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Die Bewertung von komplex strukturierten Produkten mit frühzeitigen Ausübungs- oder Kündigungsrechten (Amerikanische Optionen und Swing-Energie-Optionen) ist besonders wichtig für den Wertpapierhandel und Energiehandel. Solche Produkte erlauben es dem Käufer, bis zum Fälligkeitsdatum eine Folge von Auszahlungen bzw. Energieeinheiten abzurufen. Zur Absicherung und zum Management von Portfolios ist die Auswertung von Sensitivitäten obiger Produkte („Griechen”) auch wichtig, insbesondere für höherdimensionale Derivate. Für neue Anwendungen in Energiemärkten werden die obigen Methoden auf allgemeine Kontrollprobleme erweitert.
Monte-Carlo basierte Methoden, insbesondere neuartige Multilevel Monte Carlo Methoden, sind in letzter Zeit, gerade für höherdimensionale Probleme, im Vergleich zu anderen numerischen Methoden sehr attraktiv geworden. Der Grund liegt in der Unabhängigkeit der Konvergenzraten von Monte-Carlo-Methoden von der Anzahl der Zustandsvariablen d.h. von der Dimension.
Unsere neuartigen Monte-Carlo-Verfahren zur Bewertung von hochdimensionalen kündbaren oder ausübbaren Finanzinstrumenten haben zur intensiven Kooperation mit Finanzinstituten geführt, z.B. bei der Bewertung von „Snowballs” und anderen komplex strukturierten Produkten. In diesem Zusammenhang sind neue Methoden zur Berechnung von oberen Schranken, iterative Methoden zur Berechnung von unteren Schranken entwickelt und eingesetzt worden. Mit Hilfe von neu entwickelten Dualitätsansätzen in der Optimalen Steuerung (mehrfaches Stoppen) konnten Swingoptionen in Elektrizitätsmärkten bewertet werden, die einer Vielfalt von Volumen- und Refraktierungsbedingungen unterliegen. Ferner ist einen Algorithmus für die optimale Steuerung von Elektrizitäts-Wasserspeicher entwickelt, analysiert, und implementiert worden.
D. Belomestny, R. Hildebrand, J.G.M. Schoenmakers, Optimal stopping via pathwise dual empirical maximisation, Applied Mathematics and Optimization. An International Journal with Applications to Stochastics, pp. published online on 08.11.2017, urlhttps://doi.org/10.1007/s00245-017-9454-9, DOI 10.1007/s00245-017-9454-9 .
The optimal stopping problem arising in the pricing of American options can be tackled by the so called dual martingale approach. In this approach, a dual problem is formulated over the space of martingales. A feasible solution of the dual problem yields an upper bound for the solution of the original primal problem. In practice, the optimization is performed over a finite-dimensional subspace of martingales. A sample of paths of the underlying stochastic process is produced by a Monte-Carlo simulation, and the expectation is replaced by the empirical mean. As a rule the resulting optimization problem, which can be written as a linear program, yields a martingale such that the variance of the obtained estimator can be large. In order to decrease this variance, a penalizing term can be added to the objective function of the path-wise optimization problem. In this paper, we provide a rigorous analysis of the optimization problems obtained by adding different penalty functions. In particular, a convergence analysis implies that it is better to minimize the empirical maximum instead of the empirical mean. Numerical simulations confirm the variance reduction effect of the new approach.
We consider the problem of pricing basket options in a multivariate Black Sc- holes or Variance Gamma model. From a numerical point of view, pricing such options corresponds to moderate and high dimensional numerical integration problems with non- smooth integrands. Due to this lack of regularity, higher order numerical integration tech- niques may not be directly available, requiring the use of methods like Monte Carlo specif- ically designed to work for non-regular problems. We propose to use the inherent smooth- ing property of the density of the underlying in the above models to mollify the payo ff function by means of an exact conditional expectation. The resulting conditional expec- tation is unbiased and yields a smooth integrand, which is amenable to the e ffi cient use of adaptive sparse grid cubature. Numerical examples indicate that the high-order method may perform orders of magnitude faster compared to Monte Carlo or Quasi Monte Carlo in dimensions up to 25.
F. Dickmann, N. Schweizer, Faster comparison of stopping times by nested conditional Monte Carlo, Journal of Computational Finance, 20 (2016), (24).
D. Belomestny, F. Dickmann, T. Nagapetyan, Pricing Bermudan options via multilevel approximation methods, SIAM Journal on Financial Mathematics, ISSN 1945-497X, 6 (2015), pp. 448--466.
In this article we propose a novel approach to reducing the computational complexity of various approximation methods for pricing discrete time American or Bermudan options. Given a sequence of continuation values estimates corresponding to different levels of spatial approximation, we propose a multilevel low biased estimate for the price of the option. It turns out that the resulting complexity gain can be of order ? ?1 with ? denoting the desired precision. The performance of the proposed multilevel algorithms is illustrated by a numerical example.
D. Belomestny, M. Ladkau, J.G.M. Schoenmakers, Simulation based policy iteration for American style derivatives -- A multilevel approach, SIAM ASA J. Uncertainty Quantification, 3 (2015), pp. 460--483.
This paper presents a novel approach to reduce the complexity of simulation based policy iteration methods for pricing American options. Typically, Monte Carlo construction of an improved policy gives rise to a nested simulation algorithm for the price of the American product. In this respect our new approach uses the multilevel idea in the context of the inner simulations required, where each level corresponds to a specific number of inner simulations. A thorough analysis of the crucial convergence rates in the respective multilevel policy improvement algorithm is presented. A detailed complexity analysis shows that a significant reduction in computational effort can be achieved in comparison to standard Monte Carlo based policy iteration.
CH. Bender, J.G.M. Schoenmakers, J. Zhang, Dual representations for general multiple stopping problems, Mathematical Finance. An International Journal of Mathematics, Statistics and Financial Economics, 25 (2015), pp. 339--370.
In this paper, we study the dual representation for generalized multiple stopping problems, hence the pricing problem of general multiple exercise options. We derive a dual representation which allows for cashflows which are subject to volume constraints modeled by integer valued adapted processes and refraction periods modeled by stopping times. As such, this extends the works by Schoenmakers , Bender [2011a], Bender [2011b], Aleksandrov and Hambly  and Meinshausen and Hambly  on multiple exercise options, which either take into consideration a refraction period or volume constraints, but not both simultaneously. We also allow more flexible cashflow structures than the additive structure in the above references. For example some exponential utility problems are covered by our setting. We supplement the theoretical results with an explicit Monte Carlo algorithm for constructing confidence intervals for the price of multiple exercise options and exemplify it by a numerical study on the pricing of a swing option in an electricity market.
In this article we propose a novel approach to reduce the computational complexity of the dual method for pricing American options. We consider a sequence of martingales that converges to a given target martingale and decompose the original dual representation into a sum of representations that correspond to different levels of approximation to the target martingale. By next replacing in each representation true conditional expectations with their Monte Carlo estimates, we arrive at what one may call a multilevel dual Monte Carlo algorithm. The analysis of this algorithm reveals that the computational complexity of getting the corresponding target upper bound, due to the target martingale, can be significantly reduced. In particular, it turns out that using our new approach, we may construct a multilevel version of the well-known nested Monte Carlo algorithm of Andersen and Broadie (2004) that is, regarding complexity, virtually equivalent to a non-nested algorithm. The performance of this multilevel algorithm is illustrated by a numerical example.
In this paper we introduce and study the concept of optimal and surely optimal dual martingales in the context of dual valuation of Bermudan options. We provide a theorem which give conditions for a martingale to be surely optimal, and a stability theorem concerning martingales which are near to be surely optimal in a sense. Guided by these theorems we develop a regression based backward construction of such a martingale in a Wiener environment. In turn this martingale may be utilized for computing upper bounds by non-nested Monte Carlo. As a by-product, the algorithm also provides approximations to continuation values of the product, which in turn determine a stopping policy. Hence, we obtain lower bounds at the same time. The proposed algorithm is pure dual in the sense that it doesn't require an (input) approximation to the Snell envelope, is quite easy to implement, and in a numerical study we show that, regarding the computed upper bounds, it is comparable with the method of Belomestny, et. al. (2009).
A. Mahayni, J.G.M. Schoenmakers, Minimum return guarantees with funds switching rights --- An optimal stopping problem, Journal of Economic Dynamics & Control, 35 (2012), pp. 1880--1897.
Recently, there is a growing trend to offer guarantee products where the investor is allowed to shift her account/investment value between multiple funds. The switching right is granted a finite number per year, i.e. it is American style with multiple exercise possibilities. In consequence, the pricing and the risk management is based on the switching strategy which maximizes the value of the guarantee put option. We analyze the optimal stopping problem in the case of one switching right within different model classes and compare the exact price with the lower price bound implied by the optimal deterministic switching time. We show that, within the class of log-price processes with independent increments, the stopping problem is solved by a deterministic stopping time if (and only if) the price process is in addition continuous. Thus, in a sense, the Black & Scholes model is the only (meaningful) pricing model where the lower price bound gives the exact price. It turns out that even moderate deviations from the Black & Scholes model assumptions give a lower price bound which is really below the exact price. This is illustrated by means of a stylized stochastic volatility model setup.
J.G.M. Schoenmakers, A pure martingale dual for multiple stopping, Finance and Stochastics, 16 (2012), pp. 319--334.
In this paper we present a dual representation for the multiple stopping problem, hence multiple exercise options. As such it is a natural generalization of the method in Rogers (2002) and Haugh and Kogan (2004) for the standard stopping problem for American options. We consider this representation as the real dual as it is solely expressed in terms of an infimum over martingales rather than an infimum over martingales and stopping times as in Meinshausen and Hambly (2004). For the multiple dual representation we present three Monte Carlo simulation algorithms which require only one degree of nesting.
In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical treatment in real situations. To this aim, generalizations of standard evaluation methods like policy iteration, dual and consumption based approaches are developed in the context of general dynamic monetary utility functionals. As a result, it turns out that the possibility of a particular generalization depends on specific properties of the utility functional under consideration.
