314 resultados para modeling implied volatility


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Organizational and technological systems analysis and design practices such as process modeling have received much attention in recent years. However, while knowledge about related artifacts such as models, tools, or grammars has substantially matured, little is known about the actual tasks and interaction activities that are conducted as part of analysis and design acts. In particular, key role of the facilitator has not been researched extensively to date. In this paper, we propose a new conceptual framework that can be used to examine facilitation behaviors in process modeling projects. The framework distinguishes four behavioral styles in facilitation (the driving engineer, the driving artist, the catalyzing engineer, and the catalyzing artist) that a facilitator can adopt. To distinguish between the four styles, we provide a set of ten behavioral anchors that underpin facilitation behaviors. We also report on a preliminary empirical exploration of our framework through interviews with experienced analysts in six modeling cases. Our research provides a conceptual foundation for an emerging theory for describing and explaining different behaviors associated with process modeling facilitation, provides first preliminary empirical results about facilitation in modeling projects, and provides a fertile basis for examining facilitation in other conceptual modeling activities.

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The present contribution deals with the numerical modelling of railway track-supporting systems-using coupled finite-infinite elements-to represent the near and distant field stress distribution, and also employing a thin layer interface element to account for the interfacial behaviour between sleepers and ballast. To simulate the relative debonding, slipping and crushing at the contact area between sleepers and ballast, a modified Mohr-Coulomb criterion was adopted. Further more an attempt was made to consider the elasto plastic materials’ non-linearity of the railway track supporting media by employing different constitutive models to represent steel, concrete and other supporting materials. It is seen that during an incremental-iterative mode of load application, the yielding initially started from the edge of the sleepers and then flowed vertically downwards and spread towards the centre of the railway supporting system.

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Draglines are extremely large machines that are widely used in open-cut coal mines for overburden stripping. Since 1994 we have been working toward the development of a computer control system capable of automatically driving a dragline for a large portion of its operating cycle. This has necessitated the development and experimental evaluation of sensor systems, machines models, closed-loop control controllers, and an operator interface. This paper describes our steps toward the goal through scale-model and full-scale field experimentation.

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Power line inspection is a vital function for electricity supply companies but it involves labor-intensive and expensive procedures which are tedious and error-prone for humans to perform. A possible solution is to use an unmanned aerial vehicle (UAV) equipped with video surveillance equipment to perform the inspection. This paper considers how a small, electrically driven rotorcraft conceived for this application could be controlled by visually tracking the overhead supply lines. A dynamic model for a ducted-fan rotorcraft is presented and used to control the action of an Air Vehicle Simulator (AVS), consisting of a cable-array robot. Results show how visual data can be used to determine, and hence regulate in closed loop, the simulated vehicle’s position relative to the overhead lines.

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Having a clear project definition is crucial for successful construction projects. It affects design quality, project communication between stakeholders and final project performance in terms of cost, schedule and quality. This study examines the relationship between project definition and final project performance through a structural equation model comprising 4 latent constructs and 6 path hypotheses using data from a questionnaire survey of 120 general contractors in the Malaysian construction industry. The results show that in the study population, all three items impact the project performance, but the link between design quality and project performance is indirect. Instead, the clarity of project definition affects project performance indirectly through design quality and project communication and design quality affects project performance indirectly through project communication. The primary contribution is to provide quantitative confirmation of the more general statements made in the literature from around the world and therefore adds to and consolidates existing knowledge. Practical implications derived from the finding are also proposed for various project stakeholders. Furthermore, as lack of the clarity of project definition is a very common occurrence in construction projects globally, these findings have important ramifications for all construction projects in expanding and clarifying existing knowledge on what is needed for the successful delivery of construction projects.

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Extreme wind events such as tropical cyclones, tornadoes and storms are more likely to impact the Australian coastal regions due to possible climate changes. Such events can be extremely destructive to building structures, in particular, low-rise buildings with lightweight roofing systems that are commonly made of thin steel roofing sheets and battens. Large wind uplift loads that act on the roofs during high wind events often cause premature roof connection failures. Recent wind damage investigations have shown that roof failures have mostly occurred at the batten to rafter or truss screw connections. In most of these cases, the screw fastener heads pulled through the bottom flanges of thin steel roof battens. This roof connection failure is very critical as both roofing sheets and battens will be lost during the high wind events. Hence, a research study was conducted to investigate this critical pull-through failure using both experimental and numerical methods. This paper presents the details of numerical modeling and the results.

