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- Wanntorp, Henrik, 1975-
(författare)
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Optimal Stopping and Model Robustness in Mathematical Finance
- 2008
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- Optimal stopping and mathematical finance are intimately connected since the value of an American option is given as the solution to an optimal stopping problem. Such a problem can be viewed as a game in which we are trying to maximize an expected reward. The solution involves finding the best possible strategy, or equivalently, an optimal stopping time for the game. Moreover, the reward corresponding to this optimal time should be determined. It is also of interest to know how the solution depends on the model parameters. For example, when pricing and hedging an American option, the volatility needs to be estimated and it is of great practical importance to know how the price and hedging portfolio are affected by a possible misspecification.The first paper of this thesis investigates the performance of the delta hedging strategy for a class of American options with non-convex payoffs. It turns out that an option writer who overestimates the volatility will obtain a superhedge for the option when using the misspecified hedging portfolio.In the second paper we consider the valuation of a so-called stock loan when the lender is allowed to issue a margin call. We show that the price of such an instrument is equivalent to that of an American down-and-out barrier option with a rebate. The value of this option is determined explicitly together with the optimal repayment strategy of the stock loan.The third paper considers the problem of how to optimally stop a Brownian bridge. A finite horizon optimal stopping problem like this can rarely be solved explicitly. However, one expects the value function and the optimal stopping boundary to satisfy a time-dependent free boundary problem. By assuming a special form of the boundary, we are able to transform this problem into one which does not depend on time and solving this we obtain candidates for the value function and the boundary. Using stochastic calculus we then verify that these indeed satisfy our original problem.In the fourth paper we consider an investor wanting to take advantage of a mispricing in the market by purchasing a bull spread, which is liquidated in case of a market downturn. We show that this can be formulated as an optimal stopping problem which we then, using similar techniques as in the third paper, solve explicitly.In the fifth and final paper we study convexity preservation of option prices in a model with jumps. This is done by finding a sufficient condition for the no-crossing property to hold in a jump-diffusion setting.
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- Ingefjord, Emma, et al.
(författare)
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Chefens roll i ett innovativt klimat : En studie om enhetschefens hantering av innovativt klimat i äldreomsorgen
- 2010
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- Bakgrund Äldreomsorgen står inför ständiga förändringar och i dagsläget neddragningar. I Norrköpings kommun har ett projekt startats för att kunna ta tillvara på personalens innovativa förmåga. Personalen verkar tillsammans med chefen i ett arbetsklimat som kan vara både bra och dåligt. Klimatet kan även präglas av om idéer kan genomföras mer eller mindre enkelt. Den här studien har gjorts för att bidra till att utöka kunskapen om enhetschefens roll i innovativa klimat i äldreomsorgen.Syfte Syftet med uppsatsen är att ta fram och sprida kunskap om enhetschefers roll i hanteringen av innovativt klimat.Genomförande Med hjälp av intervjuer med enhetschefer och idébärare från äldreomsorgen och personal på Pimm har vi gjort en fallstudie med fokus på enhetschefens hantering av innovativt klimat. Pimm är ett projekt som tillvaratar idéer från personal, brukare och anhöriga inom vård och omsorg. Via idéer som har blivit innovationer med hjälp av Pimm valdes de enheter som vi har studerat. Vi antog att de enheter, där innovationer framkommit, hade ett innovativt klimat.Resultat Enhetschefen har en roll i det innovativa klimatet, genom att kunna främja eller förhindra det. Klimatet i sin helhet skapar enhetschefen tillsammans med övriga anställda. Vi har kommit fram till att innovationer kan komma fram utan ett innovativt klimat samt att ett innovativt klimat inte alltid resulterar i innovationer.
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- Carro, Maria J., et al.
(författare)
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S-divisibility property and a Holmstedt type formula
- 1999
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Ingår i: Journal of Approximation Theory. - : Elsevier BV. - 0021-9045 .- 1096-0430. ; 98:1, s. 1-24
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Tidskriftsartikel (refereegranskat)abstract
- Given a conePof positive functions and an operatorS: →Pwith an additive group, we extend the concept ofK-divisibility to get some new formulas for theK-functional of finite families of lattices. Applications are given in the setting of rearrangement invariant spaces and weighted Lorentz spaces. As a consequence of our results, we also obtain a generalized Holmstedt formula due to Asekritova
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- Tasić, Magdalena, et al.