In this paper we develop several regression algorithms for solving general stochastic optimal control problems via Monte Carlo. This type of algorithms is particulary useful for problems with a high-dimensional state space and complex dependence structure of the underlying Markov process with respect to some control. The main idea behind the algorithms is to simulate a set of trajectories under some reference measure and to use the Bellman principle combined with fast methods for approximating conditional expectations and functional optimization. Theoretical properties of the presented algorithms are investigated and the convergence to the optimal solution is proved under mild assumptions. Finally, we present numerical results for the problem of pricing a high-dimensional Bermudan basket option under transaction costs in a financial market with a large investor.
In this article we propose several pathwise and finite difference based methods for calculating sensitivities of Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic representations which allows, in combination with a regression approach, an efficient simultaneous computation of sensitivities at all initial positions. Assuming that the price of a Bermudan option can be evaluated sufficiently accurate, we develop a method for constructing deltas based on least squares. We finally propose a testing procedure for assessing the performance of the developed methods.
D. Belomestny, J. Kampen, J.G.M. Schoenmakers, Holomorphic transforms with application to affine processes, Journal of Functional Analysis, 257 (2009), pp. 1222--1250.
D. Belomestny, Ch. Bender, J.G.M. Schoenmakers, True upper bounds for Bermudan products via non-nested Monte Carlo, Mathematical Finance. An International Journal of Mathematics, Statistics and Financial Economics, 19 (2009), pp. 53--71.
We present a generic non-nested Monte Carlo procedure for computing true upper bounds for Bermudan products, given an approximation of the Snell envelope. The pleonastic “true” stresses that, by construction, the estimator is biased above the Snell envelope. The key idea is a regression estimator for the Doob martingale part of the approximative Snell envelope, which preserves the martingale property. The so constructed martingale may be employed for computing dual upper bounds without nested simulation. In general, this martingale can also be used as a control variate for simulation of conditional expectations. In this context, we develop a variance reduced version of the nested primal-dual estimator (Anderson & Broadie (2004)) and nested consumption based (Belomestny & Milstein (2006)) methods . Numerical experiments indicate the efficiency of the non-nested Monte Carlo algorithm and the variance reduced nested one.
J. Kampen, A. Kolodko, J.G.M. Schoenmakers, Monte Carlo Greeks for financial products via approximative transition densities, SIAM Journal on Scientific Computing, 31 (2008), pp. 1--22.
CH. Bender, A. Kolodko, J.G.M. Schoenmakers, Enhanced policy iteration for American options via scenario selection, Quantitative Finance, 8 (2008), pp. 135--146.
In Kolodko & Schoenmakers (2004) and Bender & Schoenmakers (2004) a policy iteration was introduced which allows to achieve tight lower approximations of the price for early exercise options via a nested Monte-Carlo simulation in a Markovian setting. In this paper we enhance the algorithm by a scenario selection method. It is demonstrated by numerical examples that the scenario selection can significantly reduce the number of actually performed inner simulations, and thus can heavily speed up the method (up to factor 10 in some examples). Moreover, it is shown that the modified algorithm retains the desirable properties of the original one such as the monotone improvement property, termination after a finite number of iteration steps, and numerical stability.
CH. Fries, J. Kampen, Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation, Journal of Computational Finance, 10 (2007), pp. 97--128.
We consider a generic framework for generating likelihood ratio weighted Monte Carlo simulation paths, where we use one simulation scheme (proxy scheme) to generate realizations and then reinterpret them as realizations of another scheme (target scheme) by adjusting measure (via likelihood ratio) to match the distribution. This makes the approach independent of the product (the function f) and even of the model, it only depends on the numerical scheme. The approach is essentially a numerical version of the likelihood ratio method and Malliavin's Calculus reconsidered on the level of the discrete numerical simulation scheme. Since the numerical scheme represents a time discrete stochastic process sampled on a discrete probability space the essence of the method may be motivated without a deeper mathematical understanding of the time continuous theory (e.g. Malliavin's Calculus). The framework is completely generic and may be used for high accuracy drift approximations, process oriented importance sampling and the robust calculation of partial derivatives of expectations w.r.t. model parameters (i.e. sensitivities, aka. Greeks) by applying finite differences by reevaluating the expectation with a model with shifted parameters. We present numerical results using a Monte-Carlo simulation of the LIBOR Market Model for benchmarking.
G.N. Milstein, J.G.M. Schoenmakers, V. Spokoiny, Forward and reverse representations for Markov chains, Stochastic Processes and their Applications, 117 (2007), pp. 1052--1075.
In this paper we carry over the concept of reverse probabilistic representations developed in Milstein, Schoenmakers, Spokoiny (2004) for diffusion processes, to discrete time Markov chains. We outline the construction of reverse chains in several situations and apply this to processes which are connected with jump-diffusion models and finite state Markov chains. By combining forward and reverse representations we then construct transition density estimators for chains which have root-N accuracy in any dimension and consider some applications.
A. Kolodko, J.G.M. Schoenmakers, Iterative construction of the optimal Bermudan stopping time, Finance and Stochastics, 10 (2006), pp. 27--49.
We present an iterative procedure for computing the optimal Bermudan stopping time, hence the Bermudan Snell envelope. The method produces an increasing sequence of approximations of the Snell envelope from below, which coincide with the Snell envelope after finitely many steps. Then, by duality, the method induces a convergent sequence of upper bounds as well. In a Markovian setting the presented procedure allows to calculate approximative solutions with only a few nestings of conditional expectations and is therefore tailor-made for a plain Monte Carlo implementation. The method may be considered generic for all discrete optimal stopping problems. The power of the procedure is demonstrated for Bermudan swaptions in a full factor LIBOR market model.
D. Belomestny, G.N. Milstein, Monte Carlo evaluation of American options using consumption processes, International Journal of Theoretical and Applied Finance, 9 (2006), pp. 455--481.
We develop a new approach for pricing both continuous-time and discrete-time American options which is based on the fact that any American option is equivalent to a European one with a consumption process involved. This approach admits the construction of an upper bound (a lower bound) on the true price using some lower bound (an upper bound) by Monte Carlo simulation. A number of effective estimators of upper and lower bounds with the reduced variance are proposed. The method is supported by numerical experiments which look promising.
CH. Bender, A. Kolodko, J.G.M. Schoenmakers, Iterating cancelable snowballs and related exotics, Risk Magazine, 9 (2006), pp. 126--130.
Effective valuation procedures for callable exotics are a thorny problem. Standard methods reveal limitations in pricing many-dimensional and path-dependent products, such as cancellable snowballs. Christian Bender, Anastasia Kolodko and John Schoenmakers ally these methods with their recent iterative methodology to fill the final gap.
CH. Bender, A. Kolodko, J.G.M. Schoenmakers, Policy iteration for American options: Overview, Monte Carlo Methods and Applications, 12 (2006), pp. 347--362.
This paper is an overview of recent results by Kolodko and Schoenmakers (2006), Bender and Schoenmakers (2006) on the evaluation of options with early exercise opportunities via policy improvement. Stability is discussed and simulation results based on plain Monte Carlo estimators for conditional expectations are presented.
CH. Bender, J.G.M. Schoenmakers, An iterative method for multiple stopping: Convergence and stability, Advances in Applied Probability, 38 (2006), pp. 729--749, DOI 10.1239/aap/1158684999 .
We present a new iterative procedure for solving the multiple stopping problem in discrete time and discuss the stability of the algorithm. The algorithm produces monotonically increasing approximations of the Snell envelope, which coincide with the Snell envelope after finitely many steps. Contrary to backward dynamic programming, the algorithm allows to calculate approximative solutions with only a few nestings of conditional expectations and is, therefore, tailor-made for a plain Monte-Carlo implementation.
A. Kolodko, J.G.M. Schoenmakers, Upper bounds for Bermudan style derivatives, Monte Carlo Methods and Applications, 10 (2004), pp. 331-343.
Based on a duality approach for Monte Carlo construction of upper bounds for American/Bermudan derivatives (Rogers, Haugh & Kogan), we present a new algorithm for computing dual upper bounds in a more e?cient way. The method is applied to Bermudan swaptions in the context of a LIBOR market model, where the dual upper bound is constructed from the maximum of still alive swaptions. We give a numerical comparison with Andersen's lower bound method.
G.N. Milstein, O. Reiss, J.G.M. Schoenmakers, A new Monte Carlo method for American options, International Journal of Theoretical and Applied Finance, 7 (2004), pp. 591--614, DOI 10.1142/S0219024904002554 .
We introduce a new Monte Carlo method for constructing the exercise boundary of an American option in a generalized Black-Scholes framework. Based on a known exercise boundary, it is shown how to price and hedge the American option by Monte Carlo simulation of suitable probabilistic representations in connection with the respective parabolic boundary value problem. The method presented is supported by numerical experiments.
G.N. Milstein, J.G.M. Schoenmakers, V. Spokoiny, Transition density estimation for stochastic differential equations via forward-reverse representations, Bernoulli. Official Journal of the Bernoulli Society for Mathematical Statistics and Probability, 10 (2004), pp. 281--312.
The general reverse diffusion equations are derived and applied to the problem of transition density estimation of diffusion processes between two fixed states. For this problem we propose density estimation based on forward?reverse representations and show that this method allows essentially better results to be achieved than the usual kernel or projection estimation based on forward representations only.
We study several lognormal approximations for LIBOR market models, where special attention is paid to their simulation by direct methods and lognormal random fields. In contrast to conventional numerical solution of SDE's this approach simulates the solution directly at a desired point in time and therefore may be more efficient. As such the proposed approximations provide valuable alternatives to the Euler method, in particular for long dated instruments. We carry out a path-wise comparison of the different lognormal approximations with the 'exact' SDE solution obtained by the Euler scheme using sufficiently small time steps. Also we test approximations obtained via numerical solution of the SDE by the Euler method, using larger time steps. It turns out that for typical volatilities observed in practice, improved versions of the lognormal approximation proposed by Brace, Gatarek and Musiela, citeBrace, appear to have excellent path-wise accuracy. We found out that this accuracy can also be achieved by Euler stepping the SDE using larger time steps, however, from a comparative cost analysis it follows that, particularly for long maturity options, the latter method is more time consuming than the lognormal approximation. We conclude with applications to some example LIBOR derivatives.
