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Tractable hedging - an implementation of robust hedging strategies : [This Version: March 30, 2004]
(2004)
This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion–type models including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays within a given interval. We focus on the effects of restricting the set of admissible strategies to tractable strategies which are defined as the sum over Gaussian strategies. Although a trivial Gaussian hedge is either not robust or prohibitively expensive, this is not the case for the cheapest tractable robust hedge which consists of two Gaussian hedges for one long and one short position in convex claims which have to be chosen optimally.
This paper analyzes the equilibrium pricing implications of contagion risk in a two-tree Lucas economy with CRRA preferences. The dividends of both trees are subject to downward jumps. Some of these jumps are contagious and increase the risk of subsequent jumps in both trees for some time interval. We show that contagion risk leads to large price-dividend ratios for small assets, a joint movement of prices in the case of a regime change from the calm to the contagion state, significantly positive correlations between assets, and large positive betas for small assets. Whereas disparities between the assets with respect to their propensity to trigger contagion barely matter for pricing, the prices of robust assets that are hardly affected by contagion and excitable assets that are severely hit by contagion differ significantly. Both in absolute terms and relatively to the market, the price of a small safe haven increases if the economy reaches the contagion state. On the contrary, the price of a small, contagion-sensitive asset exhibits a pronounced downward jump.
An analysis of the UK's counter-terrorism strategy, CONTEST, and the challenges in its evaluation
(2016)
The UK’s Counter-Terrorism strategy, known as CONTEST, is recognized as one of the most successful soft-focus strategies in the world, with an intended emphasis on community support and what have become known as ‘Prevent’ (or counter-extremism) measures. In all, there are four limbs to CONTEST: PREVENT, PROTECT, PURSUE and PREPARE. While there is much crossover between these areas, for example policing activities take place in all four limbs, each one has a specific focus with its own intrinsic goals. This article intends to provide an overview of CONTEST, and to explore the challenges of evaluating counter-terrorism strategies in general. In doing so, I intend to show that while robust and independent evaluation of CONTEST has not been undertaken from a quantitative approach, some level of evaluation has taken place and can be taken into consideration when moving forward with future analysis of the strategy...
Report-no: UFTP-492/1999 Journal-ref: Phys.Rev. C61 (2000) 024909 We investigate flow in semi-peripheral nuclear collisions at AGS and SPS energies within macroscopic as well as microscopic transport models. The hot and dense zone assumes the shape of an ellipsoid which is tilted by an angle Theta with respect to the beam axis. If matter is close to the softest point of the equation of state, this ellipsoid expands predominantly orthogonal to the direction given by Theta. This antiflow component is responsible for the previously predicted reduction of the directed transverse momentum around the softest point of the equation of state.
French far right activism experienced tremendous changes in recent years. Besides traditional far right party politics, new patterns of street-based mobilization attract especially action-oriented youths. This trend is epitomized by the growing popularity of the Bloc Identitaire (official name; shortened to “Identitaires”). Its ideology rests on the idea that there exists a struggle between different political families in order to become the legitimate representative of the people, and that the extreme right is winning this struggle. Behind the scenes, the recurring idea of the Bloc Identitaires is to occupy a cultural and “meta-political” territory that was once the monopoly of the left. Their aim is that they are gradually associated with the only possible alternative to change the world. They try to frame a maximum of popular needs and present themselves as substitutes for when the economy and the state will be bankrupt. So you can eat the food of the Identitaires, drink their beer (the “Desouchière”), buy their clothes, listen to their music or read their books and thus participate in financing the movement...
How do coalition governments affect the risk of civil war onset in ethnically divided societies? Existing research argues that power-sharing coalitions decrease the risk of civil war because they redress grievances. Building on a formal model of coalition formation, we predict that ethnic elites are most likely to form oversized rather than minimum-winning coalitions in anticipation of future challenges to the regime. Put differently, we expect most power-sharing to occur where the risk of regime-threatening civil war is highest...
