Dynamic models of exchange rate dependence using option prices and historical returns

Models for the conditional joint distribution of the U.S. Dollar/Japanese Yen and Euro/Japanese Yen exchange rates, from November 2001 until June 2007, are evaluated and compared. The conditional dependency is allowed to vary across time, as a function of either historical returns or a combination of past return data and option-implied dependence estimates. Using prices of currency options that are available in the public domain, risk-neutral dependency expectations are extracted through a copula repre- sentation of the bivariate risk-neutral density. For this purpose, we employ either the one-parameter \Normal" or a two-parameter \Gumbel Mixture" specification. The latter provides forward-looking information regarding the overall degree of covariation, as well as, the level and direction of asymmetric dependence. Specifications that include option-based measures in their information set are found to outperform, in-sample and out-of-sample, models that rely solely on historical returns.

Semi-analytical Q parameter estimate in linear and nonlinear transmission systems

We compare the Q parameter obtained from the semi-analytical model with scalar and vector models for two realistic transmission systems. First a linear system with a compensated dispersion map and second a soliton transmission system.

The accuracy of parameter estimation from noisy data, with application to resonance peak estimation in distributed Brillouin sensing

Distributed Brillouin sensing of strain and temperature works by making spatially resolved measurements of the position of the measurand-dependent extremum of the resonance curve associated with the scattering process in the weakly nonlinear regime. Typically, measurements of backscattered Stokes intensity (the dependent variable) are made at a number of predetermined fixed frequencies covering the design measurand range of the apparatus and combined to yield an estimate of the position of the extremum. The measurand can then be found because its relationship to the position of the extremum is assumed known. We present analytical expressions relating the relative error in the extremum position to experimental errors in the dependent variable. This is done for two cases: (i) a simple non-parametric estimate of the mean based on moments and (ii) the case in which a least squares technique is used to fit a Lorentzian to the data. The question of statistical bias in the estimates is discussed and in the second case we go further and present for the first time a general method by which the probability density function (PDF) of errors in the fitted parameters can be obtained in closed form in terms of the PDFs of the errors in the noisy data.

Realisation of an effective dual-parameter sensor employing a single fibre Bragg grating structure

A novel technology for simultaneous and independent measurement of dual parameters is proposed and experimented. The length of a single fibre Bragg grating (FBG) is divided into two parts. The temperature variation and another measurand can be measured independently and simultaneously, and the thermal effect can be erased with great ease.

Ocular changes and other factors relating to two forms of contact lenses:a comparative study

The work utilising a new material for contact lenses has fallen into three parts: Physioloeical considerations: Since the cornea is devoid of blood vessels, its oxygen is derived from the atmosphere. Early hydrophilic gel contact lenses interrupted the flow of oxygen and corneal insult resulted. Three techniques of fenestration were tried to overcome this problem. High speed drilling with 0.1 mm diameter twist drills. was found to be mechanically successful, but under clinical conditions mucous blockage of the fenestrations occurred. An investigation was made into the amount of oxygen arriving at the corneal interface; related to gel lens thickness. The results indicated an improvement in corneal oxygen as lens thickness was reduced. The mechanism is thought to be a form of mechanical pump. A series of clinical studies con:firmed the experimental work; the use of thin lenses removing the symptoms of corneal hypoxia. Design: The parameters of lens back curvature. lens thickness and lens diameter have been isolated and related to three criteria of vision (a) Visual acuity. (b) Visual stability and (c) Induced astigmatism. From the results achieved a revised and basically successful design of lens has been developed. Comparative study: The developed form of lens was compared with traditional lenses in a controlled survey. Twelve factors were assessed over a twenty week period of wear using a total of eighty four patients. The results of this study indicate that whilst the expected changes were noted with the traditional lens wearers, gel lens wearers showed no discernible change in any of the factors measured. ldth the exception of' one parameter. In addition to a description of' the completed l'iork. further investigations are ·sug~ested l'lhich. it is hoped. l'iould further improve the optical performance of gel lenses.

Interacting nonequilibrium systems with two temperatures

We investigate a simplified model of two fully connected magnetic systems maintained at different temperatures by virtue of being connected to two independent thermal baths while simultaneously being interconnected with each other. Using generating functional analysis, commonly used in statistical mechanics, we find exactly soluble expressions for their individual magnetization that define a two-dimensional nonlinear map, the equations of which have the same form as those obtained for densely connected equilibrium systems. Steady states correspond to the fixed points of this map, separating the parameter space into a rich set of nonequilibrium phases that we analyze in asymptotically high and low (nonequilibrium) temperature limits. The theoretical formalism is shown to revert to the classical nonequilibrium steady state problem for two interacting systems with a nonzero heat transfer between them that catalyzes a phase transition between ambient nonequilibrium states. © 2013 American Physical Society.

