Selected topics in financial engineering: first-exit times and dependence structures of Marshall-Olkin Kind

146 p.

Distribution theory and fundamental solutions of differential operators

The objective of this dissertation is to study the theory of distributions and some of its applications. Certain concepts which we would include in the theory of distributions nowadays have been widely used in several fields of mathematics and physics. It was Dirac who first introduced the delta function as we know it, in an attempt to keep a convenient notation in his works in quantum mechanics. Their work contributed to open a new path in mathematics, as new objects, similar to functions but not of their same nature, were being used systematically. Distributions are believed to have been first formally introduced by the Soviet mathematician Sergei Sobolev and by Laurent Schwartz. The aim of this project is to show how distribution theory can be used to obtain what we call fundamental solutions of partial differential equations.

Los Modelos Implícitos de Valoración de Opciones

[ES] Los modelos implícitos constituyen uno de los enfoques de valoración de opciones alternativos al modelo de Black-Scholes que ha conocido un mayor desarrollo en los últimos años. Dentro de este planteamiento existen diferentes alternativas: los árboles implícitos, los modelos con función de volatilidad determinista y los modelos con función de volatilidad implícita. Todos ellos se construyen a partir de una estimación de la distribución de probabilidades riesgo-neutral del precio futuro del activo subyacente, congruente con los precios de mercado de las opciones negociadas. En consecuencia, los modelos implícitos proporcionan buenos resultados en la valoración de opciones dentro de la muestra. Sin embargo, su comportamiento como instrumento de predicción para opciones fuera de muestra no resulta satisfactorio. En este artículo se analiza la medida en la que este enfoque contribuye a la mejora de la valoración de opciones, tanto desde un punto de vista teórico como práctico.

Is General Relativity a simplified theory?

IARD 8th Biennial Conference on Classical and Quantum Relativistic Dynamics of Particles and Fields - Galileo Galilei Inst Theoret Phys (GGI), Florence, ITALY - MAY 29-JUN 01, 2012. Edited by:Horowitz, LP

Extending Distance-based Ranking Models In Estimation of Distribution Algorithms

Recently, probability models on rankings have been proposed in the field of estimation of distribution algorithms in order to solve permutation-based combinatorial optimisation problems. Particularly, distance-based ranking models, such as Mallows and Generalized Mallows under the Kendall’s-t distance, have demonstrated their validity when solving this type of problems. Nevertheless, there are still many trends that deserve further study. In this paper, we extend the use of distance-based ranking models in the framework of EDAs by introducing new distance metrics such as Cayley and Ulam. In order to analyse the performance of the Mallows and Generalized Mallows EDAs under the Kendall, Cayley and Ulam distances, we run them on a benchmark of 120 instances from four well known permutation problems. The conducted experiments showed that there is not just one metric that performs the best in all the problems. However, the statistical test pointed out that Mallows-Ulam EDA is the most stable algorithm among the studied proposals.

Implementing Integrated Water Resources Management in the Ebro River Basin: From Theory to Facts

JA-925

Learning to perceive in the sensor motor approach: Piaget's theory of equilibration interpreted dynamically

Learning to perceive is faced with a classical paradox: if understanding is required for perception, how can we learn to perceive something new, something we do not yet understand? According to the sensorimotor approach, perception involves mastery of regular sensorimotor co-variations that depend on the agent and the environment, also known as the "laws" of sensorimotor contingencies (SMCs). In this sense, perception involves enacting relevant sensorimotor skills in each situation. It is important for this proposal that such skills can be learned and refined with experience and yet up to this date, the sensorimotor approach has had no explicit theory of perceptual learning. The situation is made more complex if we acknowledge the open-ended nature of human learning. In this paper we propose Piaget's theory of equilibration as a potential candidate to fulfill this role. This theory highlights the importance of intrinsic sensorimotor norms, in terms of the closure of sensorimotor schemes. It also explains how the equilibration of a sensorimotor organization faced with novelty or breakdowns proceeds by re-shaping pre-existing structures in coupling with dynamical regularities of the world. This way learning to perceive is guided by the equilibration of emerging forms of skillful coping with the world. We demonstrate the compatibility between Piaget's theory and the sensorimotor approach by providing a dynamical formalization of equilibration to give an explicit micro-genetic account of sensorimotor learning and, by extension, of how we learn to perceive. This allows us to draw important lessons in the form of general principles for open-ended sensorimotor learning, including the need for an intrinsic normative evaluation by the agent itself. We also explore implications of our micro-genetic account at the personal level.

