325 resultados para option pricing VIX Laguerre expansion jump-diffusion


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We develop a new analytical solution for a reactive transport model that describes the steady-state distribution of oxygen subject to diffusive transport and nonlinear uptake in a sphere. This model was originally reported by Lin (Journal of Theoretical Biology, 1976 v60, pp449–457) to represent the distribution of oxygen inside a cell and has since been studied extensively by both the numerical analysis and formal analysis communities. Here we extend these previous studies by deriving an analytical solution to a generalized reaction-diffusion equation that encompasses Lin’s model as a particular case. We evaluate the solution for the parameter combinations presented by Lin and show that the new solutions are identical to a grid-independent numerical approximation.

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In the context of government funding and targets for increased participation in higher education and equity groups, as well as attrition rates, the literature on first year higher education highlights the importance of appropriate levels of support for students transitioning to higher education. In the law school context, support of first year students is also important in the response to the high levels of stress among law students. It is therefore necessary for universities to provide a variety of support to first year students from both a student perspective and a curriculum perspective. This paper explores the process of investigating the expansion of student support, including peer support programs, staff led programs, appointing a first year coordinator and developing a curriculum plan. These programs promote engagement and ensure a cohesive and integrated first year experience from both curriculum design and student experience perspectives. This paper will explain the process undertaken at QUT of expanding support for first year law students, overview the program details and will reflect on the feedback from students, peer facilitators and staff of expanding support for first year law students at QUT. The paper will conclude with recommendations for improvement to the program.

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Language Modeling (LM) has been successfully applied to Information Retrieval (IR). However, most of the existing LM approaches only rely on term occurrences in documents, queries and document collections. In traditional unigram based models, terms (or words) are usually considered to be independent. In some recent studies, dependence models have been proposed to incorporate term relationships into LM, so that links can be created between words in the same sentence, and term relationships (e.g. synonymy) can be used to expand the document model. In this study, we further extend this family of dependence models in the following two ways: (1) Term relationships are used to expand query model instead of document model, so that query expansion process can be naturally implemented; (2) We exploit more sophisticated inferential relationships extracted with Information Flow (IF). Information flow relationships are not simply pairwise term relationships as those used in previous studies, but are between a set of terms and another term. They allow for context-dependent query expansion. Our experiments conducted on TREC collections show that we can obtain large and significant improvements with our approach. This study shows that LM is an appropriate framework to implement effective query expansion.

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Recently, because of the new developments in sustainable engineering and renewable energy, which are usually governed by a series of fractional partial differential equations (FPDEs), the numerical modelling and simulation for fractional calculus are attracting more and more attention from researchers. The current dominant numerical method for modeling FPDE is Finite Difference Method (FDM), which is based on a pre-defined grid leading to inherited issues or shortcomings including difficulty in simulation of problems with the complex problem domain and in using irregularly distributed nodes. Because of its distinguished advantages, the meshless method has good potential in simulation of FPDEs. This paper aims to develop an implicit meshless collocation technique for FPDE. The discrete system of FPDEs is obtained by using the meshless shape functions and the meshless collocation formulation. The stability and convergence of this meshless approach are investigated theoretically and numerically. The numerical examples with regular and irregular nodal distributions are used to validate and investigate accuracy and efficiency of the newly developed meshless formulation. It is concluded that the present meshless formulation is very effective for the modeling and simulation of fractional partial differential equations.

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In information retrieval, a user's query is often not a complete representation of their real information need. The user's information need is a cognitive construction, however the use of cognitive models to perform query expansion have had little study. In this paper, we present a cognitively motivated query expansion technique that uses semantic features for use in ad hoc retrieval. This model is evaluated against a state-of-the-art query expansion technique. The results show our approach provides significant improvements in retrieval effectiveness for the TREC data sets tested.

