We provide a necessary and a sufficient condition on an individual’s expected utility function under which any zero-mean idiosyncratic risk increases cautiousness (the derivative of the reciprocal of the absolute risk aversion), which is the key determinant for this individual’s demand for options and portfolio insurance. JEL Classification Codes: D51, D58, D81, G11, G12, G13.

We review the literature on return and cash flow growth predictability form the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and countries. JEL classification: G10, G12, G14, G35.

It is shown that the absence of call spread, butterfly spread and calendar spread arbitrages is sufficient to exclude all static arbitrages from a set of option price quotes across strikes and maturities on a single underlier.  2005 Elsevier Inc. All rights reserved. JEL classification: G10; G12; G13; G14

Approximate Incremental Value-at-Risk formulae provide an easy-to-use preliminary guideline for risk allocation. Both the cases of risk adding and risk pooling are examined and beta-based formulae achieved. Results highlight how much the conditions for adding new risky positions are stronger than those required for risk pooling. JEL classification: C13; D81; G11; G12.

This paper develops a tractable dynamic term structure models under jump-diffusion and regime shifts with time varying transition probabilities. The model allows for regime-dependent jumps while both jump risk and regime-switching risk are priced. Closed form solution for the term structure is obtained for an affine-type model under loglinear approximation. JEL Classification: G12, E43, E52

In this study, a transcriptomic group classification based on a European population is tested on a Singapore cohort. The results highlight the genotype/phenotype correlation in a Southeast Asian population. The G1-G6 transcriptomic classification derived from hepatocellular carcinoma (HCC) resected from European patients, robustly reflected group-specific clinical/pathological features. We inve...

Social media has become a primary platform for the spread of information. Trending topics, which are breaking news and immediately popular stories, have become an attractive data source facilitating the spread of emerging issues. Motivated by the diverse trending topics covering from sports to politics, it is essential to help users find personalized trending topics. Since a topic in social med...

 Fitting a suitable covariance function for the correlation structure of spatial-temporal data requires de-trending the data. In this article, some potential models for spatial-temporal trend are presented. Eventually the best model will be announced for de-trending tropospheric ozone concentration data for the city of Tehran (Capital city of Iran). By using the selected trend model, some ...