Abstract We present a patient who developed an incisional hernia, from epigastrium to umbilicus, after omphalocele repair. The hernia gradually enlarged to a 10 cm × 10 cm defect with significant rectus abdominis muscle diastasis at the costal arch attachment point. At 6 years of age, the abdominal wall defect in the umbilical region was closed using the components separation technique. For the muscle defect of the epigastric region, composite flaps were made by suturing together the flap of the upper rectus abdominis muscle, after peeling it away from the costal arch attachment point, and the vertically inverted flap of the lower rectus abdominis fascia, created with a U-shaped incision. The composite flaps from each side were reversed in the midline to bring them closer and then sutured; the abdominal wall and skin were then closed. Five months after surgery, the patient had no recurrent incisional hernia and no wound complications.
This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in best approximation in an inner product space. Moreover, we applies “Dykstra’s cyclic projections algorithm” for its implementation. Numerical examples for application to an asymptotic expansion method in option pricing demonstrate the effectiveness of our scheme under Black-Scholes and SABR models.
This paper proposes a trading strategy that dynamically rebalances static super-replicating portfolios, which is very useful for both investment and hedging strategies. In order to investigate general properties of the strategy, we derive the Doob-Meyer decomposition for the value process without any specications of models under the continuous processes of the underlying variables. In particular, we find that the increasing part of the decomposition characterizes the performance of the strategy. Also, we obtain more concrete features for cross-currency and one-touch options based on our general framework. Moreover, numerical examples for cross-currency options demonstrate the effectiveness of our strategy for investment and hedging.
This paper proposes the optimal pricing bounds on barrier options in an environment where plain-vanilla options and no-touch options can be used as hedging instruments.
This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in best approximation in an inner product space . Moreover, we applies Dykstra's cyclic projections algorithm for its implementation. Numerical examples for application to an asymptotic expansion method in option pricing demonstrate the effectiveness of our scheme under Black-Scholes and SABR models.
This paper proposes a pricing methodology for barrier options using integral kernels, which is completely different from the standard approach that postulates a model.Our methodology is more attractive when the model of the standard approach can not be calibrated to the market price of a no-touch option, the most liquid exotic option in the the foreign exchange options market.Prices by our methodology are surely in the pricing bounds which are model-independently derived from super-/sub-replication using plain-vanilla options and no-touch options, while the mis-calibrated model may produce prices out of the bounds. This is demonstrated by the numerical examples.
This paper proposes a super-/sub-hedging strategy for a derivative on two underlying assets using Young's inequality.The strategy dose not depend on any model for the dependency between the underlying assets, but on their marginal distributions. The bounds enforced by the hedging portfolio is proved to be best possible by finding a joint distribution under which the price of the derivative equals to that of the portfolio. The hedging portfolio consists of derivatives on each underlying asset, which are more liquid in most markets.As examples, our strategy is applied to several exotic options such as quanto options, exchange options, basket options, forward starting options and knock-out options, which provides new or well-known results.
This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in best approximation in an inner product space . Moreover, we applies Dykstra's cyclic projections algorithm for its implementation. Numerical examples for application to an asymptotic expansion method in option pricing demonstrate the effectiveness of our scheme under Black-Scholes and SABR models.
This article proposes model-independent pricing bounds on quanto options and the corresponding replicating strategies, which are static strategies with portfolios consisting of plain vanilla options on the foreign asset and on the FX rate. Because they are model-independently derived, one can make profit without risk if quanto options are priced outside the bounds. Additionally, the pricing bounds can be improved if liquid quanto contracts, such as quanto forward contracts, are used for replication. Numerical examples compare our pricing bounds with the Black pricing formula and the same formula with an ad-hoc adjustment. It is found that prices produced by the Black formula with and without ad-hoc adjustments may be outside the model-independent pricing bounds, and that the pricing bounds with quanto forward contracts are substantially improved. TOPICS:Options, quantitative methods