(författare)
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Copper(I) Catalyzed Decarboxylative Synthesis of Diareno[ a, e]cyclooctatetraenes
- 2022
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Ingår i: Journal of Organic Chemistry. - : American Chemical Society (ACS). - 0022-3263 .- 1520-6904. ; 87:11, s. 7501-7508
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Tidskriftsartikel (refereegranskat)abstract
- Diareno[a,e]cyclooctatetraenes find widespread applications as building blocks, ligands, and responsive cores in topologically switchable materials. However, current synthetic methods to these structures suffer from low yields or operational disadvantages. Here, we describe a practical three-step approach to diareno[a,e]cyclooctatetraenes using an efficient copper(I) catalyzed double decarboxylation as the key step. The sequence relies on cheap and abundant reagents, is readily performed on scale, and is amenable also to unsymmetrical derivatives that expand the utility of this intriguing class of structures.
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- Isomura, Kayoko, et al.
(författare)
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Metabolic and Cardiovascular Complications in Obsessive-Compulsive Disorder : A Total Population, Sibling Comparison Study With Long-Term Follow-up
- 2018
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Ingår i: Biological Psychiatry. - : Elsevier. - 0006-3223 .- 1873-2402. ; 84:5, s. 324-331
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Tidskriftsartikel (refereegranskat)abstract
- BACKGROUND: Obsessive-compulsive disorder (OCD) is associated with increased mortality, but the causes of this increase are poorly understood. This study examined whether OCD is associated with an increased risk of metabolic and cardiovascular complications.METHODS: Individuals diagnosed with OCD (n = 25,415) were identified from a cohort of 12,497,002 individuals living in Sweden between 1973 and 2013. Cox proportional hazard regression analyses were used to investigate the risk of metabolic and cardiovascular complications in OCD patients compared with the general population and unaffected full siblings of OCD individuals. Exploratory analyses were used to examine the effect of treatment with serotonin reuptake inhibitors, with or without antipsychotics, on the outcomes of interest.RESULTS: Individuals with OCD had a higher risk of any metabolic or cardiovascular complications compared with the general population (adjusted hazard ratio = 1.45; 95% confidence interval = 1.42-1.49) and their unaffected full siblings (adjusted hazard ratio = 1.47; 95% confidence interval = 1.40-1.54). In the fully adjusted sibling comparison models, patients had higher risks of obesity, type 2 diabetes mellitus, and circulatory system diseases. The risks were already evident from the beginning of the follow-up period and remained largely unchanged when excluding different groups of psychiatric comorbidities. Compared with patients who were not taking serotonin reuptake inhibitors, patients taking higher doses of serotonin reuptake inhibitors and who had a longer duration of treatment had significantly lower risks of metabolic and cardiovascular complications, regardless of whether they were also taking antipsychotics.CONCLUSIONS: OCD is associated with an increased risk of metabolic and cardiovascular complications. Our results underscore the importance of carefully monitoring metabolic and cardiovascular health in patients with OCD early in the course of the disorder.
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- Larsson Brelid, Pia, et al.
(författare)
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Acetylated wood – Results from long-term field tests
- 2007
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Ingår i: The Third European Conference on Wood Modification.. - : BC.
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Konferensbidrag (refereegranskat)abstract
- The effectiveness of acetylation as a method to increase the durability of wood has been demonstrated in several studies over the last sixty years, starting with pioneers like Tarkow, Stamm and Goldstein. Nevertheless, as acetylated wood has now reached large scale production, the importance of long term-field test data on the performance of acetylated wood has increased. Firstly, this paper will address a project started in 1991, where acetylated Scots pine is tested in a full EN 252 test. The test is still running in Nordic NWPC test fields, Simlångsdalen in Sweden and in Viikki, Finland. The results show that irrespectively of test field, pine wood test stakes with an acetylation level of about 22% (expressed as acetyl content) were as durable as the CCA treated wood at a high retention level (10.3 kg/m3) after 15 years in ground contact. Secondly, acetylated wood (acetyl content 22%) is also being evaluated under marine conditions in Kristineberg on the Swedish west coast, according to EN 275 (marine borer resistance). The test has been running since 1999 and the X-ray rating shows a slight attack by marine borers after eight years in test, whereas the untreated controls failed after only one year. If the acetylation (acetyl content 21%) is followed by a post treatment with melamine resin (weight gain 19%) no attack could be observed after eight years. Thirdly, coated acetylated pine panels were exposed on rigs 45º facing south for 13 years, according to an early version of EN 927-3 in Ultuna and Malmö. The results indicate that acetylated wood in combination with a proper coating system, gives a considerably longer service life of the panels as compared to coated unmodified panels.
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