordinate guanxi and leader–membership exchange; quality relationships in turn enhanced effective participative leadership as measured by the opportunity for joint decision‐making and the open‐minded discussion of opposing views (constructive controversy). Results suggest that cooperative goals and the Chinese value of guanxi may be important for overcoming obstacles and developing participative leadership within and across cultural boundaries.
The NHF‐NRG In Balance‐project: the application of Intervention Mapping in the development, implementation and evaluation of weight gain prevention at the worksite
Authors: Kwak L. , Kremers S. P. J. , Werkman A. , Visscher T. L. S. , Van Baak M. A. , Brug J.
Published: December 2006

Very few examples of theory‐driven and systematically developed weight gain prevention interventions for adults have been described in the literature. The present paper systematically describes the development, implementation and evaluation framework of a weight gain prevention programme directed at young adults at the worksite, namely the NHF‐NRG In Balance‐project. It not only can be used as a guide to systematically develop weight gain prevention interventions, but also gives an overview of the current theoretical and empirical knowledge‐base in the field of obesity prevention. The outline of the paper follows the Intervention Mapping protocol, which includes a systematic inventory of important health issues, their risk behaviours and determinants of these risk behaviours, and specification of the proximal objectives of the programme directed at both energy intake and energy expenditure. The objectives are translated into behaviour change methods and strategies, which are combined in a stepwise intervention programme, and used for a detailed evaluation plan (process and effect evaluation). The NHF‐NRG In Balance‐project combines mass media and individually tailored communications with worksite environmental changes to raise awareness, to motivate and to enable energy balance behaviour changes. A quasi‐experimental pre‐test‐multiple post‐test control group design was applied in 12 worksites (>500 employees).
THE ERRANT IMAGE: ROGIER VAN DER WEYDEN'S DEPOSITION FROM THE CROSS AND ITS COPIES
Authors: POWELL AMY
Published: December 2006

This article is an account of the copies made during the fifteenth and sixteenth century of Rogier van der Weyden's Deposition from the Cross (c. 1430–35), as that altarpiece migrated from the chapel of Our Lady Outside the Walls in Louvain to the monastery of El Escorial in Spain. My primary concern in describing the journey of the Deposition from the Netherlands to Spain and the copies that it left in its wake is to show how these events and images bear on the concept of originality, and on the art‐historical practice of reconstructing what is commonly designated as original context – a practice that, I use this material to argue, is more problematic than it is sometimes taken to be.

Amy Powell is a Mellon postdoctoral fellow and lecturer in art history at Columbia University. She is working on a book about northern European images of Christ's deposition from the cross, made on the eve of the Protestant Reformation, and the ways in which those images picture their own disappearance.
STATUES IN THE SQUARE: HAUNTINGS AT THE HEART OF EMPIRE
Authors: CHERRY DEBORAH
Published: December 2006

In the autumn of 2000 the mayor of London, Ken Livingstone, famously called for the removal of two statues of Victorian generals from Trafalgar Square. The article provides a history of the sculpture and space at this landmark location in the British capital, an intensely contested and fluid site that has been constantly redrawn and rebuilt, its statues installed and removed (most recently contemporary sculptures have been temporarily sited on the ‘fourth’ plinth and the square has been redeveloped). The commemorative role of its statuary is considered through Freud's analysis of monuments as ‘mnemic symbols’ and the tripartite relations between memorials, metropolitan space and the subject. The square and its monuments offer a site for reflection on how the past, never uncontested or always conflicted, haunts the present. Framed by Jacques Derrida's thinking on haunting from Specters of Marx (1994), the essay contemplates what the dead have to say to the living and on what the past imposes (and has already imposed) on the future.
THE BUDDHA GOES GLOBAL: SOME THOUGHTS TOWARDS A TRANSNATIONAL ART HISTORY
Authors: HARRIS CLARE
Published: December 2006