For evaluating a hedging strategy we have to know at every moment the solution of the Cauchy problem for a corresponding parabolic equation (the value of the hedging portfolio) and its derivatives (the deltas). We suggest to find these quantities by Monte Carlo simulation of the corresponding system of stochastic differential equations using weak solution schemes. It turns out that with one and the same control function a variance reduction can be achieved simultaneously for the claim value as well as for the deltas. As illustrations we consider a Markovian multi-asset model with an instantaneously riskless saving bond and also some applications to the LIBOR rate model of Brace, Gatarek, Musiela and Jamshidian.
D. Becherer, J.G.M. Schoenmakers, E3 -- Stochastic simulation methods for optimal stopping and control -- Towards multilevel approaches, in: MATHEON -- Mathematics for Key Technologies, M. Grötschel, D. Hömberg, J. Sprekels, V. Mehrmann ET AL., eds., 1 of EMS Series in Industrial and Applied Mathematics, European Mathematical Society Publishing House, Zurich, 2014, pp. 317--331.
J.G.M. Schoenmakers, Optionsbewertung, in: Besser als Mathe --- Moderne angewandte Mathematik aus dem MATHEON zum Mitmachen, K. Biermann, M. Grötschel, B. Lutz-Westphal, eds., Reihe: Populär, Vieweg+Teubner, Wiesbaden, 2010, pp. 187--192.
J. Kampen, On optimal strategies of multivariate passport options, in: Progress in Industrial Mathematics at ECMI 2006, L.L. Bonilla, M. Moscoso, G. Platero, J.M. Vega, eds., 12 of Mathematics in Industry, Springer, Berlin, Heidelberg, 2008, pp. 666--670.
C. Croitoru, Ch. Fries, W. Jäger, J. Kampen, D.-J. Nonnenmacher, On the dynamics of the forward interest rate curve and the evaluation of interest rate derivatives and their sensitivities, in: Mathematics --- Key Technology for the Future, W. Jäger, H.-J. Krebs, eds., Springer, Heidelberg, 2008, pp. 343--357.
CH. Bayer, M. Redmann, J.G.M. Schoenmakers, Dynamic programming for optimal stopping via pseudo-regression, Preprint no. 2532, WIAS, Berlin, 2018, DOI 10.20347/WIAS.PREPRINT.2532 .
We introduce new variants of classical regression-based algorithms for optimal stopping problems based on computation of regression coefficients by Monte Carlo approximation of the corresponding L2 inner products instead of the least-squares error functional. Coupled with new proposals for simulation of the underlying samples, we call the approach "pseudo regression". We show that the approach leads to asymptotically smaller errors, as well as less computational cost. The analysis is justified by numerical examples.
D. Belomestny, J.G.M. Schoenmakers, V. Spokoiny, Y. Tavyrikov, Optimal stopping via deeply boosted backward regression, Preprint no. 2530, WIAS, Berlin, 2018, DOI 10.20347/WIAS.PREPRINT.2530 .
In this note we propose a new approach towards solving numerically optimal stopping problems via boosted regression based Monte Carlo algorithms. The main idea of the method is to boost standard linear regression algorithms in each backward induction step by adding new basis functions based on previously estimated continuation values. The proposed methodology is illustrated by several numerical examples from finance.
CH. Bayer, Smoothing the payoff for computation of basket options, Berlin-Paris Young Researchers Workshop Stochastic Analysis with applications in Biology and Finance, May 2 - 4, 2018, Institut des Systèmes Complexes de Paris Ile-de-France (ISC-PIF), National Center for Scientific Research, Paris, France, May 3, 2018.
CH. Bayer, Smoothing the payoff for computation of basket options, 13th International Conference in Monte Carlo & Quasi-Monte Carlo Methods in Scientific Computing, July 1 - 6, 2018, University of Rennes, Faculty of Economics, France, July 3, 2018.
CH. Bayer, Smoothing the payoff for computation of basket options, Stochastic Methods in Finance and Physics, July 23 - 27, 2018, National Technical University of Athens, Department of Mathematics, Heraklion, Greece.
CH. Bayer, Smoothing the payoff for efficient computation of basket option, Financial Math Seminar, Princeton University, Operations Research & Financial Engineering, USA, October 11, 2017.
J.G.M. Schoenmakers, Multilevel dual evaluation and multilevel policy iteration for optimal stopping/American options, Advances in Financial Mathematics, January 7 - 10, 2014, l'Institut Louis Bachelier, Paris, France, January 9, 2014.
M. Ladkau, Multilevel policy iteration for pricing American options, 26th European Conference on Operational Research, June 30 - July 4, 2013, Università La Sapienza, Rome, Italy, July 2, 2013.
M. Ladkau, Multilevel policy iteration for pricing american options, Workshop on Stochastic Models and Control, March 18 - 22, 2013, Humboldt-Universität zu Berlin, March 21, 2013.
M. Ladkau, Multilevel policy iteration for pricing American options, PreMoLab: Moscow-Berlin Stochastic and Predictive Modeling, May 31 - June 1, 2012, Russian Academy of Sciences, Institute for Information Transmission Problems (Kharkevich Institute), Moscow, June 1, 2012.
J.G.M. Schoenmakers, Multilevel dual approach for pricing American options, Mini-workshop CWI-EUR Backward Stochastic Differential Equations (BSDE's), January 17 - 18, 2012, Eindhoven University of Technology, European Institute for Statistics, Probability, Stochastic Operations Research and its Applications (EURANDOM), January 18, 2012.
J.G.M. Schoenmakers, Optimal dual martingales, their analysis and application to new algorithms for Bermudan products, 10th German Probalility and Statistic Days 2012, March 6 - 8, 2012, Johannes Gutenberg Universität Mainz, March 7, 2012.
J.G.M. Schoenmakers , Multilevel dual approach for pricing American options, PreMoLab: Moscow-Berlin Stochastic and Predictive Modeling, May 31 - June 1, 2012, Russian Academy of Sciences, Institute for Information Transmission Problems (Kharkevich Institute), Moscow, June 1, 2012.
J.G.M. Schoenmakers , Multilevel primal and dual approaches for pricing American options, 21st International Symposium on Mathematical Programming (ISMP), August 20 - 24, 2012, Technische Universität Berlin, August 24, 2012.
J.G.M. Schoenmakers, New dual methods for single and multiple exercise option, Universität Ulm, Institut für Numerische Mathematik, May 27, 2011.
J.G.M. Schoenmakers, New dual methods for single and multiple exercise options, Workshop ``Quantitative Methods in Financial and Insurance Mathematics'', April 18 - 21, 2011, Lorentz Center, Leiden, Netherlands, April 21, 2011.
J.G.M. Schoenmakers , Multi-level dual approach for pricing American options, Workshop on Rough Paths and Numerical Integration Methods, September 21 - 23, 2011, Philipps-Universität Marburg, Fachbereich Mathematik und Informatik, September 23, 2011.
J.G.M. Schoenmakers , New dual methods for single and multiple exercise options, International Workshop on Numerical Algorithms in Computational Finance, July 20 - 22, 2011, Goethe Universität Frankfurt, Goethe Center for Scientific Computing, July 22, 2011.
V. Krätschmer, Representations for optimal stopping under dynamic monetary utility functionals, Leipziger Stochastik Tage, March 1 - 5, 2010, Universität Leipzig, Fakultät für Mathematik und Informatik, March 3, 2010.
V. Panov, Non-Gaussian component classification with applications to American Option Pricing, Haindorf Seminar 2010 (Klausurtagung des SFB 649), February 11 - 14, 2010, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, Hejnice, Czech Republic, February 13, 2010.
R.L. Loeffen, Absolute ruin in the insurance risk model of Ornstein--Uhlenbeck type, 24th European Conference on Operational Research (EURO XXIV LISBON), July 11 - 14, 2010, Universidade de Lisboa, Faculdade de Ciéncias, Portugal, July 14, 2010.
J.G.M. Schoenmakers, On three innovations in financial modeling, Colloquium, University of Twente, Faculty of Electrical Engineering, Mathematics and Computer Science, Netherlands, August 24, 2010.
J.G.M. Schoenmakers, The real multiple dual, Leipziger Stochastik Tage, March 1 - 5, 2010, Universität Leipzig, Fakultät für Mathematik und Informatik, March 2, 2010.
V. Panov, Pricing Bermudan options via dimension reduction, Klausurtagung des SFB 649, June 4 - 6, 2009, Humboldt-Universität zu Berlin, Motzen, June 5, 2009.
D. Peschka, Dewetting of thin liquid films on viscoelastic substrates, European Coating Symposium, September 7 - 9, 2009, Karlsruhe, September 7, 2009.
D. Belomestny, Regression methods for stochastic control problems and their convergence analysis, Fourth General Conference on Advanced Mathematical Methods in Finance, May 4 - 10, 2009, University of Oslo, Norway, May 9, 2009.
J.G.M. Schoenmakers, Holomorphic transforms with application to affine processes, Workshop ``Computational Finance'', August 10 - 12, 2009, Kyoto University, Faculty of Sciences, Japan, August 10, 2009.
J.G.M. Schoenmakers, Monte Carlo methods for pricing of complex structured callable derivatives, Rhein-Main Arbeitskreis em Mathematics of Computation, Johann Wolfgang Goethe-Universität Frankfurt, Villa mboxGiersch, January 16, 2009.
J.G.M. Schoenmakers, Regression methods for stochastic control problems and their convergence analysis, Workshop ``Computational Finance'', August 10 - 12, 2009, Kyoto University, Faculty of Sciences, Japan, August 10, 2009.
J. Kampen, Higher order WKB expansions of the fundamental solution and pricing of options, Credit Suisse, Zurich, Switzerland, March 28, 2008.
