92 resultados para Volatilità implicita formula di Black-Sholescomportamento asintotico vicino alla scadenza


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A time series method for the determination of combustion chamber resonant frequencies is outlined. This technique employs the use of Markov-chain Monte Carlo (MCMC) to infer parameters in a chosen model of the data. The development of the model is included and the resonant frequency is characterised as a function of time. Potential applications for cycle-by-cycle analysis are discussed and the bulk temperature of the gas and the trapped mass in the combustion chamber are evaluated as a function of time from resonant frequency information.

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There is an intimate interconnectivity between policy guidelines defining reform and the delineation of what research methods would be subsequently applied to determine reform success. Research is guided as much by the metaphors describing it as by the ensuing empirical definition of actions of results obtained from it. In a call for different reform policy metaphors Lumby and English (2010) note, “The primary responsibility for the parlous state of education... lies with the policy makers that have racked our schools with reductive and dehumanizing processes, following the metaphors of market efficiency, and leadership models based on accounting and the characteristics of machine bureaucracy” (p. 127)

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Contends that South African universities must find admissions criteria, other than high school grades, that are both fair and valid for Black applicants severely disadvantaged by an inferior school education. The use of traditional intellectual assessments and aptitude tests for disadvantaged and minority students remains controversial as a fair assessment; they do not take account of potential for change. In this study, therefore, a measure of students' cognitive modifiability, assessed by means of an interactive assessment model, was added as a moderator of traditional intellectual assessment in predicting 1st-yr university success. Cognitive modifiability significantly moderated the predictive validity of the traditional intellectual assessment for 52 disadvantaged Black students. The higher the level of cognitive modifiability, the less effective were traditional methods for predicting academic success and vice versa.

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This chapter discusses an action research project into the lived experience of the workplace mobbing phenomenon. The action research methodology is based on the exemplarian model (Coenen & Khonraad, 2003) from the Netherlands Group. This model requires positive outcomes for those immersed in the problem to reduce the adversity of their circumstances. The findings challenge the psychological perspective of the existing bullying literature that tends to focus on individual behaviour. This research, undertaken over a three year period with 212 participants, identified the dysfunctional nature of public sector bureaucracies and the power gained through gossip and rumour as some of the key emergent themes to explain the workplace mobbing problem. In addition, resistance, conscientisation, and agency were identified as the key to transformation for those targeted. The discussion focuses on the crystallisation phase of the exemplarian model where the participants identified themselves as the Black Sheep and adopted the motto that “a black sheep is a biting beast” (Bastard, 1565 or 6-1618, p. 90), reflecting a sense of empowerment, individual agency, and a sense of humour in dealing with the serious yet seemingly absurd reality of their situations. The identity of the Black Sheep was consolidated when the group organised a 2 day conference with over 200 attendees to discuss how best to prevent workplace mobbing. This self-affirming action was a proactive step towards metaphorically “biting back” at the problem. A number of positive outcomes were achieved including the conference with over 200 attending leading to national media coverage across Australia and additional interviews with magazines, newspapers, and radio.

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Determining the optimal of black-start strategies is very important for speeding the restoration speed of a power system after a global blackout. Most existing black-start decision-making methods are based on the assumption that all indexes are independent of each other, and little attention has been paid to the group decision-making method which is more reliable. Given this background, the intuitionistic fuzzy set and further intuitionistic fuzzy Choquet integral operator are presented, and a black-start decision-making method based on this integral operator is presented. Compared to existing methods, the proposed algorithm cannot only deal with the relevance among the indexes, but also overcome some shortcomings of the existing methods. Finally, an example is used to demonstrate the proposed method. © 2012 The Institution of Engineering and Technology.