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Velocity jump processes are discrete random walk models that have many applications including the study of biological and ecological collective motion. In particular, velocity jump models are often used to represent a type of persistent motion, known as a “run and tumble”, which is exhibited by some isolated bacteria cells. All previous velocity jump processes are non-interacting, which means that crowding effects and agent-to-agent interactions are neglected. By neglecting these agent-to-agent interactions, traditional velocity jump models are only applicable to very dilute systems. Our work is motivated by the fact that many applications in cell biology, such as wound healing, cancer invasion and development, often involve tissues that are densely packed with cells where cell-to-cell contact and crowding effects can be important. To describe these kinds of high cell density problems using a velocity jump process we introduce three different classes of crowding interactions into a one-dimensional model. Simulation data and averaging arguments lead to a suite of continuum descriptions of the interacting velocity jump processes. We show that the resulting systems of hyperbolic partial differential equations predict the mean behavior of the stochastic simulations very well.

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This study contributes to the literature on international retailing by addressing a gap in the literature as to how retailers from emerging markets expand internationally. This historical case study analyzes the growth and internationalization process of Chilean retailer Falabella, one of the largest in Latin America and has been able to compete with multinationals from developed countries. The research is based upon primary and secondary data sources including 33 oral interviews with company managers and family executives, as well as industry data, corporate reports, and trade journals. Drawing on institutional theory, the findings show that by belonging to a family conglomerate, engaging in networks and partnerships, organizational learning, and having an experienced management team helped Falabella gain legitimacy in all international markets.

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Continuum, partial differential equation models are often used to describe the collective motion of cell populations, with various types of motility represented by the choice of diffusion coefficient, and cell proliferation captured by the source terms. Previously, the choice of diffusion coefficient has been largely arbitrary, with the decision to choose a particular linear or nonlinear form generally based on calibration arguments rather than making any physical connection with the underlying individual-level properties of the cell motility mechanism. In this work we provide a new link between individual-level models, which account for important cell properties such as varying cell shape and volume exclusion, and population-level partial differential equation models. We work in an exclusion process framework, considering aligned, elongated cells that may occupy more than one lattice site, in order to represent populations of agents with different sizes. Three different idealizations of the individual-level mechanism are proposed, and these are connected to three different partial differential equations, each with a different diffusion coefficient; one linear, one nonlinear and degenerate and one nonlinear and nondegenerate. We test the ability of these three models to predict the population level response of a cell spreading problem for both proliferative and nonproliferative cases. We also explore the potential of our models to predict long time travelling wave invasion rates and extend our results to two dimensional spreading and invasion. Our results show that each model can accurately predict density data for nonproliferative systems, but that only one does so for proliferative systems. Hence great care must be taken to predict density data for with varying cell shape.

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This paper critically analyses the proposed Australian regulatory approach to the crediting of biological sequestration activities (biosequestration) under the Australian Carbon Farming Initiative and its interaction with State-based carbon rights, the national carbon-pricing mechanism, and the international Kyoto Protocol and carbon-trading markets. Norms and principles have been established by the Kyoto Protocol to guide the creation of additional, verifiable, and permanent credits from biosequestration activities. This paper examines the proposed arrangements under the Australian Carbon Farming Initiative and Carbon Pricing Mechanism to determine whether they are consistent with those international norms and standards. This paper identifies a number of anomalies associated with the legal treatment of additionality and permanence and issuance of carbon credits within the Australian schemes. In light of this, the paper considers the possible legal implications for the national and international transfer, surrender and use of these offset credits.