J. Kampen, Monte carlo greeks for financial prods via approximate transition densities, 5th World Congress, Bachelier Finance Society, July 16 - 19, 2008, Royal Geographical Institute, London, UK, July 19, 2008.
D. Belomestny, New series representations for the characteristic functions of affine Feller processes with applications to option pricing, Financial and Actuarial Mathematics, September 22 - 26, 2008, Technical University of Vienna, Austria, September 23, 2008.
A. Kolodko, Monte carlo greeks for financial products via approximative transition densities, 3rd General AMAMEF Conference, May 8 - 10, 2008, Romanian Academy, Institute of Matematics ``Simion Stoilow'', Piteşti, May 9, 2008.
J.G.M. Schoenmakers, Holomorphic transforms and affine processes, Technische Universität Braunschweig, May 20, 2008.
J.G.M. Schoenmakers, Holomorphic transforms with application to affine processes, 2nd Meeting in the winter semester 2008/2009 of the Research Seminar ``Stochastic Analysis and Stochastics of Financial Markets'', Technische Universität Berlin, November 6, 2008.
J.G.M. Schoenmakers, Monte Carlo methods for pricing of complex structured callable derivatives, 2nd International Conference on Numerical Methods for Finance, June 4 - 5, 2008, Institute for Numerical Computation and Analysis, Dublin, Ireland, June 4, 2008.
J.G.M. Schoenmakers, New Monte Carlo methods for pricing high-dimensional callable derivatives, Conference on Numerical Methods in Finance, June 26 - 27, 2008, Università di Udine, Italy, June 27, 2008.
J.G.M. Schoenmakers, Pricing and hedging exotic interest rate derivatives with Monte Carlo simulation, finance master class$^rm TM$ workshop, March 19 - 20, 2008, Concentric Italy, Milan.
J.G.M. Schoenmakers, Regression methods for high-dimensional Bermudan derivatives and stochastic control problems, Conference on Numerical Methods for American and Bermudan Options, October 17 - 18, 2008, Wolfgang Pauli Institute (WPI), Fakultät für Mathematik, Vienna, Austria, October 17, 2008.
J. Kampen, Closed form analytic expansion formulas for characteristic functions of affine jump diffusion processes, Workshop on Numerics in Finance, November 5 - 6, 2007, Commerzbank AG, Frankfurt/Main, November 6, 2007.
A. Kolodko, Iterative procedure for pricing Bermudan options, Workshop on Methods for Pricing Financial Options, March 8, 2007, The University of Melbourne, Department of Mathematics and Statistics, Australia, March 8, 2007.
J.G.M. Schoenmakers, Enhanced policy iteration via scenario selection, International Multidisciplinary Workshop on Stochastic Modeling, June 25 - 29, 2007, Sevilla, Spain, June 27, 2007.
J.G.M. Schoenmakers, Iterative procedures for the Bermudan stopping problem, International Multidisciplinary Workshop on Stochastic Modeling, June 25 - 29, 2007, Sevilla, Spain, June 26, 2007.
J.G.M. Schoenmakers, Policy iteration for American/Bermudan style derivatives, 6th Winter School on Mathematical Finance, January 22 - 24, 2007, CongresHotel De Werelt, Lunteren, Netherlands, January 23, 2007.
J.G.M. Schoenmakers, True upper bounds for Bermudan style derivatives, International Multidisciplinary Workshop on Stochastic Modeling, June 25 - 29, 2007, Sevilla, Spain, June 28, 2007.
A. Kolodko, Iterative procedure for pricing callable options, 4th Actuarial and Financial Mathematics Day, February 10, 2006, Brussels, Belgium, February 10, 2006.
J.G.M. Schoenmakers, Iterative Methoden zur Bewertung komplex strukturierter Finanzderivate mit vorzeitigen Ausübungsrechten, WIAS-Day, WIAS, Berlin, February 24, 2006.
J.G.M. Schoenmakers, Iterative methods for complex structured callable products, 7th GOR Workshop on Financial Optimization and Optimal Pricing Strategies, May 22 - 23, 2006, BASF AG, Ludwigshafen, May 23, 2006.
J.G.M. Schoenmakers, Iterative procedures for the Bermudan stopping problem, 42nd Dutch Mathematical Congress, March 27 - 28, 2006, Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Netherlands, March 27, 2006.
J.G.M. Schoenmakers, Iterative construction of the optimal Bermudan stopping time, Frankfurt MathFinance Workshop ``Derivatives and risk management in theory and practice'', April 14 - 15, 2005, HfB --- Business School of Finance and Management, Frankfurt am Main, April 14, 2005.
J.G.M. Schoenmakers, Robust Libor modelling and pricing of derivative products, Delft University of Technology, Netherlands, June 9, 2005.
J.G.M. Schoenmakers, Interactive construction of the optimal Bermudan stopping time, Eidgenössische Technische Hochschule Zürich, Institut für Mathematik, Switzerland, May 6, 2004.
J.G.M. Schoenmakers, Iterative construction of the optimal Bermudan stopping time, 2nd IASTED International Conference on Financial Engineering and Applications (FEA 2004), November 8 - 10, 2004, Cambridge, USA, November 8, 2004.
J.G.M. Schoenmakers, New Monte Carlo Methods for American and Bermudan style derivatives, Delft University of Technology, Faculty of Information Technology and Systems Numerical Analysis Group, Netherlands, January 30, 2004.
J.G.M. Schoenmakers, Monte Carlo methods for pricing and hedging American options, IV IMACS Seminar on Monte Carlo Methods; (Workshop Financial Models and Simulation), September 15 - 19, 2003, Berlin, September 19, 2003.
J.G.M. Schoenmakers, Monte Carlo simulation of Bermudan derivatives by dual upper bounds, Miniworkshop ``Risikomaße und ihre Anwendungen'', Humboldt-Universität zu Berlin, December 1, 2003.
J.G.M. Schoenmakers, Monte Carlo simulation of Bermudan derivatives by dual upper bounds, Graduiertenkolleg Angewandte Algorithmische Mathematik, Workshop on the Interface of Numerical Analysis, Optimisation and Applications, November 13 - 14, 2003, Technische Universität München, November 14, 2003.
J.G.M. Schoenmakers, Transition density estimation for stochastic differential equations via forward reverse representations, IV IMACS Seminar on Monte Carlo Methods (MCM 2003), September 15 - 19, 2003, Berlin, September 16, 2003.
We present a novel method for the numerical pricing of American options based on Monte Carlo simulation and optimization of exercise strategies. Previous solutions to this problem either explicitly or implicitly determine so-called optimal emphexercise regions, which consist of points in time and space at which the option is exercised. In contrast, our method determines emphexercise rates of randomized exercise strategies. We show that the supremum of the corresponding stochastic optimization problem provides the correct option price. By integrating analytically over the random exercise decision, we obtain an objective function that is differentiable with respect to perturbations of the exercise rate even for finitely many sample paths. Starting in a neutral strategy with constant exercise rate then allows us to globally optimize this function in a gradual manner. Numerical experiments on vanilla put options in the multivariate Black--Scholes model and preliminary theoretical analysis underline the efficiency of our method both with respect to the number of time-discretization steps and the required number of degrees of freedom in the parametrization of exercise rates. Finally, the flexibility of our method is demonstrated by numerical experiments on max call options in the Black--Scholes model and vanilla put options in Heston model and the non-Markovian rough Bergomi model.
J.G.M. Schoenmakers, J. Huang, Optimal dual martingales, their analysis and application to new algorithms for Bermudan products, Preprint no. 1825944, Social Science Research Network (SSRN) Working Paper Series, 2011.

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Art. 21


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The standards which this Court established in Miranda v. Arizona, 384 U.S. 436 , for determining the admissibility into evidence of in-custody statements do not apply to persons whose retrials have commenced after the date of that decision if their original trials had begun before that date. Cf. Johnson v. New Jersey, 384 U.S. 719 . Pp. 213-222.
___ Del. ___, 240 A. 2d 146, affirmed.
Henry N. Herndon, Jr., argued the cause and filed a brief for petitioner.
Jay H. Conner, Deputy Attorney General of Delaware, argued the cause and filed a brief for respondent.
A brief as amicus curiae urging reversal was filed for Henry A. Vigliano.
Louis J. Lefkowitz, Attorney General, pro se, Samuel A. Hirshowitz, First Assistant Attorney General, and Amy Juviler, Assistant Attorney General, filed a brief for the Attorney General of New York as amicus curiae urging affirmance.
In Johnson v. New Jersey, 384 U.S. 719 (1966), we held that Miranda v. Arizona, 384 U.S. 436 (1966), "applies only to cases in which the trial began after the date of our [Miranda] decision . . . ." 384 U.S., at 721 . In this case, we must decide whether Miranda's standards for determining the admissibility of in-custody statements apply to post-Miranda retrials 1 of cases [395 U.S. 213, 214] originally tried prior to that decision. 2 We hold that they do not.
Petitioner was arrested on the morning of March 17, 1965, as a murder suspect, and was interrogated on three separate occasions, at 11:30 a. m., 2:50 p. m., and 7:05 p. m. Although indigent, he was not advised that he had the right to have an attorney present at the State's expense. Approximately 10 minutes after the evening interrogation began, petitioner gave the police a statement in which he admitted struggling with the victim during a burglary the preceding evening.
Petitioner's first trial commenced on January 13, 1966. He did not take the stand, but his incriminating statement was admitted into evidence. The jury found him guilty of murder in the first degree and burglary in the fourth degree. Disregarding the jury's recommendation, the trial court sentenced him to death. During the pendency of petitioner's appeal to the Supreme Court of Delaware, we decided Miranda and Johnson. In reversing petitioner's conviction on various state grounds, the Delaware Supreme Court also determined, sua sponte, that under Johnson petitioner's statement, which was obtained without fully advising him of his constitutional rights, would be admissible at his retrial. ___ Del. ___, 230 A. 2d 262 (1967). It reasoned that the retrial would be a mere continuation of the case originally commenced prior to our decision in Miranda.