Relaxation procedures for an iterative MFS algorithm for the stable reconstruction of elastic fields from Cauchy data in two-dimensional isotropic linear elasticity

We investigate two numerical procedures for the Cauchy problem in linear elasticity, involving the relaxation of either the given boundary displacements (Dirichlet data) or the prescribed boundary tractions (Neumann data) on the over-specified boundary, in the alternating iterative algorithm of Kozlov et al. (1991). The two mixed direct (well-posed) problems associated with each iteration are solved using the method of fundamental solutions (MFS), in conjunction with the Tikhonov regularization method, while the optimal value of the regularization parameter is chosen via the generalized cross-validation (GCV) criterion. An efficient regularizing stopping criterion which ceases the iterative procedure at the point where the accumulation of noise becomes dominant and the errors in predicting the exact solutions increase, is also presented. The MFS-based iterative algorithms with relaxation are tested for Cauchy problems for isotropic linear elastic materials in various geometries to confirm the numerical convergence, stability, accuracy and computational efficiency of the proposed method.

The accuracy of parameter estimation from noisy data, with application to resonance peak estimation in distributed Brillouin sensing

Distributed Brillouin sensing of strain and temperature works by making spatially resolved measurements of the position of the measurand-dependent extremum of the resonance curve associated with the scattering process in the weakly nonlinear regime. Typically, measurements of backscattered Stokes intensity (the dependent variable) are made at a number of predetermined fixed frequencies covering the design measurand range of the apparatus and combined to yield an estimate of the position of the extremum. The measurand can then be found because its relationship to the position of the extremum is assumed known. We present analytical expressions relating the relative error in the extremum position to experimental errors in the dependent variable. This is done for two cases: (i) a simple non-parametric estimate of the mean based on moments and (ii) the case in which a least squares technique is used to fit a Lorentzian to the data. The question of statistical bias in the estimates is discussed and in the second case we go further and present for the first time a general method by which the probability density function (PDF) of errors in the fitted parameters can be obtained in closed form in terms of the PDFs of the errors in the noisy data.

Realisation of an effective dual-parameter sensor employing a single fibre Bragg grating structure

A novel technology for simultaneous and independent measurement of dual parameters is proposed and experimented. The length of a single fibre Bragg grating (FBG) is divided into two parts. The temperature variation and another measurand can be measured independently and simultaneously, and the thermal effect can be erased with great ease. © 2005 Elsevier Ltd. All rights reserved.

Optimisation of two-stage raman converter based on phosphosilicate core fibre:Modelling and experiment

Parameter optimization of a two-stage Raman fibre converters (RFC) based on phosphosilicate core fiber was presented. The optimal operational regime was determined and tolerance of the converter against variations of laser parameters was analyzed. Converter was pumped by ytterbium-doped double-clad fibre laser with a maximum output power of 3.8W at 1061 nm. A phosphosilicate-core RFC with enhanced performance was fabricated using the results of numerical modelling.

Microfiber Fabry-Perot interferometer for dual-parameter sensing

We propose and demonstrate a microfiber Fabry-Perot interferometer (MFPI) fabricated by taper-drawing microfiber at the center of a uniform fiber Bragg grating (FBG). The MFPI employing the two separated sections of FBG as reflectors and a length of microfiber as its cavity is derived. Theoretic study shows that the reflection spectrum of such MFPI is consisted of two parts-interference fringes induced by multi-beam interference and reflection spectrum envelope induced by FBGs. Temperature affects both interference fringes and reflection wavelength of FBGs while ambient refractive index (RI) only influences the interference fringes, i.e., MFPI has different response to temperature and RI. Therefore, MFPI for simultaneous sensing of RI and temperature is experimentally demonstrated by tracking a reflection peak of interference fringes and the Bragg wavelength of the FBGs, which are respectively assisted by frequency domain processing and Gaussian fitting of the optical spectrum. Consequently, wavelength measurement resolution of 0.5 pm is realized. © 1983-2012 IEEE.

Resonance properties of domain boundaries in quasi-two dimensional antiferromagnets

The so-called "internal modes" localized near the domain boundaries in quasi-two dimensional antiferromagnets are investigated. The possible localized states are classified and their frequency dependences on the system discreteness parameter λ=J/β, which describes the ratio of the magnitudes of the exchange interplane interaction and the magnetic anisotropy, are found. A sudden change in the spectrum of the local internal modes is observed at a critical value of this parameter, λ=λb=3/4, where the domain wall shifts from a collinear to a canted shape. When λ<λb there are one symmetric and two antisymmetric local modes, and when λ>λb the modes are two symmetric, one antisymmetric, and one shear. For discreteness parameters close to the critical value, the frequencies of some of the local modes lie deep inside the gap for the linear AFM magnon spectrum and can be observed experimentally. © 2010 American Institute of Physics.