"Since the events of the eighteenth century, in particular the French and American Revolutions, the concept of revolution has become one of the most important, and most widely used, concepts of modern political and philosophical thought. The revolutions of the eighteenth century are, however, also marked by a temporal logic that questions their radical departure from the past, both intellectually and practically. Indeed, the concept of revolution is often coupled with a renewed interest in ideals of human self-conception, moral beauty and education that are seen as having emerged in the classical antiquity of Greece and Rome. On both sides of the Atlantic, references to classical antiquity support contemporary achievements, on the one hand, and are used to question the existing state of political and intellectual affairs, on the other."
We develop a dynamic network model with heterogenous banks which undertake optimizing portfolio decisions subject to liquidity and capital constraints and trade in the interbank market whose equilibrium is governed by a tatonnement process. Due to the micro-funded structure of the decisional process as well as the iterative dynamic adjustment taking place in the market, the links in the network structures are endogenous and evolve dynamically. We use the model to assess the diffusion of systemic risk (measured as default probability), the contribution of each bank to it as well as the evolution of the network in response to financial shocks and across different prudential policy regimes.
We develop a dynamic network model with heterogenous banks which undertake optimizing portfolio decisions subject to liquidity and capital constraints and trade in the interbank market whose equilibrium is governed by a tatonnement process. Due to the micro-funded structure of the decisional process as well as the iterative dynamic adjustment taking place in the market, the links in the network structures are endogenous and evolve dynamically. We use the model to assess the diffusion of systemic risk, the contribution of each bank to it as well as the evolution of the network in response to financial shocks and across different prudential policy regimes.
Is wider access to stockholding opportunities related to reduced wealth inequality, given that it creates challenges for small and less sophisticated investors? Counterfactual analysis is used to study the influence of changes in the US stockholder pool and economic environment, on the distribution of stock and net household wealth during a period of dramatic increase in stock market participation. We uncover substantial shifts in stockholder pool composition, favoring smaller holdings during the 1990s upswing but larger holdings around the burst of the Internet bubble. We find no evidence that widening access to stocks was associated with reduced net wealth inequality.
In hindsight, the debate about presupposition following Frege’s discovery that the referential function of names and definite descriptions depended on the fulfillment of an existence and a uniqueness condition was curiously limited for a very long time. On the one hand, it was only in the 1960s that linguists began to take an interest and showed that presupposition was an allpervasive phenomenon far beyond this philosophers’ pet definite descriptions. And on the other hand, and this is our real concern, it is now only too obvious that the uniqueness condition is too restrictive to be applicable to the general case. An utterance of “The cat is on the mat” should not imply that there is only one cat and one mat in the whole world. The obvious move is to limit the uniqueness condition to some notion of utterance context.
The distribution of linguistic structures in the world is the joint product of universal principles, inheritance from ancestor languages, language contact, social structures, and random fluctuation. This paper proposes a method for evaluating the relative significance of each factor — and in particular, of universal principles — via regression modeling: statistical evidence for universal principles is found if the odds for families to have skewed responses (e.g. all or most members have postnominal relative clauses) as opposed to having an opposite response skewing or no skewing at all, is significantly higher for some condition (e.g. VO order) than for another condition, independently of other factors.
It is often assumed that the goal of typology is to define the notion ‘possible human language’. This view, which I call the Universalist Typology view is shared, for example, by virtually all contributors to Bynon & Shibatani’s 1995 volume Approaches to Language Typology, and by Moravscik in her review of this volume in Linguistic Typology 1 (p.105). In the following I claim that this assumption is fundamentally mistaken. To clarify the theoretical status of what is meant by ‘possible human language’, I argue here for a distinction between typological theory (theoretical typology) and grammatical theory (theoretical syntax and theoretical morphology) as distinct subdisciplines of linguistics.