Petitioner's second trial began on October 2, 1967. He was convicted of second degree murder and sentenced to life imprisonment. The Supreme Court of Delaware affirmed, again rejecting petitioner's argument that under Johnson his incriminating statement was inadmissible at his retrial. ___ Del. ___, 240 A. 2d 146 (1968). Because [395 U.S. 213, 215] of a disagreement among state courts over this issue, 3 we granted certiorari. 393 U.S. 950 (1968). For the reasons stated below, we affirm.
Petitioner and the decisions he relies upon 4 emphasize our references in Johnson to "trials" commenced before the date Miranda was decided and our stated concern for the reliance placed on pre-Miranda standards by trial courts as well as by law enforcement officers. Petitioner [395 U.S. 213, 216] argues that this "studied" focus on the trial process indicates that we intended Miranda to be applied to retrials, which, he insists, begin that process anew. As Delaware correctly points out, however, more than once we stated our holding in Johnson in terms of "cases" commenced before the date of Miranda. See 384 U.S., at 733 . Delaware and the authorities it relies upon 5 argue that, since the word "case" usually incorporates all the judicial proceedings against an accused, a retrial is not the "commencement" of a case. Delaware also quotes our statement that only "[f]uture defendants will benefit fully from our new standards governing in-custody interrogation, while past defendants may still avail themselves of the voluntariness test." Id., at 732. Delaware suggests that petitioner, who was tried six months before Miranda, cannot be regarded as a "future" defendant within the meaning of Johnson. That there is language in Johnson supporting the positions of both petitioner and respondent demonstrates what some courts and commentators have readily recognized: in that decision, we did not consider the applicability of Miranda to retrials. 6 The issue simply was not presented.
Petitioner buttresses his interpretation of Johnson by arguing that Miranda must be applied to retrials in order to insure the uniform treatment of individuals similarly situated. If it is not applied, he points out, it is possible that different standards for the protection of constitutional rights could be applied to two defendants simultaneously tried in the same courthouse for similar [395 U.S. 213, 217] offenses. This anomaly could result if one of the defendants had been previously tried for the same offense prior to Miranda. This identical result, however, is also possible under our more recent prospectivity decisions. Because both Desist v. United States, 394 U.S. 244 (1969), and Stovall v. Denno, 388 U.S. 293 (1967), selected the date on which the prohibited practice was engaged in, rather than the date the trial commenced, to determine the applicability of newly formulated constitutional standards, those standards do not apply to retrials of defendants originally tried prior to the dates the standards were announced. In fact, under those decisions, different rules could govern where neither defendant had been tried before, depending upon when the condemned practice was engaged in.
In short, petitioner's concern for what he refers to as "visible imperfection[s] in a judicial process" merely [395 U.S. 213, 218] highlights the problem inherent in prospective decision-making, i. e., some defendants benefit from the new rule while others do not, solely because of the fortuities that determine the progress of their cases from initial investigation and arrest to final judgment. The resulting incongruities must be balanced against the impetus the technique provides for the implementation of long overdue reforms, which otherwise could not be practicably effected. Thus, raising the specter of potential anomalies does not further the difficult decision of selecting the precise event that should determine the prospective application of a newly formulated constitutional principle.
In Johnson, after considering the need to avoid unreasonably disrupting the administration of our criminal laws, we selected the commencement of trial as determinative. We of course could have applied Miranda to all judgments not yet final, although they were obtained in good-faith reliance upon constitutional standards then applicable. See Linkletter v. Walker, 381 U.S. 618 (1965). As we pointed out, however, that choice "would [have] impose[d] an unjustifiable burden on the administration of justice." 384 U.S., at 733 . On the other hand, we could have adopted the approach we took in Stovall and Desist and made the point of initial reliance, the moment the defendant is interrogated, the operative event. See Schaefer, supra, at 646. But in an effort to extend the protection of Miranda to as many defendants as was consistent with society's legitimate concern that convictions already validly obtained not be needlessly aborted, we selected the commencement of the trial. Implicit in this choice was the assumption that, with few exceptions, the commission and investigation of a crime would be sufficiently proximate to the commencement of the defendant's trial that no undue burden [395 U.S. 213, 220] would be imposed upon prosecuting authorities by requiring them to find evidentiary substitutes for statements obtained in violation of the constitutional protections afforded by Miranda.
In determining how much weight to give the increased evidentiary burden that would result if we were to insist that Miranda be applied to retrials, we must consider society's interest in the effective prosecution of criminals in light of the protection our pre-Miranda standards afford criminal defendants. As we pointed out in Johnson, an individual who cannot claim the benefits of Miranda may still resort to whatever state and federal procedures are available to insure that statements admitted against him were made voluntarily. Moreover, he may invoke a "substantive test of voluntariness which, because of the persistence of abusive practices, has become increasingly meticulous . . ., [taking] specific account of the failure to advise the accused of his privilege against self-incrimination or to allow him access to outside assistance." 384 U.S., at 730 . As a result, not applying Miranda to retrials will not preclude the invocation of "the same safeguards as part of an involuntariness claim." Ibid. Thus, because of the increased evidentiary burden that would be placed unreasonably upon law enforcement officials by insisting that Miranda be applied to retrials, and for all the reasons we gave in Johnson for not applying Miranda retroactively, we hold [395 U.S. 213, 222] that Miranda does not apply to any retrial 10 of a defendant whose first trial commenced prior to June 13, 1966.
MR. JUSTICE BLACK, with whom MR. JUSTICE DOUGLAS joins, dissents for the reasons stated in his dissenting opinions in Linkletter v. Walker, 381 U.S. 618, 640 , and Johnson v. New Jersey, 384 U.S. 719, 736 .
[ Footnote 1 ] The word "retrial" is used in this opinion to refer only to a subsequent trial of a defendant whose original trial for the same conduct commenced prior to June 13, 1966, the day on which Miranda was announced.
[ Footnote 2 ] Petitioner's remaining contentions have been adequately resolved by the court below. See Jenkins v. State, ___ Del. ___, 230 A. 2d 262 (1967), and Jenkins v. State, ___ Del. ___, 240 A. 2d 146 (1968).
[ Footnote 3 ] At least eight States, including Delaware, decline to apply Miranda to post-Miranda retrials of cases originally tried prior to that decision. See People v. Worley, 37 Ill. 2d 439, 227 N. E. 2d 746 (1967) (dictum); Boone v. State, 3 Md. App. 11, 237 A. 2d 787 (Md. Ct. Sp. App.) (dictum), cert. to Md. Ct. App. denied, 393 U.S. 872 (1968); Chapman v. State, 282 Minn. 13, 162 N. W. 2d 698 (1968); State v. Vigliano, 50 N. J. 51, 232 A. 2d 129 (1967) (dictum); People v. Sayers, 22 N. Y. 2d 571, 240 N. E. 2d 540 (1968); State v. Lewis, 274 N.C. 438, 164 S. E. 2d 177 (1968) (dictum); Murphy v. State, 221 Tenn. 351, 426 S. W. 2d 509 (1968).
At least nine other States have indicated in dicta that Miranda should be applied to such retrials. See Smith v. State, 282 Ala. 268, 210 So.2d 826 (1968); State v. Brock, 101 Ariz. 168, 416 P.2d 601 (1966); People v. Doherty, 67 Cal. 2d 9, 429 P.2d 177 (1967); State v. Ruiz, 49 Haw. 504, 421 P.2d 305 (1966); Dell v. State, 249 Ind. 231, 231 N. E. 2d 522 (1967); State v. McCarther, 197 Kan. 279, 416 P.2d 290 (1966); Creech v. Commonwealth, 412 S. W. 2d 245 (Ct. App. Ky. 1967); State v. Shoffner, 31 Wis. 2d 412, 143 N. W. 2d 458 (1966). In State v. Bradshaw, 101 R. I. 233, 237, n. 1, 221 A. 2d 815, 817, n. 1 (1966), the court expressly declined to pass on the issue in an opinion reversing a conviction on other grounds, but it nevertheless suggested that under Johnson the defendant's statement might not be admissible at his retrial.
The United States Court of Appeals for the Seventh Circuit has held Miranda applicable, United States v. Phillips, 401 F.2d 301 (C. A. 7th Cir. 1968); and that holding is supported by dicta in at least three other circuits. See United States v. Young, 388 F.2d 675 (C. A. 9th Cir. 1968); Virgin Islands v. Lovell, 378 F.2d 799, 802, n. 4 (C. A. 3d Cir. 1967); Gibson v. United States, 363 F.2d 146 (C. A. 5th Cir. 1966). Without discussion, the Fourth Circuit appears to have reached a contrary result by implication. Moorer v. South Carolina, 368 F.2d 458 (C. A. 4th Cir. 1966).
[ Footnote 4 ] E. g., United States v. Phillips, supra; People v. Doherty, supra.
[ Footnote 5 ] E. g., People v. Worley, supra; State v. Vigliano, supra.
[ Footnote 6 ] E. g., Smith v. State, supra; People v. Worley, supra; People v. Sayers, supra; Comment, The Applicability of Miranda to Retrials, 116 U. Pa. L. Rev. 316, 320 (1967); Comment, Post-Miranda Retrials of Pre-Miranda Defendants, 25 Wash. & Lee L. Rev. 108, 109 (1968).
[ Footnote 7 ] Our initial approach to prospective decision-making has undergone some modification. Compare Linkletter v. Walker, 381 U.S. 618 (1965), with Desist v. United States, 394 U.S. 244 (1969). With Johnson we began placing increasing emphasis upon the point at which law enforcement officials relied upon practices not yet proscribed; and, more recently, we have selected the point of initial [395 U.S. 213, 219] reliance. See, e. g., Desist v. United States, supra; Stovall v. Denno, supra. In addition to being more consistent with the fundamental justification for not applying newly enunciated constitutional principles retroactively, this latest approach has obviated at least one administrative problem, the treatment of retrials. Our experience, therefore, has confirmed Mr. Justice Schaefer's observation: "Sound growth can be promoted and erratic results avoided by focusing attention on the element of reliance that justifies the technique. Even when that is done there will not always be agreement as to the quality or degree of reliance that justifies a particular prospective limitation. But the area of disaffection will be narrowed if time before and time after are measured from the moment of reliance." Schaefer, The Control of "Sunbursts": Techniques of Prospective Overruling, 42 N. Y. U. L. Rev. 631, 646 (1967).