At the start of the twenty‐first century artists and art works are increasingly mobile and dispersed within global networks and cultural flows. This essay considers the career of an artist (Gonkar Gyatso) who has travelled from his homeland (in Tibet) via a key centre for Tibetan exiles (in India) to his current location in London (where he successfully sought asylum). In each of these physical domains he and his work have been reconfigured, inspiring new ways of depicting the land he vacated: Tibet. A new type of analysis is required in order to chart such transnational dimensions in contemporary art, one which acknowledges that artists are subject to influences well beyond the places they physically inhabit and which gives due prominence to imaginative territories. However, this case study also notes the persistence of ‘location’ as a determining factor in interpretation and reception.
Rhythm and reading development in school‐age children: a longitudinal study
Authors: David Dana , Wade‐Woolley Lesly , Kirby John R. , Smithrim Katharine
Published: December 2006

Rhythm production in 53 children in grade 1 was investigated as a predictor of reading ability in the same children in grades 1–5. This paper reports the results of correlations and hierarchical regression analyses, controlling for shared variance between phonological awareness and naming speed. Rhythm was correlated significantly with both phonological awareness and naming speed. Rhythm predicted significant variance in reading ability at each grade level. Once phonological awareness was controlled, however, rhythm was a significant predictor only in grade 5. When naming speed was controlled, rhythm predicted unique variance in reading ability in grades 2, 3 and 5. Implications for the relationship between rhythm and the development of reading skills are discussed.
Orthographic analysis of words during fluency training promotes reading of new similar words
Authors: Berends Inez E. , Reitsma Pieter
Published: December 2006

Remediation of a serious lack in reading fluency often takes the form of repeated reading exercises. The present study examines whether transfer of training effects to untrained (neighbour) words can be enhanced by training with an orthographic focus as compared with emphasising semantics. The effect of oral versus silent reading during training is studied as well. Two groups of reading‐disabled children (mean age=7 years, 11 months) were given repeated reading training with limited exposure duration (350 ms) in which 15 target words were repeated 20 times in exercises focused on either orthography (N=26) or semantics (N=25). The children were required to either read the target words aloud or perform the exercises silently, but this requirement appeared to have no effect on the training results. The results show that untrained neighbour words benefited more from training targets with an orthographic focus than from exercises with a semantic emphasis.
Universal Portfolios
Authors: Cover Thomas M.
Published: December 2006

We exhibit an algorithm for portfolio selection that asymptotically outperforms the best stock in the market. Let xi= (xi, xi2,…, xim)t denote the performance of the stock market on day i, where xii is the factor by which the jth stock increases on day i. Let bi= (bi1 bi2, bim)t, b;ij≫ 0, bij= 1, denote the proportion bij of wealth invested in the j th stock on day i. Then Sn= IIin= bitxi is the factor by which wealth is increased in n trading days. Consider as a goal the wealth Sn*= maxb IIin=1 btxi that can be achieved by the best constant rebalanced portfolio chosen after the stock outcomes are revealed. It can be shown that Sn * exceeds the best stock, the Dow Jones average, and the value line index at time n. In fact, Sn* usually exceeds these quantities by an exponential factor. Let x1, x2, be an arbitrary sequence of market vectors. It will be shown that the nonanticipating sequence of portfolios db yields wealth such that , for every bounded sequence x1, x2…, and, under mild conditions, achieve

image

where J, is an (m ‐ 1) x (m ‐ I) sensitivity matrix. Thus this portfolio strategy has the same exponential rate of growth as the apparently unachievable S*n.
Cash Stream Valuation In the Face of Transaction Costs and Taxes
Authors: Dermody Jaime Cuevas , Rockafellar R. Tyrrell
Published: December 2006

The usual notion of every future cash stream having a net present value determined from a single term structure breaks down when transaction costs are taken into account, especially the sizable costs associated with short‐borrowing. the difficulties are compounded by taxes, which can lead to paradoxes of disequilibrium if elementary NPV is assumed to be a rational basis for decision making. This paper systematically develops a theory of valuation which overcomes these shortcomings by accepting the multiplicity of no‐arbitrage term structures that may be present for each tax class of investors, and uses the entire set of them to impute both a “long price” and a “short price” for every cash stream, regardless of the sign of the future payments. the valuation operators giving these prices are nonlinear but readily calculated from linear programming formulas.
Toward A Convergence Theory For Continuous Stochastic Securities Market Models1
Authors: Willinger Walter , Taqqu Murad S.
Published: December 2006