Languages vary in whether or not primary grammatical relations (PGRs) are sensitive to information from clause-level case or phrase structures. This variation correlates with a difference between verb agreement systems based on feature unification and systems based on feature composition. The choice between different PGR and agreement principles is found to be highly stable genetically and to characterize Indo-European as systematically different from Sino-Tibetan. Although the choice is partially similar to the Configurationality Parameter, it is shown that Indo-European languages of South Asia are nonconfigurational due to areal pressure but follow their European relatives in PGR and agreement principles.
Ever since Wilhelm von Humboldt’s (1836) pioneering study of Nahuatl, linguists have recurrently recognized that languages differ fundamentally in the syntactic weight they attribute to noun-phrases as the arguments of a verb. Currently, the most prominent attempts to turn this intuition into a precise hypothesis revolve around the notion of ‘configurationality’.
In Belhare (Sino-Tibetan, Nepal), consonant prothesis at morpheme boundaries and deletion of stem "augments" is found if either metrical or morphological parsing would violate the bimoraic trochee pattern that underlies the stress system of the language. This finding corroborates Dresher & Lahiri’s (1991) "Principle of Metrical Coherence" and provides new evidence for the cross-linguistic applicability of Crowhurst’s (1994) "Tautomorphemic Foot" constraint. The data also support a view of the Prosodic Hierarchy as weakly layered, allowing consonants to be directly dominated by the foot or word node if they are prothetic and do not therefore need feature licensing within the syllable canon.
This is the first article in our series on refugees.Attempts to address the current crisis often seek to make distinctions between ‘refugees’ and ‘migrants’ and between refugees / migrants and citizens. But, I suggest, these distinctions are part of the problem. Part of the solution is to rethink our histories of ‘national states’ – and the rights and claims they enable – through a ‘connected sociologies’ approach that acknowledges the shared histories that bring states and colonies together....
The dualism of movements and institutions. A structurational approach towards the two concepts
(2016)
In studies of social mobilization, the distinction between institutions and organizations is often as blurry as the instant of time from which on we can actually speak of a proper movement. Using the idea of a `duality of structure’ as a starting point, this article suggests a way of fixing the boundaries: a brief analysis of the South African Landless People’s Movement demonstrates the merit of conceiving of movements as aggregate actors with shared common objectives and common norms, which institutionalize particular modes of cooperation by purposefully drawing on existing institutions in order to shape functioning internal structures.
Persons traveling to participate in foreign conflicts by no means constitute a new phenomenon that is intrinsically tied to the ‘Islamic State’ (‘IS’). However, law enforcement agencies all over the world increasingly focus on foreign fighters travelling to Syria and Iraq due to a considerable rise in their number as well as the perceived threat they pose upon their return. Currently, around 650 German residents and citizens have travelled to the region to support jihadist groups such as the ‘IS’.
On October the 2nd the Colombian people rejected the peace agreement between the government and the FARC in a referendum with a very thin majority of 0.4%. With this unexpected rejection, the referendum was in some ways similar to the Brexit referendum, for the results of which David Cameron was as little prepared as Juan Manuel Santos for his rejection; there was obviously no Plan B. In the last weeks, the government undertook ten changes to the agreement, but it will not go through a referendum again. Santos, as he said, has learned his lesson from the rejection and will seek to have the amended peace agreement approved in Congress. This will likely lead to the implementation of the peace agreement and the furtherance of its goals, such as a DDR process, land reforms, a transitional justice process and reparations for victims, just to mention a few. But this progress in peace will be seen as being at odds with popular opinion. Many of the “no” voters are still not satisfied with the adjustments made by the government and the FARC, and neither are the sectors of the opposition mainly responsible for the rejection. Nevertheless, the government and the FARC are progressing with the implementation, and peace talks with the second-largest – and now the last standing – guerrilla group, the ELN, are scheduled to start in 2017. The prospects for 2018 and onwards, when the presidency election will be held, are more questionable.
