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Search Results: 1 - 10 of 63152 matches for " Peter John "
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Valuing European Put Options under Skewness and Increasing [Excess] Kurtosis  [PDF]
John-Peter D. Chateau
Journal of Mathematical Finance (JMF) , 2014, DOI: 10.4236/jmf.2014.43015

To capture the impact of skewness and increase kurtosis on Black’s [1] European put values, we first substitute a Gram-Charlier (GC) distribution and next a Johnson distribution for Black’s Gaussian one. We introduce next each distribution in the option payoff and develop until the closedform expression of each put is arrived at. Finally, we estimate by simulations GC, Johnson and Black put options, choosing the latter one as benchmark. Simulation estimates encompassing both skewness and kurtosis show that, for at-the-money (ATM) or slightly in-the-money put values, 1) Black’s overvaluation with respect to Johnson puts is very significant and 2) its undervaluation with respect to GC ones remains moderate. Yet, by using the same skewness values for both GC and Johnson puts, we highlight the differences induced by increasing kurtosis between the two models. In this case, the GC overvaluation for ATM values is explained by value differences in the put time component. Yet, while both Black and GC values exhibit significant time decay close to expiry, Johnson’s ones remain stable up to maturity.

Pricing the Credit-Risk Put Embedded in Borrowers’ Extendible Credit Commitments, with Its Application to Basel-3 Micro-Prudential Regulation  [PDF]
John-Peter D. Chateau
Journal of Mathematical Finance (JMF) , 2016, DOI: 10.4236/jmf.2016.65052
Abstract: This research makes two contributions: 1) use a term structure framework to price analytically the put option implicit in borrowers’ extendible credit commitments and 2) use the latter to compute in a ratings-based model the capital charge corresponding to the credit-risk exposure of such commitments. Since the term structure of interest rates is stochastic, the zero-coupon bonds in the put closed-form solution delink discounting factor from the credit and funding rates that define the credit spread appearing in the put payoff. By essence, extendible commitments straddle the term-based commitment classification of Basel-3 simplified approach. To improve this, we formulate a ratings-based model that combines extendible put values with new coefficients (forward funding proportion and exposure at funding) as well as a matrix that captures credit-ratings migration over time. Moreover, the combination is versatile enough to deal with a borrower’s credit downgrade and its attendant incremental Basel-3 capital charge.
Bubble Wall Profiles in Supersymmetric Models
Peter John
Physics , 1999,
Abstract: We present solutions to the equations of motion for bubble wall profiles in the minimal and a non minimal supersymmetric extension of the Standard model. We discuss the method of the numerical approach and present results for the two models (MSSM and NMSSM). Calculations for the NMSSM were done in collaboration with S.J. Huber and M.G. Schmidt.
No Spontaneous CP Violation at Finite Temperature in the MSSM?
Peter John
Physics , 2000,
Abstract: In order to generate the baryon asymmetry of the Universe sufficiently strong CP violation is needed. It was therefore proposed that at finite temperature there might be spontaneous (transitional) CP violation within the bubble walls at the electroweak phase transition in supersymmetric models. We investigate this question in the MSSM.
Spontaneous Spin Polarization of Electrons by Diluted Magnetic Heterostructures  [PDF]
Chang Woo Lee, Amalorpavam John Peter
Journal of Modern Physics (JMP) , 2011, DOI: 10.4236/jmp.2011.211157
Abstract: The spin dependent electron transmission phenomenon in a diluted resonant semiconductor heterostructure is employed theoretically to investigate the output transmission current polarization at zero magnetic field. Transparency of electron transmission is calculated as a function of electron energy and the well width, within the one electron band approximation along with the spin orbit interaction. Enhanced spin-polarized resonant tunneling in the heterostructure due to Dresselhaus and Rashba spin-orbit coupling induced splitting of the resonant level is observed. We predict that a spin-polarized current spontaneously emerges in this heterostructure and we estimate theoretically that the polarization can reach 40%. This effect could be employed in the fabrication of spin filters, spin injectors and detectors based on non-magnetic semiconductors.
Kamuə Female Personal Names and Identity in Cultural Contexts  [PDF]
John Peter Wappa, Richard Sylvester Wada
Open Journal of Modern Linguistics (OJML) , 2019, DOI: 10.4236/ojml.2019.92011
Abstract: The study investigated the Kamu? female personal names as socio-cultural identity of the Kamu? people using the anthroponomastic framework. Sampling of about 72 participants and 12 domiciles of elders is interviewed from 12 villages to collect data for the study. The study was able to identify various types of female personal names of the Kamu? people to include birth order names, female twins names, circumstantial Kamu? female names and the Kamu? maiden personal names. In addition, they are mostly sentential and proverbial in nature except for the birth order names. They display the historical and socio-cultural identity of the Kamu? people and the Kamu? language.