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Despite substantial progress in measuring the 3D profile of anatomical variations in the human brain, their genetic and environmental causes remain enigmatic. We developed an automated system to identify and map genetic and environmental effects on brain structure in large brain MRI databases . We applied our multi-template segmentation approach ("Multi-Atlas Fluid Image Alignment") to fluidly propagate hand-labeled parameterized surface meshes into 116 scans of twins (60 identical, 56 fraternal), labeling the lateral ventricles. Mesh surfaces were averaged within subjects to minimize segmentation error. We fitted quantitative genetic models at each of 30,000 surface points to measure the proportion of shape variance attributable to (1) genetic differences among subjects, (2) environmental influences unique to each individual, and (3) shared environmental effects. Surface-based statistical maps revealed 3D heritability patterns, and their significance, with and without adjustments for global brain scale. These maps visualized detailed profiles of environmental versus genetic influences on the brain, extending genetic models to spatially detailed, automatically computed, 3D maps.

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This work describes the development of a model of cerebral atrophic changes associated with the progression of Alzheimer's disease (AD). Linear registration, region-of-interest analysis, and voxel-based morphometry methods have all been employed to elucidate the changes observed at discrete intervals during a disease process. In addition to describing the nature of the changes, modeling disease-related changes via deformations can also provide information on temporal characteristics. In order to continuously model changes associated with AD, deformation maps from 21 patients were averaged across a novel z-score disease progression dimension based on Mini Mental State Examination (MMSE) scores. The resulting deformation maps are presented via three metrics: local volume loss (atrophy), volume (CSF) increase, and translation (interpreted as representing collapse of cortical structures). Inspection of the maps revealed significant perturbations in the deformation fields corresponding to the entorhinal cortex (EC) and hippocampus, orbitofrontal and parietal cortex, and regions surrounding the sulci and ventricular spaces, with earlier changes predominantly lateralized to the left hemisphere. These changes are consistent with results from post-mortem studies of AD.

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The hemodynamic response function (HRF) describes the local response of brain vasculature to functional activation. Accurate HRF modeling enables the investigation of cerebral blood flow regulation and improves our ability to interpret fMRI results. Block designs have been used extensively as fMRI paradigms because detection power is maximized; however, block designs are not optimal for HRF parameter estimation. Here we assessed the utility of block design fMRI data for HRF modeling. The trueness (relative deviation), precision (relative uncertainty), and identifiability (goodness-of-fit) of different HRF models were examined and test-retest reproducibility of HRF parameter estimates was assessed using computer simulations and fMRI data from 82 healthy young adult twins acquired on two occasions 3 to 4 months apart. The effects of systematically varying attributes of the block design paradigm were also examined. In our comparison of five HRF models, the model comprising the sum of two gamma functions with six free parameters had greatest parameter accuracy and identifiability. Hemodynamic response function height and time to peak were highly reproducible between studies and width was moderately reproducible but the reproducibility of onset time was low. This study established the feasibility and test-retest reliability of estimating HRF parameters using data from block design fMRI studies.

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Broad knowledge is required when a business process is modeled by a business analyst. We argue that existing Business Process Management methodologies do not consider business goals at the appropriate level. In this paper we present an approach to integrate business goals and business process models. We design a Business Goal Ontology for modeling business goals. Furthermore, we devise a modeling pattern for linking the goals to process models and show how the ontology can be used in query answering. In this way, we integrate the intentional perspective into our business process ontology framework, enriching the process description and enabling new types of business process analysis. © 2008 IEEE.

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Unlike US and Continental European jurisdictions, Australian monetary policy announcements are not followed promptly by projections materials or comprehensive summaries that explain the decision process. This information is disclosed 2 weeks later when the explanatory minutes of the Reserve Bank board meeting are released. This paper is the first study to exploit the features of the Australian monetary policy environment in order to examine the differential impact of monetary policy announcements and explanatory statements on the Australian interest rate futures market. We find that both monetary policy announcements and explanatory minutes releases have a significant impact on the implied yield and volatility of Australian interest rate futures contracts. When the differential impact of these announcements is examined using the full sample, no statistically significant difference is found. However, when the sample is partitioned based on stable periods and the Global Financial Crisis, a differential impact is evident. Further, contrary to the findings of Kim and Nguyen (2008), Lu et al. (2009), and Smales (2012a), the response along the yield curve, is found to be indifferent between the short and medium terms.