We review arguments for and against reserve requirements and conclude that the main question is whether a distinction between money creation and intermediation can be made. We argue that such a distinction can be made in a money-in-advance economy and show that if the money-in-advance constraint is universally binding then reserve requirements on checkable accounts have no effect on intermediation. We then proceed to show that in a model in which trade is uncertain and sequential, a fractional reserve banking system gives rise to endogenous monetary shocks. These endogenous monetary shocks lead to fluctuations in capacity utilisation and waste. When the money-in-advance constraint is universally binding, a 100% reserve requirement on checkable accounts can eliminate this waste.
The bedouin in Israel
(1999)
In this paper, we investigate the implications of providing loan officers with a compensation structure that rewards loan volume and penalizes poor performance. We study detailed transactional information of more than 45,000 loans issued by 240 loan officers of a large commercial bank in Europe. We find that when the performance of their portfolio deteriorates, loan officers shift their efforts towards monitoring poorly-performing borrowers and issue fewer loans. However, these new loans are of above-average quality, which suggests that loan officers have a pecking order and process loans only for the very best clients when they are under time constraints.
Lexicon of Zionism
(2003)
This is the third article in our series Trouble on the Far-Right.
I am the author of two books about the French nouvelle droite (ND – New Right): Where Have All The Fascists Gone? and Rethinking the French New Right: Alternatives to modernity. In 2014, I published a piece entitled „The French New Right Neither Right, nor Left?“. Surprisingly, the French ND leader Alain de Benoist responded with a polemical and largely ad hominem article in the same journal.1 I must stress that I neither identify with a political party, nor a political movement. I do not support any ideological current. De Benoist does. He is self-described as a man of the right. Hence, he cannot even claim intellectual objectivity.
In this piece, I want to offer some comments on my debate with de Benoist. I argue that while we should strive towards intellectual objectivity, we cannot be silent in the face of falsehoods. In this respect, the ND plays a dishonest game. Its leader and other ND intellectuals feign intellectual objectivity and the platitudes of transcending right and left, but they want cultural hegemony and the triumph of their decidedly radical right-wing ideals...
We analyze the market reaction to the sentiment of the CEO speech at the Annual General Meeting (AGM). As the AGM is typically preceded by several information disclosures, the CEO speech may be expected to contribute only marginally to investors’ decision making. Surprisingly, however, we observe from the transcripts of 338 CEO speeches of German corporates between 2008 and 2016 that their sentiment is significantly related to abnormal stock returns and trading volume around the AGM. By adapting a finance-specific German dictionary based on Loughran and McDonald (2011), we find a negative association of the post-AGM returns with the speeches’ negativity and a positive association with the speeches’ relative positivity (i.e. positivity relative to negativity). Relative positivity moreover corresponds with a lower trading volume around the AGM. Investors hence seem to perceive the sentiment of CEO speeches at AGMs as a valuable indicator of future firm performance. Our results are robust against different weighting schemes and our dictionary appears to be better suited to grasp the sentiment of German business documents compared to general dictionaries.
“WAR IS PEACE, FREEDOM IS SLAVERY, AND IGNORANCE IS STRENGTH”. The slogan from George Orwell’s “1984” dystopia appears to capture the state of Russia’s 2014 official discourse quite accurately. This has not gone unnoticed by public and academic spectators in and outside Russia: while Bild magazine is counting Putin’s lies in his recent ARD interview, a Zeit article declares Russia itself to be a post-modern “lie”...
Reforms or bankruptcy?
(2011)
Almost 20 Greek academic economists from renowned universities in Europe and the US have prepared a one-page statement regarding the Greek crisis. In their statement the economic experts call upon the Greek public to accept the economic program of structural reforms, privatization, efficient tax collection, and shrinking of the public sector proposed and financed by the EU partners and the IMF. Among the signatories are this year's Nobel Prize winner Christopher Pissarides and Michalis Haliassos, Director of the Center for Financial Studies and Professor for Macroeconomics and Finance at the House of Finance.