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Food modelling systems such as the Core Foods and the Australian Guide to Healthy Eating are frequently used as nutritional assessment tools for menus in ‘well’ groups (such as boarding schools, prisons and mental health facilities), with the draft Foundation and Total Diets (FATD) the latest revision. The aim of this paper is to apply the FATD to an assessment of food provision in a long stay, ‘well’, group setting to determine its usefulness as a tool. A detailed menu review was conducted in a 1000 bed male prison, including verification of all recipes. Full diet histories were collected on 106 prisoners which included foods consumed from the menu and self funded snacks. Both the menu and diet histories were analysed according to core foods, with recipes used to assist in quantification of mixed dishes. Comparison was made of average core foods with Foundation Diet recommendations (FDR) for males. Results showed that the standard menu provided sufficient quantity for 8 of 13 FDRs, however was low in nuts, legumes, refined cereals and marginally low in fruits and orange vegetables. The average prisoner diet achieved 9 of 13 FDRs, notably with margarines and oils less than half and legumes one seventh of recommended. Overall, although the menu and prisoner diets could easily be assessed using the FDRs, it was not consistent with recommendations. In long stay settings other Nutrient Reference Values not modelled in the FATDS need consideration, in particular, Suggested Dietary Targets and professional judgement is required in interpretation.

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Power system restoration after a large area outage involves many factors, and the procedure is usually very complicated. A decision-making support system could then be developed so as to find the optimal black-start strategy. In order to evaluate candidate black-start strategies, some indices, usually both qualitative and quantitative, are employed. However, it may not be possible to directly synthesize these indices, and different extents of interactions may exist among these indices. In the existing black-start decision-making methods, qualitative and quantitative indices cannot be well synthesized, and the interactions among different indices are not taken into account. The vague set, an extended version of the well-developed fuzzy set, could be employed to deal with decision-making problems with interacting attributes. Given this background, the vague set is first employed in this work to represent the indices for facilitating the comparisons among them. Then, a concept of the vague-valued fuzzy measure is presented, and on that basis a mathematical model for black-start decision-making developed. Compared with the existing methods, the proposed method could deal with the interactions among indices and more reasonably represent the fuzzy information. Finally, an actual power system is served for demonstrating the basic features of the developed model and method.

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Intercalated Archean komatiites and dacites sit above a thick footwall dacite unit in the host rock succession at the Black Swan Nickel Mine, north of Kalgoorlie in the Yilgarn Craton, Western Australia. Both lithofacies occur in units that vary in scale from laterally extensive at the scale of the mine lease to localized, thin, irregular bodies, from > 100 m thick to only centimetres thick. Some dacites are only slightly altered and deformed, and are interpreted to post-date major deformation and alteration (late porphyries). However, the majority of the dacites display evidence of deformation, especially at contacts, and metamorphism, varying from silicification and chlorite alteration at contacts to pervasive low grade regional metamorphic alteration represented by common assemblages of chlorite, sericite and albite. Texturally, the dacites vary from entirely massive and coherent to partially brecciated to totally brecciated. Strangely, some dacites are coherent at the margins and brecciated internally. Breccia textures vary from cryptically defined, to blocky, closely packed, in situ jig-saw fit textures with secondary minerals in fractures between clasts, to more apparent matrix rich textures with round clast forms, giving apparent conglomerate textures. Some clast zones have multi-coloured clasts, giving the impression of varied provenance. Strangely however, all these textural variants have gradational relationships with each other, and no bedding or depositional structures are present. This indicates that all textures have an in situ origin. The komatiites are generally altered and pervasively carbonate veined. Preservation of original textures is patchy and local, but includes coarse adcumulate, mesocumulate, orthocumulate, crescumulate-harrisite and occasionally spinifex textures. Where original contacts between komatiites and dacites are preserved intact (i.e. not sheared or overprinted by alteration), the komatiites have chilled margins, whereas the dacites do not. The margins of the dacites are commonly silicified, and inclusions of dacite occur in komatiite, even at the top contacts of komatiite units, but komatiite clasts do not occur in the dacites. The komatiites therefore were emplaced as sills into the dacites, and the intercalated relationships are interpreted as intrusive. The brecciation and alteration in the dacites are interpreted as being largely due to hydraulic fracturing and alteration induced by contact metamorphic effects and hydrothermal alteration deriving from the intrusion of komatiites into the felsic pile. The absence of autobreccia and hyaloclastite textures in the dacites suggest that they were emplaced as an earlier intrusive (sill?) complex at a high level in the crust.