[ Footnote 8 ] In one recent case, for example, in which the court refused to apply Miranda to the defendant's retrial, it noted: "The investigation of this brutal assault and the interrogation of defendant began in January 1955 - more than 12 years previous to this retrial. The evidence is clear that in 1955 defendant was warned of his constitutional rights in accordance with the requirements then prevailing." State v. Lewis, 1 N.C. App. 296, 297-298, 161 S. E. 2d 497, 499 (1968).
[ Footnote 9 ] See, e. g., United States v. Phillips, supra (discretion abused by admitting unduly "prejudicial" evidence); State v. Ruiz, supra ("plain error" in trial court's fact finding); Boone v. State, supra (insufficient corroboration of accomplice's testimony).
[ Footnote 10 ] For purposes of this holding, it is immaterial whether state law treats a retrial as the continuation of the original trial, see, e. g., People v. Worley, supra, or as a completely new trial that proceeds as if the former trial never occurred. See, e. g., State v. Brock, supra. What is determinative is that the defendant is being tried for the same conduct that was the subject of a previously reversed conviction. A State is free, of course, for any reason it finds persuasive, to apply Miranda to a subsequent trial of a defendant whose original trial commenced prior to that decision. See Johnson v. New Jersey, supra, at 733.
I feel compelled to dissent because I consider that the new "retroactivity" ruling which the Court makes today is indefensible. Were I free to do so, I would hold that this petitioner is entitled to the benefits of Miranda, this case being before us on direct review and being one which had not become final prior to the decision of Miranda. See my dissenting opinion in [395 U.S. 213, 223] Desist v. United States, 394 U.S. 244, 256 (1969); Linkletter v. Walker, 381 U.S. 618 (1965). But since as to the retroactivity issue I am also bound by Johnson v. New Jersey, 384 U.S. 719 (1966), I must judge that issue within the confines of Johnson, which does not appear to have been overruled by what was done in Desist v. United States, supra.
In the Johnson case we held that the "guidelines" of Miranda should apply to all "persons whose trials had not begun as of June 13, 1966," 384 U.S., at 734 , the date on which Miranda was handed down. Today, however, the Court holds that Miranda does not apply to persons whose retrials have commenced after that date, if the original trial had begun before Miranda was decided. I find it quite impossible to discern in the rationale of Johnson any solid basis for the distinction now drawn.
Apart from the two propositions just discussed, the Court offers nothing in justification of its trial-retrial distinction beyond the general observation that the retroactivity "technique" necessarily entails "incongruities" which must be tolerated because of "the impetus the technique provides for the implementation of long overdue reforms, which otherwise could not be practicably effected." Ante, at 218. But surely it is incumbent upon this Court to endeavor to keep such incongruities to a minimum. This in my opinion can only be done by turning our backs on the ad hoc approach that has so far characterized our decisions in the retroactivity field and proceeding to administer the doctrine on principle. See my dissenting opinion in Desist, supra. What is done today leads me again, see ibid., to urge that the time has come for us to take a fresh look at the whole problem of retroactivity.

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Statutory Authority: The provisions of this Subchapter B issued under the Texas Education Code, §§7.102(c)(4), 28.002, and 28.008, unless otherwise noted.
§113.17. Implementation of Texas Essential Knowledge and Skills for Social Studies, Middle School, Beginning with School Year 2011-2012.
The provisions of §§113.18-113.20 of this subchapter shall be implemented by school districts beginning with the 2011-2012 school year.
Source: The provisions of this §113.17 adopted to be effective August 23, 2010, 35 TexReg 7232; amended to be effective October 17, 2011, 36 TexReg 6946.
§113.18. Social Studies, Grade 6, Beginning with School Year 2011-2012.
(1) In Grade 6, students study people, places, and societies of the contemporary world. Societies for study are from the following regions of the world: Europe, Russia and the Eurasian republics, North America, Central America and the Caribbean, South America, Southwest Asia-North Africa, Sub-Saharan Africa, South Asia, East Asia, Southeast Asia, Australia, and the Pacific realm. Students describe the influence of individuals and groups on historical and contemporary events in those societies and identify the locations and geographic characteristics of various societies. Students identify different ways of organizing economic and governmental systems. The concepts of limited and unlimited government are introduced, and students describe the nature of citizenship in various societies. Students compare institutions common to all societies such as government, education, and religious institutions. Students explain how the level of technology affects the development of the various societies and identify different points of view about events. The concept of frame of reference is introduced as an influence on an individual's point of view.
(2) To support the teaching of the essential knowledge and skills, the use of a variety of rich primary and secondary source material such as biographies, autobiographies, novels, speeches, letters, poetry, songs, and artworks is encouraged. Motivating resources are available from museums, art galleries, and historical sites.
(3) The eight strands of the essential knowledge and skills for social studies are intended to be integrated for instructional purposes. Skills listed in the social studies skills strand in subsection (b) of this section should be incorporated into the teaching of all essential knowledge and skills for social studies. A greater depth of understanding of complex content material can be attained when integrated social studies content from the various disciplines and critical-thinking skills are taught together. Statements that contain the word "including" reference content that must be mastered, while those containing the phrase "such as" are intended as possible illustrative examples.
(4) Students identify the role of the U.S. free enterprise system within the parameters of this course and understand that this system may also be referenced as capitalism or the free market system.
(5) Throughout social studies in Kindergarten-Grade 12, students build a foundation in history; geography; economics; government; citizenship; culture; science, technology, and society; and social studies skills. The content, as appropriate for the grade level or course, enables students to understand the importance of patriotism, function in a free enterprise society, and appreciate the basic democratic values of our state and nation as referenced in the Texas Education Code (TEC), §28.002(h).
(6) Students understand that a constitutional republic is a representative form of government whose representatives derive their authority from the consent of the governed, serve for an established tenure, and are sworn to uphold the constitution.
(7) State and federal laws mandate a variety of celebrations and observances, including Celebrate Freedom Week.
(A) Each social studies class shall include, during Celebrate Freedom Week as provided under the TEC, §29.907, or during another full school week as determined by the board of trustees of a school district, appropriate instruction concerning the intent, meaning, and importance of the Declaration of Independence and the U.S. Constitution, including the Bill of Rights, in their historical contexts. The study of the Declaration of Independence must include the study of the relationship of the ideas expressed in that document to subsequent American history, including the relationship of its ideas to the rich diversity of our people as a nation of immigrants, the American Revolution, the formulation of the U.S. Constitution, and the abolitionist movement, which led to the Emancipation Proclamation and the women's suffrage movement.
(8) Students identify and discuss how the actions of U.S. citizens and the local, state, and federal governments have either met or failed to meet the ideals espoused in the founding documents.
(B) evaluate the social, political, economic, and cultural contributions of individuals and groups from various societies, past and present.
(C) explain the impact of geographic factors on economic development and the domestic and foreign policies of societies.
(C) analyze the effects of the interaction of physical processes and the environment on humans.
(C) describe ways in which technology influences human interactions with the environment such as humans building dams for flood control.
(C) identify and describe the effects of government regulation and taxation on economic development and business planning.
(D) review the record of human rights abuses of limited or unlimited governments such as the oppression of Christians in Sudan.
(C) identify historical origins of democratic forms of government such as Ancient Greece.
(C) compare the role of citizens in the United States with the role of citizens from various contemporary societies with representative and nonrepresentative governments.
(B) explain relationships among rights, responsibilities, and duties in societies with representative governments.
(F) identify and explain examples of conflict and cooperation between and among cultures.
(C) analyze the efforts and activities institutions use to sustain themselves over time such as the development of an informed citizenry through education and the use of monumental architecture by religious institutions.
(E) identify examples of positive and negative effects of cultural diffusion.
(D) identify examples of art, music, and literature that have transcended the boundaries of societies and convey universal themes such as religion, justice, and the passage of time.
(B) explain the significance of religious holidays and observances such as Christmas, Easter, Ramadan, the annual hajj, Yom Kippur, Rosh Hashanah, Diwali, and Vaisakhi in various contemporary societies.
(C) make predictions about future social, political, economic, cultural, and environmental impacts that may result from future scientific discoveries and technological innovations.
(F) use appropriate mathematical skills to interpret social studies information such as maps and graphs.
(F) use proper citations to avoid plagiarism.
Source: The provisions of this §113.18 adopted to be effective August 23, 2010, 35 TexReg 7232.
§113.19. Social Studies, Grade 7, Beginning with School Year 2011-2012.
(1) In Grade 7, students study the history of Texas from early times to the present. Content is presented with more depth and breadth than in Grade 4. Students examine the full scope of Texas history, including Natural Texas and its People; Age of Contact; Spanish Colonial; Mexican National; Revolution and Republic; Early Statehood; Texas in the Civil War and Reconstruction; Cotton, Cattle, and Railroads; Age of Oil; Texas in the Great Depression and World War II; Civil Rights and Conservatism; and Contemporary Texas eras. The focus in each era is on key individuals, events, and issues and their impact. Students identify regions of Texas and the distribution of population within and among the regions and explain the factors that caused Texas to change from an agrarian to an urban society. Students describe the structure and functions of municipal, county, and state governments, explain the influence of the U.S. Constitution on the Texas Constitution, and examine the rights and responsibilities of Texas citizens. Students use primary and secondary sources to examine the rich and diverse cultural background of Texas as they identify the different racial and ethnic groups that settled in Texas to build a republic and then a state. Students analyze the impact of scientific discoveries and technological innovations on the development of Texas in various industries such as agricultural, energy, medical, computer, and aerospace. Students use primary and secondary sources to acquire information about Texas.
