Abstract:
The problem of quantile hedging for multiple assets derivatives in the Black-Scholes model with correlation is considered. Explicit formulas for the probability maximizing function and the cost reduction function are derived. Applicability of the results for the widely traded derivatives as digital, quantos, outperformance and spread options is shown.

Abstract:
The risk minimizing problem $\mathbf{E}[l((H-X_T^{x,\pi})^{+})]\overset{\pi}{\longrightarrow}\min$ in the Black-Scholes framework with correlation is studied. General formulas for the minimal risk function and the cost reduction function for the option $H$ depending on multiple underlying are derived. The case of a linear and a strictly convex loss function $l$ are examined. Explicit computation for $l(x)=x$ and $l(x)=x^p$, with $p>1$ for digital, quantos, outperformance and spread options are presented. The method is based on the quantile hedging approach presented in \cite{FL1}, \cite{FL2} and developed for the multidimensional options in \cite{Barski}.

Abstract:
Arora, Barak, Brunnermeier, and Ge showed that taking computational complexity into account, a dishonest seller could dramatically increase the lemon costs of a family of financial derivatives. We show that if the seller is required to construct derivatives of a certain form, then this phenomenon disappears. In particular, we define and construct pseudorandom derivative families, for which lemon placement only slightly affects the values of the derivatives. Our constructions use expander graphs. We study our derivatives in a more general setting than Arora et al. In particular, we analyze entire collateralized debt obligations (CDOs) when the underlying assets can have significant dependencies.

Abstract:
The effect of self-default on the valuation of liabilities and derivatives (DVA) has been widely discussed but the effect on assets has not received similar attention. Any asset whose value depends on the status, or existence, of the firm will have a DVA. We extend (Burgard and Kjaer 2011) to provide a hedging strategy for such assets and provide an in-depth example from the balance sheet (Goodwill). We calibrate our model to seven US banks over the crisis period of mid-2007 to 2011. This suggests that their reported profits would have changed significantly if DVA on assets, as well as liabilities, was included - unless the DVA was hedged.

Abstract:
Derivatives, as it is well known, are used in hedging transactions, as well as in speculative ones. Some types of pricing are made for speculative or even criminal purposes: Russell Sage (1816-1906), US financier. A variety of measures such as the Jensen's Alpha, the Sharpe Index and the Value at Risk, commonly used in portfolio evaluation, are misleading in presence of derivatives. The hidden risk may suddenly have dramatic consequences (Barone Adesi, G. (2004)). From this perspective, this paper does not consider information asymmetry but aims at showing how, through derivatives and options in particular, it is possible to build strategies that are independent from the trend of underlying assets. This feature was at first proved in Barone, E.- Olivieri, G. (2009) and is investigated much more in details in this study.

Abstract:
In this article, we combine replication pricing with expectation pricing for derivative trades that are partially collateralized by cash. The derivatives are replicated by underlying assets and cash, using repurchasing agreement (repo) and margining, which incur funding costs. We derive a partial differential equation (PDE) for the derivatives price, obtain and decompose its solution into the risk-free value of the derivative plus credit valuation adjustment (CVA) and funding valuation adjustment (FVA). For most derivatives, as we shall show, CVAs can be evaluated analytically or semi-analytically, while FVAs, as well as the derivatives values, will have to be solved recursively through numerical procedures due to their interdependence. In numerical demonstrations, continuous and discrete margin revisions are considered, respectively, for an equity call option and a vanilla interest-rate swaps.

Abstract:
Risk stratification is most directly and informatively summarized as a risk distribution curve. From this curve the ROC curve, predictiveness curve, and other curves depicting risk stratification can be derived, demonstrating that they present similar information. A mathematical expression for the ROC curve AUC is derived which clarifies how this measure of discrimination quantifies the overlap between patients who have and don't have events. This expression is used to define the positive correlation between the dispersion of the risk distribution curve and the ROC curve AUC. As more disperse risk distributions and greater separation between patients with and without events characterize superior risk stratification, the ROC curve AUC provides useful information.

Abstract:
This paper studies the impact of dry markets for underlying assets on the optimal stopping time and optimal exercise policy of American derivatives. We consider that the underlying is transacted at all points in time except for a subset of dates, for which there is an exogenous probability that trading may exist. Using superreplicating strategies, we derive expectation representations for the range of arbitrage-free values of the derivatives. For arbitrary probability, an enlarged filtration jointly induced by the price process and the market existence process makes ordinary stopping times sufficient to characterize such representation. For the deterministic case where the probability is zero, randomized stopping times are required. Several comparisons of the ranges obtained with the two market restrictions are performed. Finally, we conclude that market incompleteness caused by dryness may delay the optimal exercise of American derivatives.

Abstract:
This article compares the stock market efficiency of Brazil, Russia, India and China (commonly referred to as BRIC). The profitability of trading rules associated with the Simple Moving Average (SMA), the Relative Strength Index (RSI), the Moving Average Convergence Divergence (MACD) and the Momentum (MOM) are evaluated. It is found that these indicators are most profitable in the Russian stock market. The Brazilian stock market is found to be the most efficient market among the BRIC. An explanation for such a discrepancy is provided.

Abstract:
The purpose of the study was to assess the spatial and temporal distribution of fallow land in Zimbabwean communal lands and the underlying causes against a backdrop of reports of an increasing proportion of agricultural land being left fallow, which has also been reported in other parts of Africa. Chivi district, that is located in the south central part of the country, was used as a case study. Landsat images complemented by field assessments were used to assess changes in fallow land between 1984 and 2010. Standard soil and social science analysis methods were used to assess the likely biophysical and/ or socio-economic causes. The proportion of fallow land was found to increase up to 51.5% during the period, mainly because of socio-economic rather than biophysical factors. Draught power shortage was ranked as the major cause (34%) followed by labor shortage (24%), lack of inputs (22%), and poor soil fertility (16%). Drought was ranked lowest at 4%. Fallow land was mainly used for grazing, which however was of poor quality. The paper concludes that the problem of agricultural land being left fallow land can be solved by seeking alternative land uses other than cropping.