Institution
Morgan Stanley (United States)
Company•New York, New York, United States•
About: Morgan Stanley (United States) is a company organization based out in New York, New York, United States. It is known for research contribution in the topics: Econometrics & Quadratic equation. The organization has 2 authors who have published 2 publications receiving 36 citations.
Papers
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TL;DR: The authors argue that the Federal Reserve can improve communication in the current environment by moving away from time-based forward guidance, clarifying how interest rates are likely to change given new information, and providing more information in the Summary of Economic Projections, and argue that, except under unusual circumstances, this is an imprudent strategy as it mutes the effect of macroeconomic news on interest rates and unnecessarily places restrictions on future Federal Reserve action when new information arrives.
37 citations
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03 May 2019TL;DR: The ever-increasing volume, variety, and velocity of threats dictates a big data problem in cybersecurity and necessitates deployment of AI and machine-learning algorithms, which introduces a new adversarial model, which is defined and discussed in this article.
Abstract: The ever-increasing volume, variety, and velocity of threats dictates a big data problem in cybersecurity and necessitates deployment of AI and machine-learning (ML) algorithms. The limitations and vulnerabilities of AI/ML systems, combined with complexity of data, introduce a new adversarial model, which is defined and discussed in this article.
6 citations
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01 Jan 2021TL;DR: In this paper, the joint Laplace Fourier transforms for quadratic variation and the stock were developed to study the multiple of the cap strike over the variance swap quote attaining a given percentage price reduction for the capped variance swap.
Abstract: Time changes of Brownian motion impose restrictive jump structures in the motion of asset prices. Quadratic variations also depart from time changes. Quadratic variation options are observed to have a nonlinear exposure to risk neutral skewness. Joint Laplace Fourier transforms for quadratic variation and the stock are developed. They are used to study the multiple of the cap strike over the variance swap quote attaining a given percentage price reduction for the capped variance swap. Market prices for out-of-the-money options on variance are observed to be above those delivered by the calibrated models. Bootstrapped data and simulated paths spaces are used to study the multiple of the dynamic hedge return desired by a quadratic variation contract. It is observed that the optimized hedge multiple in the bootstrapped data is near unity. Furthermore, more generally, it is exposures to negative cubic variations in path spaces that raise variance swap prices, lower hedge multiples, increase residual risk charges and gaps to the log contract hedge. A case can be made for both, the physical process being closer to a continuous time change of Brownian motion, while simultaneously risk neutrally this may not be the case. It is recognized that in the context of discrete time there are no issues related to equivalence of probabilities.
1 citations
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TL;DR: In this paper , the joint Laplace Fourier transform for quadratic variation and the stock was used to study the multiple of the cap strike over the variance swap quote attaining a given percentage price reduction for the capped variance swap.
Abstract: <p style='text-indent:20px;'>Time changes of Brownian motion impose restrictive jump structures in the motion of asset prices. Quadratic variations also depart from time changes. Quadratic variation options are observed to have a nonlinear exposure to risk neutral skewness. Joint Laplace Fourier transforms for quadratic variation and the stock are developed. They are used to study the multiple of the cap strike over the variance swap quote attaining a given percentage price reduction for the capped variance swap. Market prices for out-of-the-money options on variance are observed to be above those delivered by the calibrated models. Bootstrapped data and simulated paths spaces are used to study the multiple of the dynamic hedge return desired by a quadratic variation contract. It is observed that the optimized hedge multiple in the bootstrapped data is near unity. Furthermore, more generally, it is exposures to negative cubic variations in path spaces that raise variance swap prices, lower hedge multiples, increase residual risk charges and gaps to the log contract hedge. A case can be made for both, the physical process being closer to a continuous time change of Brownian motion, while simultaneously risk neutrally this may not be the case. It is recognized that in the context of discrete time there are no issues related to equivalence of probabilities.</p>
1 citations
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TL;DR: In this article , the authors compared two methods of mitigating wind induced vibrations in tall modular buildings: increasing core dimensions or the addition of auxiliary damping, and found that a 1% increase in damping achieves a similar level of acceleration reduction to approximately a 2100 mm increase in core breadth and depth.
1 citations
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