This article reviews some recently developed approximation schemes for financial markets with continuous trading. Two methods for approximating continuous‐time stochastic securities market models whose exogenously given prices have continuous sample paths are described and compared One method approximates both the paths and the information structure; the other is an approximation in distribution with a Markovian structure. In both cases, the approximating models have a finite state space, discrete time, and possess the same “structural” properties (e.g., “no arbitrage” and “completeness”) as the continuous model. the latter characteristic is an important criterion for judging the merits of the approximations. Taking advantage of the “structure‐preserving” characteristic, one can formulate a convergence theory for frictionless markets with continuous trading. the theory provides convergence results for objects such as contingent claim prices, replicating portfolio strategies (hedging policies), optimal consumption policies, and cumulative financial gains (i.e., stochastic integrals), which are constructed along the approximation. the convergence theory enables one to combine the intuitive appeal of discrete models and the analytic tractability of continuous models to provide new insight into the theory of modern financial markets. We survey the current state of such a convergence theory and illustrate the results with some examples of well‐known continuous securities market models.
RISK‐AVERSION BEHAVIOR IN CONSUMPTION/INVESTMENT PROBLEMS1
Authors: Presman E. , Sethi S.
Published: December 2006

In this paper, we study the risk‐aversion behavior of an agent in the dynamic framework of consumption/investment decision making that allows the possibility of bankruptcy. Agent's consumption utility is assumed to be represented by a strictly increasing, strictly concave, continuously differentiable function in the general case and by a HARA‐type function in the special case treated in the paper. Coefficients of absolute and relative risk aversion are defined to be the well‐known curvature measures associated with the derived utility of wealth obtained as the value function of the agent's optimization problem. Through an analysis of these coefficients, we show how the change in agent's risk aversion as his wealth changes depends on his consumption utility and the other problem parameters, including the payment at bankruptcy. Moreover, in the HARA case, we can conclude that the agent's relative risk aversion is nondecreasing with wealth, while his absolute risk aversion is decreasing with wealth only if he is sufficiently wealthy. At lower wealth levels, however, the agent's absolute risk aversion may increase with wealth in some cases.
Optimal Stopping and the American Put
Authors: Jacka S. D.
Published: December 2006

We show that the problem of pricing the American put is equivalent to solving an optimal stopping problem. the optimal stopping problem gives rise to a parabolic free‐boundary problem. We show there is a unique solution to this problem which has a lower boundary. We identify an integral equation solved by the boundary and show that it is the unique solution to this equation satisfying certain natural additional conditions. the proofs also give a natural decomposition of the price of the American option as the sum of the price of the European option and an “American premium.”
A Note On Utility Maximization Under Partial Observations1
Authors: Karatzas Ioannis , Xue Xlng‐Xlong
Published: December 2006

Using ideas from stochastic filtering theory and a martingale representation result of Jacod, we discuss problems of utility maximization in “dynamically incomplete” financial markets under partial observations.
Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1
Authors: He Hua , Pearson Neil D.
Published: December 2006

We use a martingale approach to study optimal intertemporal consumption and portfolio policies in a general discrete‐time, discrete‐state‐space securities market with dynamically incomplete markets and short‐sale constraints. We characterize the set of feasible consumption bundles as the budget‐feasible set defined by constraints formed using the extreme points of the closure of the set of Arrow‐Debreu state prices consistent with no arbitrage, and then establish a relationship between the original problem and a dual minimization problem.
A Characterization of Complete Security Markets On A Brownian Filtration1
Authors: Jarrow Robert A. , Madan Dilip B.
Published: December 2006