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In recent years considerable attention has been paid to the numerical solution of stochastic ordinary differential equations (SODEs), as SODEs are often more appropriate than their deterministic counterparts in many modelling situations. However, unlike the deterministic case numerical methods for SODEs are considerably less sophisticated due to the difficulty in representing the (possibly large number of) random variable approximations to the stochastic integrals. Although Burrage and Burrage [High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations, Applied Numerical Mathematics 22 (1996) 81-101] were able to construct strong local order 1.5 stochastic Runge-Kutta methods for certain cases, it is known that all extant stochastic Runge-Kutta methods suffer an order reduction down to strong order 0.5 if there is non-commutativity between the functions associated with the multiple Wiener processes. This order reduction down to that of the Euler-Maruyama method imposes severe difficulties in obtaining meaningful solutions in a reasonable time frame and this paper attempts to circumvent these difficulties by some new techniques. An additional difficulty in solving SODEs arises even in the Linear case since it is not possible to write the solution analytically in terms of matrix exponentials unless there is a commutativity property between the functions associated with the multiple Wiener processes. Thus in this present paper first the work of Magnus [On the exponential solution of differential equations for a linear operator, Communications on Pure and Applied Mathematics 7 (1954) 649-673] (applied to deterministic non-commutative Linear problems) will be applied to non-commutative linear SODEs and methods of strong order 1.5 for arbitrary, linear, non-commutative SODE systems will be constructed - hence giving an accurate approximation to the general linear problem. Secondly, for general nonlinear non-commutative systems with an arbitrary number (d) of Wiener processes it is shown that strong local order I Runge-Kutta methods with d + 1 stages can be constructed by evaluated a set of Lie brackets as well as the standard function evaluations. A method is then constructed which can be efficiently implemented in a parallel environment for this arbitrary number of Wiener processes. Finally some numerical results are presented which illustrate the efficacy of these approaches. (C) 1999 Elsevier Science B.V. All rights reserved.

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Circulating 25-hydroxyvitamin D (25(OH)D), a marker for vitamin D status, is associated with bone health and possibly cancers and other diseases; yet, the determinants of 25(OH)D status, particularly ultraviolet radiation (UVR) exposure, are poorly understood. Determinants of 25(OH)D were analyzed in a subcohort of 1,500 participants of the US Radiologic Technologists (USRT) Study that included whites (n 842), blacks (n 646), and people of other races/ethnicities (n 12). Participants were recruited monthly (20082009) across age, sex, race, and ambient UVR level groups. Questionnaires addressing UVR and other exposures were generally completed within 9 days of blood collection. The relation between potential determinants and 25(OH)D levels was examined through regression analysis in a random two-thirds sample and validated in the remaining one third. In the regression model for the full study population, age, race, body mass index, some seasons, hours outdoors being physically active, and vitamin D supplement use were associated with 25(OH)D levels. In whites, generally, the same factors were explanatory. In blacks, only age and vitamin D supplement use predicted 25(OH)D concentrations. In the full population, determinants accounted for 25 of circulating 25(OH)D variability, with similar correlations for subgroups. Despite detailed data on UVR and other factors near the time of blood collection, the ability to explain 25(OH)D was modest.

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As the first stage of power system restoration after a blackout, an optimal black-start scheme is very important for speeding up the whole restoration procedure. Up to now, much research work has been done on generating or selecting an optimal black-start scheme by a single round of decision-making. However, less attention has been paid for improving the final decision-making results through a multiple-round decision-making procedure. In the group decision-making environment, decision-making results evaluated by different black-start experts may differ significantly with each other. Thus, the consistency of black-start decision-making results could be deemed as an important indicator in assessing the black-start group decision-making results. Given this background, an intuitionistic fuzzy distance-based method is presented to analyse the consistency of black-start group decision-making results. Moreover, the weights of black-start indices as well as the weights of decision-making experts are modified in order to optimise the consistency of black-start group decision-making results. Finally, an actual example is served for demonstrating the proposed method.