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The purpose of this study is to investigate hedging effectiveness of KOSPI200 index futures and options using three measures proposed by Fishburn (1977), Ederington (1979), and Howard and D’Antonio (1987). The comparison of hedging effectiveness is conducted based on the market prices of KOSPI200 index futures and options traded in Korea Exchange (KRX) between January of 2001 and January of 2011, during which bootstrapping method is utilized to make a dataset of 100,000 random samples with holding period of 1, 3, 6, and 12 months, respectively. We examine the hedging performance of hedge portfolios made of short futures, protective puts and covered calls respectively based on three hedging effectiveness measures.

One of our finding is that short futures hedging is better than options in minimizing total volatility risk as well as down-side risk, which is consistent to the previous researches. Also futures hedging is more effective in reducing the VaR than the others. Secondly, the optimal hedge ratios of futures in minimizing total risk and down-side risk are turned out to be 0.97~0.98 and 0.94~0.95 respectively. Third, OTM short call hedge is the best hedging instrument when hedgers would like to maximize the Sharpe ratio. Finally, protective put hedging strategy is in general inferior to the short futures and covered call hedge based on three hedging effectiveness measures.

The purpose of this monograph is to present the first English translation of a unique French colonial report on women living under colonial rule in West Africa.

The issue begins with a discussion of the contribution this report makes to the history of social development policy in Africa, and how it serves the on‐going critique of colonisation. This is followed by the English translation of the original report held in the National Archives of Senegal. The translation is accompanied by explanatory notes, translator’s comments, a glossary of African and technical terms, and a bibliography.

The discussion highlights contemporary social development policies and practices which featured in identical or similar forms in French colonial social policy.

As the report demonstrates, access to basic education and improving maternal/infant health care have dominated the social development agenda for women in sub‐Saharan Africa for over a century, and will continue to do so in the foreseeable future in the Millennium Development Goals which define the international community’s agenda for social development to 2015. The parallels between colonial and post‐colonial social policies in Africa raise questions about the philosophical and cultural foundations of contemporary social development policy in Africa and the direction policy is following in the 21st century.

Though the discussion adopts a consciously postcolonial perspective, the report that follows presents a consciously colonial view of the “Other”. Given the parallels identified here between contemporary and colonial policy‐making, this can only add to the value of the document in exploring the values that underpin contemporary social development practice.

Presents an inductive machine learning algorithm called CLIP3 (Cover learning using integer programming). CLIP3 is an extension of the CLILP2 algorithm. CLIP3 generates multiple rules for a given concept from two sets of discrete attribute data. It combines the best concepts of tree‐based and rule‐based algorithms to produce a highly reliable machine‐learning algorithm. The algorithm is run on the benchmark “MONK′s data sets”. Compares the results of standard machine learning algorithms such as the ID and AQ families of algorithms. The algorithm is also run on the breast cancer data set and the results are compared with C4.5 algorithm results.

The publish/subscribe paradigm is useful for content diffusion in the internet. The purpose of this paper is to propose subscription covering to reduce the size of routeing table and notification matching time.

The paper proposes a necessary and sufficient condition of correct routeing table configuration when using SSCBR algorithm.

Experiments show that both SSCBR and RSCBR can reduce the size of routeing table, network traffic and time.

All these experiments are based on high speed wireline network. For wireless network, the results may be different.

The paper proposes a necessary and sufficient condition of correct routeing table configuration when using SSCBR algorithm and can easily validate the correctness of brokers' routeing table through it. Because RSCBR calculates less subscription covering relation, its performance in network traffic and average notification processing time may be better than SSCBR in certain scenarios.

The purpose of this paper is to conduct an empirical analysis of the pattern of time value decay in listed equity options, considering both call and put options and different moneyness and maturity levels.

The research design is empirical, with great attention paid to creating a standardized measure of time value that can be both tracked over time for an individual option contract and meaningfully compared across two or more different option contracts.