This paper provides a characterization theorem for a complete securities market when security prices follow Itô processes on a multidimensional Brownian filtration. This characterization theorem is a special case of Harrison and Pliska (1983), and it clarifies a counterexample provided by Müller (1989).
Arbitrage Values Generally Depend On A Parametric Rate of Return
Authors: Brenner Robin J. , Denny J. L.
Published: December 2006

Let X denote a positive Markov stochastic integral, and let S(t, μ) = exp(μt)X(t) represent the price of a security at time t with infinitesimal rate of return μ. Contingent claim (option) pricing formulas typically do not depend on μ. We show that if a contingent claim is not equivalent to a call option having exercise price equal to zero, then security prices having this property—option prices do not depend on μ—must satisfy: for some V (0, T), In(S(t, μ)X(V)) is Gaussian on a time interval [V, T], and hence S(t, μ) has independent observed returns. With more assumptions, V= 0, and there exist equivalent martingale measures.
Option Pricing With V. G. Martingale Components1
Authors: Madan Dilip B. , Milne Frank
Published: December 2006

European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black‐Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis.
A Stochastic Extension of the Miller‐Modigliani Framework1
Authors: Sethi S. P. , Derzko N. A. , Lehoczky J. P.
Published: December 2006

This paper deals with the problem of the financial valuation of a firm and its shares of stock with general financing policies in a partial equilibrium framework. the model assumes a time‐dependent discount rate and a general stochastic environment in a discrete‐time setting. the fundamental valuation approach under the assumption of risk neutrality is used to obtain the time path of share price, the number of outstanding shares, and the value of the firm. These are shown to be the unique conditional expectations of certain stochastic processes. A broad class of firms for which the solution formula yields finite‐valued solutions is characterized. the results are extended to the non‐risk‐neutral case. A regularity condition, which is both necessary and sufficient for the share price to equal the capitalization of future dividends accruing to the share, is obtained. As a mathematical aside, it is shown in the appendix that in the absence of this condition, the so‐called stream of dividends approach is meaningless in the sense that it does not yield any financial valuation.
Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
Authors: Shirakawa Hiroshi
Published: December 2006

We study a continuous trading bond model where the associated forward rate curve follows a multidimensional Poisson‐Gaussian process. the bond market is complete, and the unique arbitrage‐free interest rate call option price is explicitly derived.
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
Authors: Duffie Darrell , Protter Philip
Published: December 2006

Conditions suitable for applications in finance are given for the weak convergence (or convergence in probability) of stochastic integrals. For example, consider a sequence Sn of security price processes converging in distribution to S and a sequence θn of trading strategies converging in distribution to θ. We survey conditions under which the financial gain process θn dSn converges in distribution to θ dS. Examples include convergence from discrete‐ to continuous‐time settings and, in particular, generalizations of the convergence of binomial option replication models to the Black‐Scholes model. Counterexamples are also provided.
On Modeling Questions In Security Valuation
Authors: Eberlein Ernst
Published: December 2006

After mentioning some deficiencies of the standard Black‐Scholes model for the valuation of call options, we discuss discrete models which allow price changes of the underlying security at discrete time points only. It is shown that, given any distribution with a moment higher than 2, the paths of the Black‐Scholes stock price process can be approximated uniformly as closely as one wishes by discrete paths generated by this distribution. Based on this approximation, discrete‐time trading strategies are defined. Convergence (in measure and almost surely) of the corresponding financial gain processes is obtained. the results show the robustness of the Black‐Scholes model.
The Relationship Between Risk and Maturity In A Stochastic Setting
Authors: Zipkin Paul H.
Published: December 2006

This paper explores the interest rate sensitivity of the prices of bonds and other securities when the instantaneous interest rate follows a Markov process. We show that whenever the interest rate describes a diffusion process the sensitivity of zero‐coupon bonds increases with maturity. More generally, we characterize the risk‐maturity relationship for contingent claims. This investigation yields a new property of option prices in the case where the underlying security price is a diffusion.
Option Pricing Under Incompleteness and Stochastic Volatility
Authors: Hofmann Norbert , Platen Eckhard , Schweizer Martin
Published: December 2006