Detailed mass balance food web models were constructed to compare ecosystem characteristics for three Alaska regions: the eastern Bering Sea (EBS), the Gulf of Alaska (GOA), and the Aleutian Islands (AI). This paper documents the methods and data used to construct the models and compares ecosystem structure and indicators across models. The common modeling framework, including biomass pool and fishery definitions, resulted in comparable food webs for the three ecosystems which showed that they all have the same apex predator—the Pacific halibut longline fishery. However, despite the similar methods used to construct the models, the data from each system included in the analysis clearly define differences in food web structure which may be important considerations for fishery management in Alaska ecosystems. The results showed that the EBS ecosystem has a much larger benthic influence in its food web than either the GOA or the AI. Conversely, the AI ecosystem has the strongest pelagic influence in its food web relative to the other two systems. The GOA ecosystem appears balanced between benthic and pelagic pathways, but is notable in having a smaller fisheries catch relative to the other two systems, and a high biomass of fish predators above trophic level (TL) 4, arrowtooth flounder and halibut. The patterns visible in aggregated food webs were confirmed in additional more detailed analyses of biomass and consumption in each ecosystem, using both the single species and whole ecosystem indicators developed here.
Part IV of our series on ISIS : "Blogforum 'Kalifat des Terrors: Interdisziplinäre Perspektiven auf den Islamischen Staat".
One element within US counter-terrorism strategies is “reducing terrorist group cohesion”, as the think tank RAND recommends in one of its reports. The Combating Terrorism Center at West Point (CTC) puts these recommendations into actions. Reports like ”Cracks in the Foundation” or ”Dysfunction and Decline” vividly depict the internal disagreement and disunity between al-Qaeda central (AQ) and its regional affiliates, most of all AQ in Iraq (AQI). Albeit these reports are drafted by pundits and certainly provide meaningful and often rare insights into the inner life of the global jihadi movement, they also serve another purpose: to deliberately amplify the very same trend they describe: disunity...
The Druze in Israel
(2002)
This is the seventh post in the blog series „Movements and Institutions“.
Social movements challenge systems of rule and thus institutions. They are expressions of the non-identical, the gaps and fissures in today’s world. That’s what makes social movements interesting and relevant for a critical research agenda. Thus, more than applying ready-made concepts to cases, scholars should inquire into the interactions between social movements and institutions as relationships between rule and resistance. This article proposes one way to go about such a critical research agenda.
Social movements and institutions are central actors in national and transnational politics as well as core categories of social inquiry. Despite their importance, both terms are still haunted by a lack of thorough definitions. We introduce a blog series with ten weekly contributions on their interrelation, outlining several innovative approaches and suggesting some vantage points for rethinking ‘Movements’ and ‘Institutions’ in a productive manner.
In the last few years, Myanmar has undergone a severe and unexpected change. The military-led country has been starting to open up its borders and economy, enhance citizens’ rights and, allegedly, democratize. While the EU and US were quick to celebrate the changes and lift sanctions in return, a number of questions remain: Will the changes be sustainable? Does the opening-up indicate a movement towards democracy? What were the reasons for the military to relinquish some of its power – and has it actually done so in the first place?
International mediation has traditionally been understood as an instrument aimed at getting political representatives to agree on a negotiated settlement. However, in cases where referendums were required for ratification, peace agreements have been rejected bythe people. This paper uncovers how mediators can help political leaders reach agreementsthat are supported by the people they represent by comparing the Annan Plan and Good Friday Agreement (GFA) mediations and referendums in Cyprus and Northern Ireland, respectively...
Women’s protection has been largely discussed in conflict and gender scholarship and promoted as a key priority for governments, NGOs and international community. However, when critically analysed, the meaning of protection in conflict settings and the understanding of who should provide protection in emergencies, conflict and complex humanitarian crisis remain ambiguous. In long-term conflict settings for example, it is unclear whose role it is to protect civilians...
