infonet-economy

In this paper, a new technique for pricing of European and American Parisian options, that we call the québécoisation method, is developed. We study the pricing of Parisian options in a hyper-exponential jump-diffusion model using the double Laplace-Carson transform with respect to the time to maturity and the residual Parisian time (time to expiration of the Parisian window) of the…

There exist many popular crowdsourcing and social services (Volunteered Geographic Information (VGI)) to share information and documents such as Flickr, Foursquare, Twitter , Facebook, etc. They all use metadata, folksonomy and more importantly a geographic axis with GPS coordinates and/or geographic tags. Using this available folksonomy in VGI services we propose a logical approach…

The human knee joint is the largest and most complex joint of the human body. The interdependencies encountered in the musculoskeletal system are crucial in understanding musculoskeletal conditions. Patient-specific models are promising methods to unravel clinical diagnosis. However, as the range of medical and experimental data is expanding, it has become a challenge to integrate…

We propose the extraction of musculoskeletal structures (bones, muscles) from the lower limb, following three main objectives: development of an MRI protocol, processing and labelling of the image data, and the exploitation of multi-channel data during the segmentation of individual muscles. We propose an MR acquisition protocol that generates seamless, high-resolution images of…

We show that collateral plays an important role in the design of debt contracts, the provision of credit, and the incentives of lenders to monitor borrowers. Using a unique data set from a large bank containing timely assessments of collateral values, we find that the bank responded to a legal reform that exogenously reduced collateral values by increasing interest rates, tightening…

Two changes have ushered in a new era of analyzing the complex and interdependent world surrounding us. One is related to the increased influx of data, furnishing the raw material for this revolution that is now starting to impact economic thinking. The second change is due to a subtler reason: a paradigm shift in the analysis of complex systems.

The interconnectedness of the financial system is one of the main factors contributing to systemic risk. The financial crisis has shown how the network of intrafinancial exposures may, in times of systemic distress, amplify initially small shocks. In this work, the authors build on the DebtRank methodology by introducing the notion of a network of leverage and propose a two-round…