We consider a very general diffusion model for asset prices which allows the description of stochastic and past‐dependent volatilities. Since this model typically yields an incomplete market, we show that for the purpose of pricing options, a small investor should use the minimal equivalent martingale measure associated to the underlying stock price process. Then we present stochastic numerical methods permitting the explicit computation of option prices and hedging strategies, and we illustrate our approach by specific examples.
Pricing the Quality Option In Treasury Bond Futures1
Authors: Ritchken Peter , Sankarasubramanian L.
Published: December 2006

This article develops a model for pricing the quality option embedded in the Treasury bond futures contract. Since the option value is set relative to a large family of deliverable bond prices, it is important for the theoretical bond prices to match up to the observed prices. Hence an arbitrage‐based model is used where the forward rate process is initialized at its current observable value. A model for valuing the quality option in an otherwise identical forward contract is also established. This permits the quality option and marking to market costs to be separately quantified. Support is provided for the common practice of pricing Treasury bond futures contracts as forward contracts with an embedded forward quality option.
Pricing Options With Curved Boundaries1
Authors: Kunitomo Naoto , Ikeda Masayuki
Published: December 2006

This paper provides a general valuation method for the European options whose payoff is restricted by curved boundaries contractually set on the underlying asset price process when it follows the geometric Brownian motion. Our result is based on the generalization of the Levy formula on the Brownian motion by T. W. Anderson in sequential analysis. We give the explicit probability formula that the geometric Brownian motion reaches in an interval at the maturity date without hitting either the lower or the upper curved boundaries. Although the general pricing formulae for options with boundaries are expressed as infinite series in the general case, our numerical study suggests that the convergence of the series is rapid. Our results include the formulae for options with a lower boundary by Merton (1973), for path‐dependent options by Goldman, Sossin, and Gatto (1979), and for some corporate securities as special cases.
ASYMPTOTICALLY OPTIMAL PORTFOLIOS
Authors: Jamshidian Farshid
Published: December 2006

This paper extends to continuous time the concept of universal portfolio introduced by Cover (1991). Being a performance weighted average of constant rebalanced portfolios, the universal portfolio outperforms constant rebalanced and buy‐and‐hold portfolios exponentially over the long run. an asymptotic formula summarizing its long‐term performance is reported that supplements the one given by Cover. A criterion in terms of long‐term averages of instantaneous stock drifts and covariances is found which determines the particular form of the asymptotic growth. A formula for the expected universal wealth is given.
A Microeconomic Approach to Diffusion Models For Stock Prices
Authors: Föllmer Hans , Schweizer Martin
Published: December 2006

This paper studies a class of diffusion models for stock prices derived by a microeconomic approach. We consider discrete‐time processes resulting from a market equilibrium and then apply an invariance principle to obtain a continuous‐time model. the resulting process is an Ornstein‐Uhlenbeck process in a random environment, and we analyze its qualitative behavior. In particular, we provide simple criteria for the stability or instability of the corresponding stock price model, and we give explicit formulae for the invariant distributions in the recurrent case.
Hedging Index Options With Few Assets1
Authors: Lamberton Damien , Lapeyre Bernard
Published: December 2006

We consider hedging strategies against contingent claims depending on a large number of assets (typically options on an index). We introduce strategies involving a limited number of assets and give explicit formulae to characterize optimal strategies. Numerical methods to compute these formulae are also discussed.
Martingale Measures For A Class of Right‐Continuous Processes
Authors: Lakner Peter
Published: December 2006

The subject of the present paper is the following. Suppose that W is a class of adapted, right‐continuous processes on the continuous time horizon [0, 1], and for every stopping time and W, () is bounded below. A necessary and sufficient condition will be given for the existence of a probability measure Q which is equivalent to the original measure and such that each process in W is a martingale under Q. If the processes in W represent the discounted prices of available securities, then the condition given here for the existence of a martingale measure can be interpreted as absence of “free lunch” in the securities market. This is a familiar kind of theorem from the finance literature; the novelty of this paper is that the security prices are not required to be in LP for some 1 p, nor are they assumed to be continuous. Also, the concept of free lunch is invariant under the substitution of the original probability measure by an equivalent probability measure. the assumption that () is bounded below for every W and stopping time is quite natural since prices are nonnegative.

