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1,618
A DelayTolerant Network Architecture for Challenged Internets
, 2003
"... The highly successful architecture and protocols of today’s Internet may operate poorly in environments characterized by very long delay paths and frequent network partitions. These problems are exacerbated by end nodes with limited power or memory resources. Often deployed in mobile and extreme env ..."
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Cited by 953 (12 self)
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The highly successful architecture and protocols of today’s Internet may operate poorly in environments characterized by very long delay paths and frequent network partitions. These problems are exacerbated by end nodes with limited power or memory resources. Often deployed in mobile and extreme
The Determinants of Credit Spread Changes.
 Journal of Finance
, 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
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Cited by 422 (2 self)
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treasuries. As a consequence, their portfolios become extremely sensitive to changes in credit spreads rather than changes in bond yields. The distinction between changes in credit spreads and changes in corporate yields is significant: while an adjusted R 2 of 60 percent is obtained when regressing high
c ○ 2005 The Review of Economic Studies Limited The Economics of Clear Advice and Extreme Options
, 2000
"... I study a principal–agent model in which the agent collects information and then chooses a verifiable action. I show that the principal can find it desirable to constrain the agent’s action set even though there is no disagreement about the ranking of actions ex post. The elimination or penalization ..."
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I study a principal–agent model in which the agent collects information and then chooses a verifiable action. I show that the principal can find it desirable to constrain the agent’s action set even though there is no disagreement about the ranking of actions ex post. The elimination or penalization of “intermediate” actions, which are optimal when information is poor, improves incentives for information collection. I characterize optimal action sets when the agent is infinitely risk averse with respect to income shocks and optimal incentive schemes when the agent is risk neutral. Give me a onehanded economist! All my economists say: “On the one hand..., but on the other hand... ” [Harry Truman] 1.
Global and regional climate changes due to black carbon,
 Nat. Geosci.,
, 2008
"... Figure 1: Global distribution of BC sources and radiative forcing. a, BC emission strength in tons per year from a study by Bond et al. Full size image (42 KB) Review Nature Geoscience 1, 221 227 (2008 Black carbon in soot is the dominant absorber of visible solar radiation in the atmosphere. Ant ..."
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Cited by 228 (5 self)
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of the semidirect effect is highly uncertain. Two extreme scenarios have been proposed for such feedbacks. For South Asia, GCM simulations suggest that a twoto threefold increase in soot loading (from present day levels) is sufficient to substantially weaken the monsoon circulation, decrease rainfall
Option Pricing with the Extreme Value Distributions by
, 2006
"... Recent events in financial markets have highlighted the frequency with which large scale financial losses occur. Extreme value theory focusses on the statistical properties of such extreme events. In this paper, extreme value distributions are applied in the context of option pricing. Analytic solut ..."
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Recent events in financial markets have highlighted the frequency with which large scale financial losses occur. Extreme value theory focusses on the statistical properties of such extreme events. In this paper, extreme value distributions are applied in the context of option pricing. Analytic
Pricing And Hedging Derivative Securities In Markets With Uncertain Volatilities
 Applied Mathematical Finance
, 1995
"... We present a model for pricing and hedging derivative securities and option portfolios in an environment where the volatility is not known precisely, but is assumed instead to lie between two extreme values oe min and oe max . These bounds could be inferred from extreme values of the implied volatil ..."
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Cited by 165 (3 self)
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We present a model for pricing and hedging derivative securities and option portfolios in an environment where the volatility is not known precisely, but is assumed instead to lie between two extreme values oe min and oe max . These bounds could be inferred from extreme values of the implied
The moment formula for implied volatility at extreme strikes
 Mathematical Finance
, 2004
"... Consider options on a nonnegative underlying random variable with arbitrary distribution. In the absence of arbitrage, we show that at any maturity T, the largestrike tail of the BlackScholes implied volatility skew is bounded by the square root of 2x/T, where x is logmoneyness. The smallest co ..."
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Cited by 84 (5 self)
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Consider options on a nonnegative underlying random variable with arbitrary distribution. In the absence of arbitrage, we show that at any maturity T, the largestrike tail of the BlackScholes implied volatility skew is bounded by the square root of 2x/T, where x is logmoneyness. The smallest
Ideological Containment: Islamic Extremism and the Option of Theological Dialogue
"... Abstract Islamic extremism is founded on a dualist worldview: the realm of truth and the sacred (dar al Islam) set in opposition to the realm of falsehood, chaos and war (dar al harb). An ideology of contestation underpins Islamist radicalisation. And Islamic political thought is inherently theolog ..."
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Abstract Islamic extremism is founded on a dualist worldview: the realm of truth and the sacred (dar al Islam) set in opposition to the realm of falsehood, chaos and war (dar al harb). An ideology of contestation underpins Islamist radicalisation. And Islamic political thought is inherently
A Continuity Correction For Discrete Barrier Options
 Mathematical Finance
, 1997
"... this paper, we introduce a simple continuity correction for approximate pricing of discrete barrier options. Our method uses formulas for the prices of continuous barrier options but shifts the barrier to correct for discrete monitoring. The shift is determined solely by the monitoring frequency, th ..."
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Cited by 81 (7 self)
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is accurate enough to correctly price barrier options in all but the most extreme circumstance; i.e., except when the price of the underlying asset nearly coincides with the barrier. Our analysis is based on the usual BlackScholes market assumptions (Black and Scholes 1973). In particular, the asset price
Results 1  10
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