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In the prospect of limited energy resources and climate change, effects of alternative biofuels on primary emissions are being extensively studied. Our two recent studies have shown that biodiesel fuel composition has a significant impact on primary particulate matter emissions. It was also shown that particulate matter caused by biodiesels was substantially different from the emissions due to petroleum diesel. Emissions appeared to have higher oxidative potential with the increase in oxygen content and decrease of carbon chain length and unsaturation levels of fuel molecules. Overall, both studies concluded that chemical composition of biodiesel is more important than its physical properties in controlling exhaust particle emissions. This suggests that the atmospheric aging processes, including secondary organic aerosol formation, of emissions from different fuels will be different as well. In this study, measurements were conducted on a modern common-rail diesel engine. To get more information on realistic properties of tested biodiesel particulate matter once they are released into the atmosphere, particulate matter was exposed to atmospheric oxidants, ozone and ultra-violet light; and the change in their properties was monitored for different biodiesel blends. Upon the exposure to oxidative agents, the chemical composition of the exhaust changes. It triggers the cascade of photochemical reactions resulting in the partitioning of semi-volatile compounds between the gas and particulate phase. In most of the cases, aging lead to the increase in volatility and oxidative potential, and the increment of change was mainly dependent on the chemical composition of fuels as the leading cause for the amount and the type of semi-volatile compounds present in the exhaust.

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As financial markets have become increasingly integrated internationally, the topic of volatility transmission across these markets has become more important. This thesis investigates how the volatility patterns of the world's main financial centres differ across foreign exchange, equity, and bond markets.

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This paper proposes an analytical Incident Traffic Management framework for freeway incident modeling and traffic re-routing. The proposed framework incorporates an econometric incident duration model and a traffic re-routing optimization module. The incident duration model is used to estimate the expected duration of the incident and thus determine the planning horizon for the re-routing module. The re-routing module is a CTM-based Single Destination System Optimal Dynamic Traffic Assignment model that generates optimal real-time strategies of re-routing freeway traffic to its adjacent arterial network during incidents. The proposed framework has been applied to a case study network including a freeway and its adjacent arterial network in South East Queensland, Australia. The results from different scenarios of freeway demand and incident blockage extent have been analyzed and advantages of the proposed framework are demonstrated.

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The major diabetes autoantigen, glutamic acid decarboxylase (GAD65), contains a region of sequence similarity, including six identical residues PEVKEK, to the P2C protein of coxsackie B virus, suggesting that cross-reactivity between coxsackie B virus and GAD65 can initiate autoimmune diabetes. We used the human islet cell mAbs MICA3 and MICA4 to identify the Ab epitopes of GAD65 by screening phage-displayed random peptide libraries. The identified peptide sequences could be mapped to a homology model of the pyridoxal phosphate (PLP) binding domain of GAD65. For MICA3, a surface loop containing the sequence PEVKEK and two adjacent exposed helixes were identified in the PLP binding domain as well as a region of the C terminus of GAD65 that has previously been identified as critical for MICA3 binding. To confirm that the loop containing tile PEVKEK sequence contributes to the MICA3 epitope, this loop was deleted by mutagenesis. This reduced binding of MICA3 by 70%. Peptide sequences selected using MICA4 were rich in basic or hydroxyl-containing amino acids, and the surface of the GAD65 PLP-binding domain surrounding Lys358, which is known to be critical for MICA4 binding, was likewise rich in these amino acids. Also, the two phage most reactive width MICA4 encoded the motif VALxG, and the reverse of this sequence, LAV, was located in this same region. Thus, we have defined the MICA3 and MICA4 epitopes on GAD65 using the combination of phage display, molecular modeling, and mutagenesis and have provided compelling evidence for the involvement of the PEVKEK loop in the MICA3 epitope.