We shall define a class of admissible subjective probability measures and assume that each agent in the economy has selected a subjective probability measure from (hat class. Subjective free lunch for an agent will be defined using his or her subjective probability measure. It will be shown that under an additional condition the existence of free lunch is equivalent to the existence of a common subjective free lunch simultaneously for all possible agents in the economy.
Exact Ruin Probabilities and the Evaluation of Program Trading On Financial Markets
Authors: Kennedy D. P.
Published: December 2006

For a compound Poisson process with negative drift and jump distribution consisting of a mixture of exponentials on [0) and on (‐, 0), an exact expression is derived for the probability of hitting the level c, c > 0. the problem is motivated by modeling the returns from trading on financial markets.
OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
Authors: Grossman Sanford J. , Zhou Zhongquan
Published: December 2006

We analyze the optimal risky investment policy for an investor who, at each point in time, wants to lose no more than a fixed percentage of the maximum value his wealth has achieved up to that time. In particular, if Mt is the maximum level of wealth W attained on or before time t, then the constraint imposed on his portfolio choice is that WtαMt, where α is an exogenous number betweenα O and 1. We show that, for constant relative risk aversion utility functions, the optimal policy involves an investment in risky assets at time t in proportion to the “surplus”Wt ‐ αMt. the optimal policy may appear similar to the constant‐proportion portfolio insurance policy analyzed in Black and Perold (1987) and Grossman and Vila (1989). However, in those papers, the investor keeps his wealth above a nonstochastic floor F instead of a stochastic floor αMt. the stochastic character of the floor studied here has interesting effects on the investment policy in states of nature when wealth is at an all‐time high; i.e., when Wt =Mt. It can be shown that at Wt=Mt, αMt is expected to grow at a faster rate than Wt, and therefore the investment in the risky asset can be expected to fall. We also show that the investment in the risky asset can be expected to rise when Wt is close to αMt. We conjecture that in an equilibrium model the stochastic character of the floor creates “resistance” levels as the market approaches an all‐time high (because of the reluctance of investors to take more risk when Wt=Mt).
ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS1
Authors: Chesney Marc , Elliott Robert J. , Gibson Rajna
Published: December 2006

In this paper we use the Cox, Ingersoll, and Ross (1985b) single‐factor, term structure model and extend it to the pricing of American default‐free bond puts. We provide a quasi‐analytical formula for these option prices based on recently established mathematical results for Bessel bridges, coupled with the optimal stopping time method. We extend our results to another interest rate contingent claim and provide a quasi‐analytical solution for American yield option prices which illustrates the flexibility of our framework.
DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1
Authors: Colwell David B. , Elliott Robert J.
Published: December 2006

The price of a risky asset § is described by a Markov diffusion with jumps. In general there may be many equivalent martingale measures. Contingent claims which depend on the price of § at some time T may not be attainable, and the market may not be complete. However, using a martingale representation result, the local risk‐minimizing strategy is explicitly constructed. This in turn provides a new motivation for the concept of the minimal martingale measure.
A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle
Authors: Aase Knut K.
Published: December 2006

This paper derives the equilibrium excess returns on risky assets in an exchange economy where the underlying exogenous uncertainty is a combination of a pure multidimensional jump process and a diffusion model. We derive closed‐form solutions for the interest rate and the risk premiums on risky assets for a traditional class of separable utility indices. Our analysis demonstrates that when the underlying jumps of the aggregate consumption process are not negligible, then the traditional form of the consumption‐based capital asset princing model need not hold and the asset risk premiums may be larger than predicted by the traditional CCAPM in continuous time, based on pure Itô diffusion processes. Our analysis suggests an explanation for the large estimates of the risk premiums reported in empirical tests of the single‐beta CCAPM.
From Discrete to Continuous Financial Models: New Convergence Results For Option Pricing
Authors: Cutland Nigel J. , Kopp Ekkehard , Willinger Walter
Published: December 2006