The author finds that moneyness classification at the beginning of the holding period is the key determinant of the pattern of subsequent time decay. The type of option, call or put, and the maturity of the contract have surprisingly little relevance to the pattern of time decay “out-the-money contracts having similar patterns on average, regardless of whether they are calls or puts, 30-day or 60-day contracts.” More detailed analysis reveals that In-the-money and out-the-money contracts have slow time decay for most of the contract life, with a significant percentage of the time decay concentrated on the final day of the option. At-the-money contracts experience strong decay early in the life of the option.

The study is limited by not having intra-day data included to analyze more frequent price movements.

The results reported in the paper provide insight into issues of active management facing options traders, specifically choices such as the initial maturity of the option contract and rollover frequency.

Very few studies examine the important issue of how option time value behaves. Time value is the subjective part of the option contract value, and therefore very difficult to predict and understand. This paper provides insight into typical empirical patterns of time value behavior.

Deadlock is a rather undesirable phenomenon and must be well solved in flexible manufacturing systems (FMS). This paper aims to propose a general iterative deadlock control method for a class of generalized Petri nets (GPN), namely, G-systems, which can model an FMS with assembly and disassembly operations of multiple resource acquisition. When given an uncontrolled G-system prone to deadlocks, the work focuses on the synthesis of a near-optimal, non-blocking supervisor based on reachability graph (RG) analysis.

The concept of a global idle place (GIP) for an original uncontrolled G-system is presented. To simplify the RG computation of an uncontrolled G-system, a GIP is added temporarily to the net model during monitor computation steps. Starting with one token and then by gradually increasing the number of tokens in the GIP at each iteration step, the related net system is obtained. The minimal-covered-set of all bad markings of the related net system suffering from deadlock can be identified and then removed by additional monitors through an established place-invariant control method. Consequently, all related systems are live, and the GIP is finally removed when the non-blockingness of the controlled system is achieved. Meanwhile, the redundancy of monitors is also checked.

A typical G-system example is provided to demonstrate the applicability and effectiveness of the proposed method. Experiments show that the proposed method is easy to use and provides very high behavioral permissiveness for G-system. Generally, it can achieve an optimal or a near-optimal solution of the non-blocking supervisor.

In this work, the concept of GIP for G-systems is presented for synthesis non-blocking supervisors based on RG analysis. By using GIP, an effective deadlock control method is proposed. Generally, the proposed method can achieve an optimal or a near-optimal, non-blocking supervisor for an uncontrolled G-system prone to deadlocks.

A learning algorithm called CLILP2 (Cover Learning Using Integer Linear Programming) is applied to medical data to generate rules to recognize patients with coronary artery disease. The algorithm partitions a data set into subsets using features which best describe and distinguish a particular subset from all other subsets. These features are used to form the rules which can be used as the knowledge base of a diagnostic expert system. Results from the application of the algorithm to coronary artery stenosis data are compared with the results obtained from the existing expert system.

Like Rome, the University of Michigan's campus‐wide fiber optic network was not built in a day. During an intense three‐week period in May 1988, Pradeep Patel, Transmission Engineer at University Telecommunications, managed to squeeze in 210 hours to complete the detailed engineering plans for the campus‐wide fiber optic network. Prior to this period, Patel and other UMTel and Information Technology Division employees were involved in every stage of network specification and implementation. Designing a practical, workable cable layout for a network covering 25 miles and connecting 72 buildings was no small job.

A topical examination of the risks undertaken by United States financial institutions who undertake to carry accounts for foreign officials; with some helpful direction on detecting red flags when carrying these accounts.

Stock Participation Accreting Redemption Quarterly-pay Securities (SPARQS), a service mark of Morgan Stanley, represent another form of equity-linked structured notes. The SPARQS generally provide the investors with higher interest payments that substantially exceed the market interest rate for corresponding standard bonds, in exchange for a call feature. The call option limits the potential appreciation of the SPARQS in case the underlying common stock price rises. Moreover, the SPARQS are mandatorily convertible at maturity that entail more risk than ordinary debts due to the possibility that investors might not receive their principal amount in case the underlying common stock price declines. This paper derives a general pricing formula for the SPARQS using the binomial tree approach. An empirical test of a specific SPARQS issue indicates that the binomial tree model is quite accurate.