(2) To support the teaching of the essential knowledge and skills, the use of a variety of rich primary and secondary source material such as biographies, autobiographies, novels, speeches, letters, diaries, poetry, songs, and images is encouraged. Motivating resources are available from museums, historical sites, presidential libraries, and local and state preservation societies.
(C) explain the significance of the following dates: 1519, mapping of the Texas coast and first mainland Spanish settlement; 1718, founding of San Antonio; 1821, independence from Spain; 1836, Texas independence; 1845, annexation; 1861, Civil War begins; 1876, adoption of current state constitution; and 1901, discovery of oil at Spindletop.
(F) contrast Spanish, Mexican, and Anglo purposes for and methods of settlement in Texas.
(D) explain how the establishment of the Republic of Texas brought civil, political, and religious freedom to Texas.
(C) identify significant individuals and events concerning Texas and the Civil War such as John Bell Hood, John Reagan, Francis Lubbock, Thomas Green, John Magruder and the Battle of Galveston, the Battle of Sabine Pass, and the Battle of Palmito Ranch.
(D) explain the political, economic, and social impact of the agricultural industry and the development of West Texas resulting from the close of the frontier.
(F) analyze the political, economic, and social impact of major events in the latter half of the 20th and early 21st centuries such as major conflicts, the emergence of a two-party system, political and economic controversies, immigration, and migration.
(B) analyze and interpret geographic distributions and patterns in Texas during the 19th, 20th, and 21st centuries.
(C) analyze the effects of physical and human factors such as climate, weather, landforms, irrigation, transportation, and communication on major events in Texas.
(B) explain ways in which geographic factors such as the Galveston Hurricane of 1900, the Dust Bowl, limited water resources, and alternative energy sources have affected the political, economic, and social development of Texas.
(D) describe the structure of the population of Texas using demographic concepts such as growth rate and age distribution.
(C) explain the changes in the types of jobs and occupations that have resulted from the urbanization of Texas.
(C) analyze the impact of significant industries in Texas such as oil and gas, aerospace, medical, and computer technologies on local, national, and international markets.
(B) compare the principles and concepts of the Texas Constitution to the U.S. Constitution, including the Texas and U.S. Bill of Rights.
(C) describe the structure, funding, and governance of Texas public education, including local property taxes, bond issues, and state and federal funding supported by state and federal taxpayers.
(B) explain and analyze civic responsibilities of Texas citizens and the importance of civic participation.
(C) express and defend a point of view on an issue of historical or contemporary interest in Texas.
(B) identify the contributions of Texas leaders, including Lawrence Sullivan "Sul" Ross, John Nance Garner ("Cactus Jack"), James A. Baker III, Henry B. González, Kay Bailey Hutchison, Barbara Jordan, Raymond L. Telles, Sam Rayburn, and Raul A. Gonzalez Jr.
(D) identify contributions to the arts by Texans such as Roy Bedichek, Diane Gonzales Bertrand, J. Frank Dobie, Scott Joplin, Elisabet Ney, Amado Peña Jr., Walter Prescott Webb, and Horton Foote.
(E) analyze how scientific discoveries and technological innovations have resulted in an interdependence among Texas, the United States, and the world.
(H) use appropriate mathematical skills to interpret social studies information such as maps and graphs.
(D) create written, oral, and visual presentations of social studies information.
Source: The provisions of this §113.19 adopted to be effective August 23, 2010, 35 TexReg 7232.
§113.20. Social Studies, Grade 8, Beginning with School Year 2011-2012.
(1) In Grade 8, students study the history of the United States from the early colonial period through Reconstruction. The knowledge and skills in subsection (b) of this section comprise the first part of a two-year study of U.S. history. The second part, comprising U.S. history from Reconstruction to the present, is provided in §113.41 of this title (relating to United States History Studies Since 1877 (One Credit), Beginning with School Year 2011-2012). The content in Grade 8 builds upon that from Grade 5 but provides more depth and breadth. Historical content focuses on the political, economic, religious, and social events and issues related to the colonial and revolutionary eras, the creation and ratification of the U.S. Constitution, challenges of the early republic, the Age of Jackson, westward expansion, sectionalism, Civil War, and Reconstruction. Students describe the physical characteristics of the United States and their impact on population distribution and settlement patterns in the past and present. Students analyze the various economic factors that influenced the development of colonial America and the early years of the republic and identify the origins of the free enterprise system. Students examine the American beliefs and principles, including limited government, checks and balances, federalism, separation of powers, and individual rights, reflected in the U.S. Constitution and other historical documents. Students evaluate the impact of Supreme Court cases and major reform movements of the 19th century and examine the rights and responsibilities of citizens of the United States as well as the importance of effective leadership in a constitutional republic. Students evaluate the impact of scientific discoveries and technological innovations on the development of the United States. Students use critical-thinking skills, including the identification of bias in written, oral, and visual material.
(2) To support the teaching of the essential knowledge and skills, the use of a variety of rich primary and secondary source material such as the complete text of the U.S. Constitution and the Declaration of Independence, landmark cases of the U.S. Supreme Court, biographies, autobiographies, novels, speeches, letters, diaries, poetry, songs, and artworks is encouraged. Motivating resources are available from museums, historical sites, presidential libraries, and local and state preservation societies.
(B) compare political, economic, religious, and social reasons for the establishment of the 13 English colonies.
(E) analyze the arguments for and against ratification.
(E) identify areas that were acquired to form the United States, including the Louisiana Purchase.
(D) identify the provisions and compare the effects of congressional conflicts and compromises prior to the Civil War, including the roles of John Quincy Adams, John C. Calhoun, Henry Clay, and Daniel Webster.
(C) analyze Abraham Lincoln's ideas about liberty, equality, union, and government as contained in his first and second inaugural addresses and the Gettysburg Address and contrast them with the ideas contained in Jefferson Davis's inaugural address.
(D) identify the effects of legislative acts such as the Homestead Act, the Dawes Act, and the Morrill Act.
(C) describe how different immigrant groups interacted with the environment in the United States during the 17th, 18th, and 19th centuries.
(D) analyze the causes and effects of economic differences among different regions of the United States at selected times in U.S. history.
(B) identify the economic factors that brought about rapid industrialization and urbanization.
(B) describe the characteristics and the benefits of the U.S. free enterprise system during the 18th and 19th centuries.
(B) explain constitutional issues arising over the issue of states' rights, including the Nullification Crisis and the Civil War.
(C) evaluate the impact of selected landmark Supreme Court decisions, including Dred Scott v. Sandford, on life in the United States.
(F) explain how the rights and responsibilities of U.S. citizens reflect our national identity.
(C) analyze reasons for and the impact of selected examples of civil disobedience in U.S. history such as the Boston Tea Party and Henry David Thoreau's refusal to pay a tax.
(C) summarize a historical event in which compromise resulted in a peaceful resolution.
(B) describe the contributions of significant political, social, and military leaders of the United States such as Frederick Douglass, John Paul Jones, James Monroe, Stonewall Jackson, Susan B. Anthony, and Elizabeth Cady Stanton.
(E) identify the political, social, and economic contributions of women to American society.
(B) evaluate the impact of reform movements, including educational reform, temperance, the women's rights movement, prison reform, abolition, the labor reform movement, and care of the disabled.
(C) analyze the impact of the First Amendment guarantees of religious freedom on the American way of life.
(C) analyze the relationship between fine arts and continuity and change in the American way of life.
(D) explain how technological innovations brought about economic growth such as how the factory system contributed to rapid industrialization and the Transcontinental Railroad led to the opening of the west.
(B) identify examples of how industrialization changed life in the United States.
(J) pose and answer questions about geographic distributions and patterns shown on maps, graphs, charts, models, and databases.
Source: The provisions of this §113.20 adopted to be effective August 23, 2010, 35 TexReg 7232.


CITY OF POCATELLO; BANNOCK COUNTY SHERIFF'S OFFICE; BANNOCK COUNTY EMERGENCY COMMUNICATIONS CENTER and NIKO GORDON IV, individually and in his official capacity as a police officer for Pocatello Police Department, Defendants.
The Court has before it Defendants City of Pocatello and Niko Gordon's Motion for Court to Decline Jurisdiction (Dkt. 73), and Plaintiffs' Motion to Alter or Amend Judgment (Reconsideration) (Dkt. 74).
A motion to reconsider an interlocutory ruling requires an analysis of two important principles: (1) Error must be corrected; and (2) Judicial efficiency demands forward progress. The former principle has led courts to hold that a denial of a motion to dismiss or for summary judgment may be reconsidered at any time before final judgment. Preaseau v. Prudential Insurance Co., 591 F.2d 74, 79-80 (9th Cir. 1979). While even an interlocutory decision becomes the “law of the case, ” it is not necessarily carved in stone. Justice Oliver Wendell Holmes concluded that the “law of the case” doctrine “merely expresses the practice of courts generally to refuse to reopen what has been decided, not a limit to their power.” Messinger v. Anderson, 225 U.S. 436, 444 (1912). “The only sensible thing for a trial court to do is to set itself right as soon as possible when convinced that the law of the case is erroneous. There is no need to await reversal.” In re Airport Car Rental Antitrust Litigation, 521 F.Supp. 568, 572 (N.D.Cal. 1981)(Schwartzer, J.).
The need to be right, however, must co-exist with the need for forward progress. A court's opinions “are not intended as mere first drafts, subject to revision and reconsideration at a litigant's pleasure.” Quaker Alloy Casting Co. v. Gulfco Indus., Inc., 123 F.R.D. 282, 288 (N.D.Ill.1988).
Reconsideration of a court's prior ruling under Federal Rule of Civil Procedure 59(e) is appropriate “if (1) the district court is presented with newly discovered evidence, (2) the district court committed clear error or made an initial decision that was manifestly unjust, or (3) there is an intervening change in controlling law.” S.E.C. v. Platforms Wireless Int'l Corp., 617 F.3d 1072, 1100 (9th Cir. 2010) (citation omitted). If the motion to reconsider does not fall within one of these three categories, it must be denied. Here, Plaintiff suggests the Court committed clear error.