This is the seventh article in our series on refugees. This article deals with the accommodation of Syrian refugees living in Germany. Based on my personal experience living in a refugee camp („Heim“) in the city of Cologne (Köln), and based on relevant literature, the article will, firstly, address the different types of temporary residences for refugees in Germany, and, secondly, the process through which refugees pass while looking for a permanent accommodation. Thirdly, and most importantly, the article discusses the ongoing shift within Köln’s urban and social structure in the light of the emerging resettlement of refugees. Although the urban structure of Köln, like many other German cities, has a certain level of urban segregation manifested in the settlement of immigrant communities (Friedrichs 1998, p.1), I argue that, on the contrary, the resettlement of Syrian refugees shows coherence and dispersion. The article is accompanied by a mapping survey that investigates on the spatial aspect of the accommodation distribution...
The text reframes the current debate about refugees in Germany by contrasting Germany’s recent history of racist violence and limitations of asylum laws with the resistance and agency of refugee movements across Germany. Both provide an important lens to re-examine the simultaneous heralding of „welcome culture“, a sharp rise in arson attacks on asylum centres and the current legislative roll-back of refugee rights in Germany.
The Crusade movement is one of the most important occurrences of medieval history. It took place throughout two centuries in the Levant and affected both Muslims and Crusaders and in turn changed the way in which West and East related to one another. When the Crusaders took control of the Holy Land and many Islamic cities in the Levant, they transferred their feudal European system there. They established four main fiefdoms or lordships, Jerusalem, Edessa, Antioch and Tripoli. In addition, there were another twelve secondary fiefdoms, of which Tibnīn was one. Tibnīn was called “Toron” by the Crusaders. Once the Crusaders had captured Tibnīn, they began building its fortified castle, from which the fief of Tibnīn gained its importance throughout the period of the Crusades.
This paper traces the military role of Tibnīn and its rulers in the Latin East against the Muslims until 1187/ 583. Tibnīn played a key role in overcoming the Muslims in Tyre and controlled it in 1124. It also played a vital role in the conflict between Damascus and the Kingdom of Jerusalem. Tibnīn participated in defending Antioch, Banyas, Hebron and Transjordan several times. Furthermore, its soldiers and Knights joined the army of the Kingdom of Jerusalem to capture Ascalon in 1153, and joined the campaigns of Amaury I, King of Jerusalem, against Egypt from 1164 to1169. The military situation of Tibnīn under the rule of the royal house until its fall to the Muslims in 1187/ 583 will be studied as well.
We determine optimal monetary policy under commitment in a forwardlooking New Keynesian model when nominal interest rates are bounded below by zero. The lower bound represents an occasionally binding constraint that causes the model and optimal policy to be nonlinear. A calibration to the U.S. economy suggests that policy should reduce nominal interest rates more aggressively than suggested by a model without lower bound. Rational agents anticipate the possibility of reaching the lower bound in the future and this amplifies the effects of adverse shocks well before the bound is reached. While the empirical magnitude of U.S. mark-up shocks seems too small to entail zero nominal interest rates, shocks affecting the natural real interest rate plausibly lead to a binding lower bound. Under optimal policy, however, this occurs quite infrequently and does not imply positive average inflation rates in equilibrium. Interestingly, the presence of binding real rate shocks alters the policy response to (non-binding) mark-up shocks.
We analytically show that a common across rich/poor individuals Stone-Geary utility function with subsistence consumption in the context of a simple two-asset portfolio-choice model is capable of qualitatively explaining: (i) the higher saving rates of the rich, (ii) the higher fraction of personal wealth held in stocks by the rich, and (iii) the higher volatility of consumption of the wealthier. On the contrary, time-variant "keeping-up with the Joneses" weighted average consumption playing the role of moving benchmark subsistence consumption gives the same portfolio composition and saving rates across the rich and the poor, failing to reconcile the model with what micro data say.
The paper introduces the socio-anthropological concept of international representations to examine the relationship between a civilizational rhetoric, the West European and the international politics of otherization and containment of Southeast Europe, and an essentialist and timeless bias in international relations theory, including both radical and constructivist trends...