An enactive and dynamical systems theory account of dyadic relationships

Many social relationships are a locus of struggle and suffering, either at the individual or interactional level. In this paper we explore why this is the case and suggest a modeling approach for dyadic interactions and the well-being of the participants. To this end we bring together an enactive approach to self with dynamical systems theory. Our basic assumption is that the quality of any social interaction or relationship fundamentally depends on the nature and constitution of the individuals engaged in these interactions. From an enactive perspective the self is conceived as an embodied and socially enacted autonomous system striving to maintain an identity. This striving involves a basic two-fold goal: the ability to exist as an individual in one's own right, while also being open to and affected by others. In terms of dynamical systems theory one can thus consider the individual self as a self-other organized system represented by a phase space spanned by the dimensions of distinction and participation, where attractors can be defined. Based on two everyday examples of dyadic relationship we propose a simple model of relationship dynamics, in which struggle or well-being in the dyad is analyzed in terms of movements of dyadic states that are in tension or in harmony with individually developed attractors. Our model predicts that relationships can be sustained when the dyad develops a new joint attractor toward which dyadic states tend to move, and well-being when this attractor is in balance with the individuals' attractors. We outline how this can inspire research on psychotherapy. The psychotherapy process itself provides a setting that supports clients to become aware how they fare with regards to the two-fold norm of distinction and participation and develop, through active engagement between client (or couple) and therapist, strategies to co-negotiate their self-organization.

Distribution of Healthcare resources II.Study and Comparison of a Linear Programming Problem and its Dual. Resolution and Evaluation of a Practical Case and its Programming using Excel and Win QSB.

[EN]This research had as primary objective to model different types of problems using linear programming and apply different methods so as to find an adequate solution to them. To achieve this objective, a linear programming problem and its dual were studied and compared. For that, linear programming techniques were provided and an introduction of the duality theory was given, analyzing the dual problem and the duality theorems. Then, a general economic interpretation was given and different optimal dual variables like shadow prices were studied through the next practical case: An aesthetic surgery hospital wanted to organize its monthly waiting list of four types of surgeries to maximize its daily income. To solve this practical case, we modelled the linear programming problem following the relationships between the primal problem and its dual. Additionally, we solved the dual problem graphically, and then we found the optimal solution of the practical case posed through its dual, following the different theorems of the duality theory. Moreover, how Complementary Slackness can help to solve linear programming problems was studied. To facilitate the solution Solver application of Excel and Win QSB programme were used.

One-dimensional potential for image-potential states on graphene

In the framework of dielectric theory, the static non-local self-energy of an electron near an ultra-thin polarizable layer has been calculated and applied to study binding energies of image-potential states near free-standing graphene. The corresponding series of eigenvalues and eigenfunctions have been obtained by numerically solving the one-dimensional Schrodinger equation. The imagepotential state wave functions accumulate most of their probability outside the slab. We find that the random phase approximation (RPA) for the nonlocal dielectric function yields a superior description for the potential inside the slab, but a simple Fermi-Thomas theory can be used to get a reasonable quasi-analytical approximation to the full RPA result that can be computed very economically. Binding energies of the image-potential states follow a pattern close to the Rydberg series for a perfect metal with the addition of intermediate states due to the added symmetry of the potential. The formalism only requires a minimal set of free parameters: the slab width and the electronic density. The theoretical calculations are compared with experimental results for the work function and image-potential states obtained by two-photon photoemission.

Hartle's model within the general theory of perturbatiye matchings: the change in mass

Hartle's model provides the most widely used analytic framework to describe isolated compact bodies rotating slowly in equilibrium up to second order in perturbations in the context of General Relativity. Apart from some explicit assumptions, there are some implicit, like the "continuity" of the functions in the perturbed metric across the surface of the body. In this work we sketch the basics for the analysis of the second order problem using the modern theory of perturbed matchings. In particular, the result we present is that when the energy density of the fluid in the static configuration does not vanish at the boundary, one of the functions of the second order perturbation in the setting of the original work by Hartle is not continuous. This discrepancy affects the calculation of the change in mass of the rotating star with respect to the static configuration needed to keep the central energy density unchanged.

Random matrix theory eta aplikazioa kaos kuantikoan

[eus] Gradu amaierako lan honetan ausazko matrizeen teoriari, RMT-ri, buruzko sarrera orokor bat egiten da ondoren aplikazio fisiko bat emateko. Teoriaren aplikazioa egiteko Kaos kuantikoa deritzon fisikaren arloa erabiliko da. Lehenik eta behin, RMT-ren kontzeptu batzuk azalduko dira helburutzat lehen auzokideen distantziaren distribuzioaren espresio lortzea izanik. Izan ere, distribuzio honek erakutsiko baititu Kaosak kuantikoki uzten dituen aztarnak. Bigarren kapituluan, aplikazio fisikoa azalduko da. Lehenengo Kaosean RMT nola aplikatzen den ikusiko da, ondoren adibide batzuen bidez argituz, eremu magnetiko batean dagoen hidrogeno atomoa eta billar kuantikoak izenarekin ezagutzen diren sistemak, batik bat.