The Court is often presented with motions to reconsider based upon an argument that the Court committed clear error. Most of those motions simply restate arguments the Court has already addressed, and ask the Court to rethink its decision. This is one of those motions. The Court has already addressed Plaintiffs' arguments in detail in its earlier decision, and nothing in the motion to reconsider causes the Court to change its mind. Accordingly, the Court will deny the motion.
Earlier, the Court granted summary judgment in favor of Defendants on all of Plaintiffs' federal claims, but denied summary judgment on the state law claims. Dkt. 71. The Court may decline to exercise supplemental jurisdiction when it “has dismissed all claims over which it has original jurisdiction.” 28 U.S.C. § 1447(c)(3). But whether to exercise supplemental jurisdiction is “purely discretionary.” Carlsbad Technology, Inc. v. HIF Bio, Inc., 129 S.Ct. 1862, 1866 (2009). The Court should consider economy, convenience, fairness, and comity when determining whether to exercise supplemental jurisdiction. Carnegie-Mellon Univ. v. Cohill, 484 U.S. 343, 351 (1988).
This case is a little more than two years old, but discovery is finally closed, and all dispositive motions have been addressed. The Court is intimately familiar with the case because the Court and its staff have addressed informal discovery disputes, and the Court has granted in part and denied in part a motion to dismiss, granted in part and denied in part a motion for summary judgment, and as explained above denied a motion for reconsideration. The case is set for trial in just over three months on February 5, 2018.


text:
NDIBU v. LYNCH May 19, 2016 No. 14–2250.
UNITED STATES v. McFADDEN May 19, 2016 No. 13–4349.
UNITED STATES v. GARDNER May 18, 2016 No. 14–4533.
GOINES v. VALLEY COMMUNITY SERVICES BOARD 10 May 9, 2016 No. 15–1589.
NATIONAL LABOR RELATIONS BOARD v. BLUEFIELD HOSPITAL CO LLC VMC May 6, 2016 No. 15–1203.
UNITED STATES v. FAULLS May 5, 2016 No. 14–4595.
MORVA v. ZOOK May 5, 2016 No. 15–1.
ZOROASTRIAN CENTER AND DARB MEHR OF METROPOLITAN WASHINGTON v. RUSTAM GUIV FOUNDATION OF NEW YORK May 4, 2016 No. 14–1841.

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§ 132-3 Declaration of findings and policy.
§ 132-4 Noise Control Officers.
§ 132-5 Maximum permissible sound levels.
§ 132-7 Enforcement; violations and penalties.
§ 132-8 Severability and repealer.
Sound from stationary emergency signaling devices shall be regulated in accordance with N.J.A.C. 7:29-1.4, except that the testing of the electromechanical functioning of a stationary emergency signaling device shall not meet or exceed 10 seconds.
Whereas excessive sound is a serious hazard to the public health, welfare, safety, and the quality of life; and whereas a substantial body of science and technology exists by which excessive sound may be substantially abated; and whereas the people have a right to, and should be ensured of, an environment free from excessive sound; now, therefore, it is the policy of the Township of Pemberton to prevent excessive sound that may jeopardize the health, welfare, or safety of the citizens or degrade the quality of life. This article shall apply to the control of sound originating from sources within the Township of Pemberton.
The provisions of this article shall be enforced by Noise Control Officers. A person shall be qualified to be a Noise Control Officer if the person meets the criteria set forth in the definition above and completes, at a frequency specified by the Department in N.J.A.C. 7:29-2.11, a noise certification and recertification course which is offered by the Department of Environmental Sciences of Cook College, Rutgers, the State University of New Jersey or any other noise certification or recertification course which is offered by an accredited university and approved by the Department.
Sound measurements made by a Noise Control Officer shall conform to the procedures set forth at N.J.A.C. 7:29-2, except that interior sound level measurements shall also conform with the procedures set forth in § 132-5B and C of this article and with the definition of "real property line" as contained herein.
No person shall cause, suffer, allow, or permit the operation of any source of sound on any source property listed in § 132-2A above in such a manner as to create a sound level that equals or exceeds the sound level limits set forth in Tables I and II when measured at or within the real property line of any of the receiving properties listed in Tables I and II, except as specified in Subsection B below.
Impulsive sound. Impulsive sound shall not equal or exceed 80 decibels at all times.
Emergency electricity generators at an industrial, commercial, or community service facility in use during an electrical outage.
Violation of any provision of this article shall be cause for an enforcement document to be issued to the violator by the Noise Control Officer according to procedures set forth at N.J.A.C. 7:29-1.7. The recipient of an enforcement document shall be entitled to a hearing in a municipal court having jurisdiction to contest such action.
Any person who violates any provision of this article shall be subject upon order of a court to a civil penalty for each offense of not more than $3,000. If the violation is of a continuing nature, each day during which it occurs shall constitute an additional, separate, and distinct offense.
No provision of this article shall be construed to impair any common law or statutory cause of action, or legal remedy therefrom, of any person for injury or damage arising from any violation of this article or from other law.
If any provision or portion of a provision of this article is held to be unconstitutional, preempted by federal or state law, or otherwise invalid by any court of competent jurisdiction, the remaining provisions of the ordinance shall not be invalidated.
All ordinances or parts of ordinances which are inconsistent with any provisions of this article are hereby repealed as to the extent of such inconsistencies.


The passing of Justice Antonin Scalia, one of the most influential jurists of our time, has brought a wave of speculation about current and future U.S. Supreme Court cases. The public attention regarding his replacement mostly focuses on politically charged issues and their ramifications on a presidential election campaign. One less publicly invigorated area of the law that may be affected is patent protection for business methods and computer programs. Although not a concern for the talking heads of CNN or MSNBC, it deserves consideration by the intellectual property legal community.
Viewed broadly, most Supreme Court IP cases in recent years featured a unanimous or nearly unanimous Court. Justice Scalia normally sided with the majority in these IP decisions. However, about half of his dissents occurred in the last three years. Justice Scalia did not often write a majority opinion in IP cases. There were only two in the last 10 years. His most influential IP opinion concerned the declaratory judgment standard in patent cases. MedImmune Inc. v. Genentech Inc., 549 U.S. 118 (2007).
Despite the general conformity within the Court on IP issues, there was a clash on whether business methods are patentable. In Bilski v. Kappos, 561 U.S. 593 (2009), the Court unanimously rejected the patent claims as covering an abstract idea and, thus, falling outside of the scope of 35 U.S.C. § 101. A close reading of the majority and concurring opinions shows that there was a 5-4 split on the whether any business method patent claim should be considered patentable. Further, Justice Scalia was arguably the deciding vote.
Justice Kennedy wrote the majority opinion in Bilski, in which Justices Roberts, Thomas and Alito joined. Justice Stevens filed an opinion concurring in the judgment, in which Justices Ginsburg, Breyer and Sotomayor joined. Justice Scalia joined in the Kennedy opinion, but chose to differ on two points within the opinion. Recognizing the divide, Justice Breyer (joined by Justice Scalia) filed a concurring opinion outlining the areas where there was agreement amongst the Justices.
Justice Kennedy rejected the notion that business methods are categorically excluded from the meaning of “process” under 35 U.S.C. § 101. The opinion, instead, asserted that only abstract ideas were historically excluded from patentability. In contrast, Justice Stevens’ opinion argued that all business method should be unpatentable based on the intent of the Framers, and the history of British and American law. As noted by Justice Breyer, overall the agreement within the Court was essentially that patentability does not extend to anything that produces a useful, concrete, and tangible result. The two points where Justice Scalia took exception to the Kennedy opinion in Bilski each appear to be minor in nature. Although, on those two points he was in agreement with the Stevens group, partially shifting the 5-4 split. Justice Scalia coupled these exceptions by joining Justice Breyer’s outlined points of agreement. Notably, no other Justice chose to join in.
Justice Stevens’ retired in 2010. Hence, the group that categorically opposed business method patents is no longer intact and we do not yet know how Justice Kagan, who replaced Justice Stevens, will rule on this particular issue. However, the Court with Justice Kagan has addressed the patentability issue. The Court unanimously held in Mayo Collaborative Services v. Prometheus Laboratories, 566 U.S. ___, 132 S.Ct. 1289 (2012), that correlation between drug dosages and medical treatment did not become patent eligible when linked with standard tests. In Association for Molecular Pathology v. Myriad Genetics, 569 U.S. ___, 133 S.Ct. 2017 (2013), a unanimous Court held that a naturally occurring DNA segment is a product of nature and is not patent eligible merely because it has been isolated. Further, the Court reiterated in Alice Corp. v. CLS Bank International, 573 U.S. __, 134 S.Ct. 2347 (2014), that basic business methods implemented by computers are not patentable. As such, it would appear that the divide in the Bilski decision has not prevented the Court from acting in unison on patentability.
In an interview on CNN not long ago, Justice Scalia said that the most difficult decisions for him to participate were the dull cases, providing patents as an example. In reality, he never glanced over details within patentability related decisions. In Myriad, Justice Scalia concurred in part in an otherwise unanimous decision. The briefly stated reason for the exception was his personal inability to confirm the applicable molecular biology. Although Justice Scalia was not active in the battle over IP in general, one cannot infer a lack of fervor for finding an acceptable dividing line within any related decision.
The Court’s post Bilski decisions appear to define the edges of patentability. It is not certain that the Court again will be asked to decide on the full scope of patentability for business methods. If so, Justice Scalia’s replacement may help to draw the line in a different position.
Thomas J. Durling serves as chair of the Flaster Greenberg’s Intellectual Property Department. He has more than 30 years experience handling business and intellectual property issues, with a focus on patent and trademark procurement, merger and acquisition due diligence, business agreement negation, intellectual property litigation and client counseling. He can be reached at 215.279.9902 or thomas.durling@flastergreenberg.com.
For more information on FG’s IP practice, including job opportunities, click here or visit www.flastergreenberg.com.
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