Assessing Rainfall and Temperature Changes in Semi-Arid Areas of Tanzania  [PDF]
Peter Matata, Magreth Bushesha, John Msindai
American Journal of Climate Change (AJCC) , 2019, DOI: 10.4236/ajcc.2019.82010
Abstract: This paper examines the variability of rainfall and temperature in Igunga and Kishapu Districts using time series data (1985 to 2016) from Tanzania Meteorological Agency. The regression analysis results show rainfall variability of R2 = 0.096 in Igunga and R2 = 0.186 in Kishapu which implies that about 0.96% and 1.86% of the changes in rainfall across the districts are associated with changes in weather variables. A considerable change of amount of rains was evident in Igunga than in Kishapu District. In both districts there was a change of months with the most rains. Generally rainfall showed a decreasing trend in both districts. The paper also examined temperature trends in the two districts; the findings showed an increasing trend throughout October in both districts. From this point of view, higher temperatures can increase evapo-transpiration that in turn can have an effect on moisture for the crops adversely affecting pasture productivity for livestock, and leading to a shortage of water for both crops and livestock. Annual rainfall variability trends, however, increased indicating that annual variability was somewhat a common feature in the study districts. So, districts efforts should be directed towards the support of crop and livestock adjustments in order to buffer impacts of rainfall and temperature variability during critical periods for growing of crops and pastures.
Shields-Harary numbers of graphs with respect to continuous concave cost functions
John Holliday,Peter Johnson
International Journal of Mathematics and Mathematical Sciences , 2003, DOI: 10.1155/s0161171203212059
Abstract: The Shields-Harary numbers are a class of graph parameters that measure a certain kind of robustness of a graph, thought of as a network of fortified reservoirs, with reference to a given cost function. We prove a result about the Shields-Harary numbers with respect to concave continuous cost functions which will simplify the calculation of these numbers for certain classes of graphs, including graphs formed by two intersecting cliques, and complete multipartite graphs.
The Dormice (Myoxidae) of Southern Africa
Peter Webb,John Skinner
Hystrix : the Italian Journal of Mammalogy , 1995, DOI: 10.4404/hystrix-6.1-2-4042
Abstract: Very little is known about the dormice of Africa south of the Sahara, even their current classification is suspect. This paper summarises the information available in the literature on the four (probable) species of dormouse found in southern Africa. Mean body masses are approximately >55 g, 50 g, 27 g and <27 g in Graphiurus ocularis, G. platyops, G. murinus, and G. parvus respectively. All four species are silver-grey dorsally and buffy-white ventrally with varying degress of black around the eyes. G. ocularis and G. platyops prefer rocky hillsides and koppies while G. murinus and G. parvus are primarily arboreal. Breeding in southern Africa is probably limited to the warm, wet summer months with a normal litter size of three or four and one or two litters per year. At least in G. ocularis breeding pairs appear to be territorial. Torpor can be induced in individuals in captivity but the use and extent of hibernation in the wild depends on local climatic conditions. G. ocularis seems to be purely carnivorous while the other three species are omnivores. Riassunto I Mioxidi del Sud Africa - Molto poco è conosciuto sui mioxidi dell'Africa a sud del Sahara, persino la loro classificazione attuale è dubbia. Nel presente lavoro vengono riassunte le informazioni disponibili in letteratura sulle quattro (probabili) specie di mioxidi del Sud Africa. I pesi corporei medi sono approssimativamente superiori a 55 g, 50 g, 27 g ed inferiori a 27 g in Graphiurus ocularis, G. platyops, G. murinus e G. parvus rispettivamente. Tutte e quattro le specie presentano una colorazione grigio-argentea dorsalmente e bianco-marrone ventralmente con gradi variabili di nero intorno agli occhi. G. ocularis e G. parvus sono essenzialmente arborei. La riproduzione in sud Africa è probabilmente limitata ai caldi e umidi mesi estivi con una o due figliate per anno, costituite da tre o quattro piccoli. Almeno in G. ocularis le coppie riproduttive sembrano essere territoriali. I1 torpore può essere indotto in individui in cattività ma l'uso ed il grado di letargo in condizioni naturali dipendono da condizioni climatiche locali. G. ocularis sembra essere esclusivamente carnivoro mentre le altre tre specie sono onnivore.
Playing with the team: The Development of Communities of Practice in a Digital Storytelling Project
Peter John Westman
Digital Education Review , 2012,
Abstract: Since its emergence in the early 1990's, digital storytelling has been variouslyidentified as a new media practice, a consumer and community-led movement,and a textual system. However, given its relative nascent status, there remainsthe need for further academic research focusing on the different forms it hasassumed. During the spring/summer of 2011, I conducted an examination ofTaking the Field (TTF), a digital storytelling project that aims to celebrategrassroots cricket in the UK through the construction of stories by village andcounty-level clubs. In contrast to most previous projects that aim to have theparticipants “speak” by constructing their own stories, TTF stories are researchedand constructed by project staff with the assistance of the clubs.My research centers on the experiences of two clubs in the project, Blaina CC andSpondon CC, through interviews and elicitation techniques with club andcommunity members using the completed stories and the artifacts used in theirconstruction. Through the theoretical framework of Gell's anthropology of art, Iconsider how digital stories act as objects that mediate social agency during theircreation and how the structure of this type of project contributes to the formationof communities of practice in the 'performance' of collective identity.
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