In this paper we develop a new notion of convergence for discussing the relationship between discrete and continuous financial models, D2‐convergence. This is stronger than weak convergence, the commonly used mode of convergence in the finance literature. We show that D2‐convergence, unlike weak convergence, yields a number of important convergence preservation results, including the convergence of contingent claims, derivative asset prices and hedge portfolios in the discrete Cox‐Ross‐Rubinstein option pricing models to their continuous counterparts in the Black‐Scholes model. Our results show that D2‐convergence is characterized by a natural lifting condition from nonstandard analysis (NSA), and we demonstrate how this condition can be reformulated in standard terms, i.e., in language that only involves notions from standard analysis. From a practical point of view, our approach suggests procedures for constructing good (i.e., convergent) approximate discrete claims, prices, hedge portfolios, etc. This paper builds on earlier work by the authors, who introduced methods from NSA to study problems arising in the theory of option pricing.
Consols In the Cir Model
Authors: Delsaen Freddy
Published: December 2006

A consol is a default‐free financial instrument paying a constant stream of one unit of money. A synonym is a perpetuity. the valuation of a consol presents a particular difficulty: the time horizon of this instrument is infinity, and hence the usual technique of replacing the physical probability measure by a new probability measure represents serious problems with regard to absolute continuity of the two measures. We will work out explicit formulas when the instantaneous riskless interest rate follows a square‐root process under the risk‐free measure. Several mathematical properties will be investigated. Yor and Geman and Yor have considered the problem of pricing consols and carry out a more fundamental analysis (see References). This paper is self‐contained and emphasizes properties or techniques not covered by those authors.
Convergence of the Critical Price In the Approximation of American Options
Authors: Lamberton Damien
Published: December 2006

We consider the American put option in the Black‐Scholes model. When the value of the option is computed through numerical methods (such as the binomial method and the finite difference method) the approximation yields an approximate critical price. We prove the convergence of this approximate critical price towards the exact critical price.
A Counterexample to Several Problems In the Theory of Asset Pricing
Authors: Schachermayer Walter
Published: December 2006

We construct a continuous bounded stochastic process (St,)1E[0,1] which admits an equivalent martingale measure but such that the minimal martingale measure in the sense of Föllmer and Schweizer does not exist. This example also answers (negatively) a problem posed by Karatzas, Lehozcky, and Shreve as well as a problem posed by Strieker.
A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL
Authors: Bossaerts Peter , Hillion Pierre
Published: December 2006

An empirical version of the Cox, Ingersoll, and Ross (1985a) call option pricing model is derived, assuming execution price uncertainty in the options market. the pricing restrictions come in the form of moment conditions in the option pricing error. These can be estimated and tested using a version of the method of simulated moments (MSM). Simulation estimates, obtained by discretely approximating the risk‐neutral processes of the underlying stock price and the interest rate, are substituted for analytically unknown call prices. the asymptotics and other aspects of the MSM estimator are discussed. the model is tested on transaction prices at 15‐minute intervals. It substantially outperforms the Black‐Scholes model. the empirical success of the Cox‐Ingersoll‐Ross model implies that the continuous‐time interest rate implicit in synchronous transaction quotes of 90‐day Treasury‐bill futures contracts is an‐albeit noisy‐proxy for the instantaneous volatility on common stock. the process of the instantaneous volatility is found to be close to nonstationary. It is well approximated by a heteroskedastic unit‐root process. With this approximation, the Cox‐Ingersoll‐Ross model only slightly overprices long‐maturity options.
BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
Authors: Geman Hélyette , Yor Marc
Published: December 2006