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Haematopoiesis is the process by which a hierarchy of mature and progenitor blood cells are formed. These cell populations are all derived from multipotent haematopoietic stem cells (HSC), which reside in the bone marrow ‘niche’ of adult humans. Over the lifetime of a healthy individual, this HSC population replenishes between 1010-1011 blood cells on a daily basis. Dysregulation of this system can lead to a number of haematopoietic diseases, including aplastic anaemias and leukaemias, which result in, or require for disease resolution, bone marrow cell depletion. In 1956, E. Donnall Thomas demonstrated that haematopoiesis could be restored by transplanting bone marrow-derived cells from one man into his identical twin brother, who was suffering from advanced leukaemia. His success drew significant interest in academic research and medicine communities, and 12 years later, the first successful allogeneic transplant was performed. To this day, HSCs remain the most studied and characterised stem cell population. In fact, HSCs are the only stem cell population routinely utilised in the clinic. As such, HSCs function as a model system both for the biological investigation of stem cells, as well as for their clinical application. Herein, we briefly review HSC transplantation, strategies for the ex vivo cultivation of HSCs, recent clinical outcomes, and their impact on the future direction of HSC transplantation therapy.

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As part of the Australian Government’s Clean Energy Plan, the Government has attempted to harness the legal innovation of the tradeable emissions unit, within a capped carbon trading system, to reduce greenhouse gas emissions. Such an approach promises to send a price signal to the market which will influence emitting behaviours and reduce our emissions in a cost-effective manner. However, if the carbon trading scheme is to successfully achieve cost-effective emissions reductions then the carbon market must be supported by an appropriate legal framework. This paper will consider the key features of the Australian Carbon Pricing Mechanism, including the Carbon Farming Initiative, and critique whether it has all the hallmarks of an effective legal framework to reduce Australia’s net greenhouse gas emissions. The likely future of the trading scheme, following the 2013 elections, will also be addressed.

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This summary is based on an international review of leading peer reviewed journals, in both technical and management fields. It draws on highly cited articles published between 2000 and 2009 to investigate the research question, "What are the diffusion determinants for passive building technologies in Australia?". Using a conceptual framework drawn from the innovation systems literature, this paper synthesises and interprets the literature to map the current state of passive building technologies in Australia and to analyse the drivers for, and obstacles to, their optimal diffusion. The paper concludes that the government has a key role to play through its influence over the specification of building codes.

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In this study, we explore the population genetics of the Russian wheat aphid (RWA) (Diuraphis noxia), one of the world’s most invasive agricultural pests, in north-western China. We have analysed the data of 10 microsatellite loci and mitochondrial sequences from 27 populations sampled over 2 years in China. The results confirm that the RWAs are holocyclic in China with high genetic diversity indicating widespread sexual reproduction. Distinct differences in microsatellite genetic diversity and distribution revealed clear geographic isolation between RWA populations in northern and southern Xinjiang, China, with gene flow interrupted across extensive desert regions. Despite frequent grain transportation from north to south in this region, little evidence for RWA translocation as a result of human agricultural activities was found. Consequently, frequent gene flow among northern populations most likely resulted from natural dispersal, potentially facilitated by wind currents. We also found evidence for the longterm existence and expansion of RWAs in China, despite local opinion that it is an exotic species only present in China since 1975. Our estimated date of RWA expansion throughout China coincides with the debut of wheat domestication and cultivation practices in western Asia in the Holocene. We conclude that western China represents the limit of the far eastern native range of this species. This study is the most comprehensive molecular genetic investigation of the RWA in its native range undertaken to date and provides valuable insights into the history of the association of this aphid with domesticated cereals and wild grasses.

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This article examines the current transfer pricing regime to consider whether it is a sound model to be applied to modern multinational entities. The arm's length price methodology is examined to enable a discussion of the arguments in favour of such a regime. The article then refutes these arguments concluding that, contrary to the very reason multinational entities exist, applying arm's length rules involves a legal fiction of imagining transactions between unrelated parties. Multinational entities exist to operate in a way that independent entities would not, which the arm's length rules fail to take into account. As such, there is clearly an air of artificiality in applying the arm's length standard. To demonstrate this artificiality with respect to modern multinational entities, multinational banks are used as an example. The article concluded that the separate entity paradigm adopted by the traditional transfer pricing regime is incongruous with the economic theory of modern multinational enterprises.