Using Bessel processes, one can solve several open problems involving the integral of an exponential of Brownian motion. This point will be illustrated with three examples. The first one is a formula for the Laplace transform of an Asian option which is “out of the money.”The second example concerns volatility misspecification in portfolio insurance strategies, when the stochastic volatility is represented by the Hull and White model. The third one is the valuation of perpetuities or annuities under stochastic interest rates within the Cox‐Ingersoll‐Ross framework. Moreover, without using time changes or Bessel processes, but only simple probabilistic methods, we obtain further results about Asian options: the computation of the moments of all orders of an arithmetic average of geometric Brownian motion; the property that, in contrast with most of what has been written so far, the Asian option may be more expensive than the standard option (e.g., options on currencies or oil spreads); and a simple, closed‐form expression of the Asian option price when the option is “in the money,” thereby illuminating the impact on the Asian option price of the revealed underlying asset price as time goes by. This formula has an interesting resemblance with the Black‐Scholes formula, even though the comparison cannot be carried too far.
OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS
Authors: Shirakawa Hiroshi
Published: December 2006

We study an optimal consumption and portfolio selection problem for an investor by a martingale approach. We assume that time is a discrete and finite horizon, the sample space is finite and the number of securities is smaller than that of the possible securities price vector transitions. the investor is prohibited from investing stocks more (less, respectively) than given upper (lower) bounds at any time, and he maximizes an expected time additive utility function for the consumption process. First we give a set of budget feasibility conditions so that a consumption process is attainable by an admissible portfolio process. Also we state the existence of the unique primal optimal solutions. Next we formulate a dual control problem and establish the duality between primal and dual control problems. Also we show the existence of dual optimal solutions. Finally we consider the computational aspect of dual approach through a simple numerical example.
CONSUMPTION AND PORTFOLIO POLICIES WITH INCOMPLETE MARKETS AND SHORT‐SALE CONSTRAINTS IN THE FINITE‐DIMENSIONAL CASE: SOME REMARKS
Authors: Girotto Bruno , Ortu Fulvio
Published: December 2006

This paper extends He and Pearson's (1991) martingale approach to the study of optimal intertemporal consumption and portfolio policies with incomplete markets and short‐sale constraints to a framework in which no assumptions are made on the price process for the securities. We show how both their characterization of the budget‐feasible set and duality result can be extended to account for an unbounded set II of Arrow‐Debreu state prices compatible with the arbitrage‐free assumption. We also supply a (fairly general) sufficient condition for II to be bounded, as required in their setting.
A PRICING OPERATOR‐BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS
Authors: Chen Zhiwu , Knez Peter J.
Published: December 2006

This paper develops a cross‐market version of factor pricing models. It is shown that exact factor pricing holds across two submarkets with respect to their common factors if and only if the unique pricing operator for the first submarket is equal to that for the other submarket with probability 1. We define an APT measure as the squared distance between the two pricing operators. Then, testing whether this measure is zero is equivalent to testing exact factor pricing across the two submarkets. Since the estimation of this measure does not require parameterizing and extracting the underlying factors, one can test factor pricing models without knowing any factors. In addition, we present a randomization procedure so that one can use it to conduct a more comprehensive investigation on the empirical robustness of factor pricing models.
MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
Authors: Duan Jin‐Chuan
Published: December 2006

This article develops a general methodology that uses the observed prices of a derivative contract to compute maximum likelihood parameter estimates for an unobserved asset value process. the use of this estimation methodology is demonstrated in two applications: Vasicek's term structure model and deposit insurance pricing. This methodology can also be useful in the empirical analysis of complex financial contracts involving embedded options.
ASYMPTOTIC INFERENCE FOR THE PARAMETERS OF A DISCRETE‐TIME SQUARE‐ROOT PROCESS
Authors: Frydman Halina
Published: December 2006

This paper is concerned with asymptotic properties of the maximum likelihood estimators for the discrete‐time square‐root process. This process and its generalizations are employed in financial literature as models for movements of asset prices. the considered process is nonergodic and therefore standard maximum likelihood theory does not apply. the nonstandard asymptotic theory is developed. Strong consistency of the estimators is established, joint asymptotic distribution of the properly normalized estimators is obtained and confidence intervals for the parameters are constructed. the results of the small simulation study are reported.