Estimating the parameters of stochastic volatility models using option price data

This article describes a maximum likelihood method for estimating the parameters of the standard square-root stochastic volatility model and a variant of the model that includes jumps in equity prices. The model is fitted to data on the S&P 500 Index and the prices of vanilla options written on the index, for the period 1990 to 2011. The method is able to estimate both the parameters of the physical measure (associated with the index) and the parameters of the risk-neutral measure (associated with the options), including the volatility and jump risk premia. The estimation is implemented using a particle filter whose efficacy is demonstrated under simulation. The computational load of this estimation method, which previously has been prohibitive, is managed by the effective use of parallel computing using graphics processing units (GPUs). The empirical results indicate that the parameters of the models are reliably estimated and consistent with values reported in previous work. In particular, both the volatility risk premium and the jump risk premium are found to be significant.

Studies on elastic coupling parameters of fracture modes in orthotropic materials

The characterisation of cracks is usually done using the well known three basic fracture modes, namely opening, shearing and tearing modes. In isotropic materials these modes are uncoupled and provide a convenient way to define the fracture parameters. It is well known that these fracture modes are coupled in anisotropic materials. In the case of orthotropic materials also, coupling exists between the fracture modes, unless the crack plane coincides with one of the axes of orthotropy. The strength of coupling depends upon the orientation of the axes of orthotropy with respect to the crack plane and so the energy release rate components associated with each of the modes vary with crack orientation. The variation, of these energy release rate components with the crack orientation with respect to orthotropic axes, is analyzed in this paper. Results indicate that in addition to the orthotropic planes there exists other planes with reference to which fracture modes are uncoupled.

Determination of diffusion parameters and activation energy of diffusion in V3Si phase with A15 crystal structure

Diffusion such is the integrated diffusion coefficient of the phase, the tracer diffusion coefficient of species at different temperatures and the activation energy for diffusion, are determined in V3Si phase with A15 crystal structure. The tracer diffusion coefficient of Si Was found to be negligible compared to the tracer diffusion coefficient of V. The calculated diffusion parameters will help to validate the theoretical analysis of defect structure of the phase, which plays an important role in the superconductivity.

A probabilistic constrained nonlinear optimization framework to optimize RED parameters

The random early detection (RED) technique has seen a lot of research over the years. However, the functional relationship between RED performance and its parameters viz,, queue weight (omega(q)), marking probability (max(p)), minimum threshold (min(th)) and maximum threshold (max(th)) is not analytically availa ble. In this paper, we formulate a probabilistic constrained optimization problem by assuming a nonlinear relationship between the RED average queue length and its parameters. This problem involves all the RED parameters as the variables of the optimization problem. We use the barrier and the penalty function approaches for its Solution. However (as above), the exact functional relationship between the barrier and penalty objective functions and the optimization variable is not known, but noisy samples of these are available for different parameter values. Thus, for obtaining the gradient and Hessian of the objective, we use certain recently developed simultaneous perturbation stochastic approximation (SPSA) based estimates of these. We propose two four-timescale stochastic approximation algorithms based oil certain modified second-order SPSA updates for finding the optimum RED parameters. We present the results of detailed simulation experiments conducted over different network topologies and network/traffic conditions/settings, comparing the performance of Our algorithms with variants of RED and a few other well known adaptive queue management (AQM) techniques discussed in the literature.

The Influence of Processing Parameters on Characteristics of an Aluminum Alloy Spray Deposition

In the present investigation, two nozzle configurations are used for spray deposition, convergent nozzle (nozzle-A), and convergent nozzle with 2 mm parallel portion attached at its end (nozzle-C) without changing the exit area. First, the conditions for subambient aspiration pressure, i.e., pressure at the tip of the melt delivery tube, are established by varying the protrusion length of the melt delivery tube at different applied gas pressures for both of the nozzles. Using these conditions, spray deposits in a reproducible manner are successfully obtained for 7075 Al alloy. The effect of applied gas pressure, flight distance, and nozzle configuration on various characteristics of spray deposition, viz., yield, melt flow rate, and gas-to-metal ratio, is examined. The over-spray powder is also characterized with respect to powder size distribution, shape, and microstructure. Some of the results are explained with the help of numerical analysis presented in an earlier article.

An E-Convergence Method For The Evaluation Of Critical Parameters

A simple cconversence technique is applied to obtain accurate estimates of critical temperatures and critical it\ponmts of a few two- and threpdiniensional king models. When applied to the virial series for hard spheres and hard discs, this method predicts a divergence of the equation-of-state at the density of closest packing.

A simple method for estimating growth parameters from multiple length-frequency data in presence of continuous recruitment

The extended recruitment season for short-lived species such as prawns biases the estimation of growth parameters from length-frequency data when conventional methods are used. We propose a simple method for overcoming this bias given a time series of length-frequency data. The difficulties arising from extended recruitment are eliminated by predicting the growth of the succeeding samples and the length increments of the recruits in previous samples. This method requires that some maximum size at recruitment can be specified. The advantages of this multiple length-frequency method are: it is simple to use; it requires only three parameters; no specific distributions need to be assumed; and the actual seasonal recruitment pattern does not have to be specified. We illustrate the new method with length-frequency data on the tiger prawn Penaeus esculentus from the north-western Gulf of Carpentaria, Australia.

Estimation of growth parameters from multiple-recapture data

This article develops a method for analysis of growth data with multiple recaptures when the initial ages for all individuals are unknown. The existing approaches either impute the initial ages or model them as random effects. Assumptions about the initial age are not verifiable because all the initial ages are unknown. We present an alternative approach that treats all the lengths including the length at first capture as correlated repeated measures for each individual. Optimal estimating equations are developed using the generalized estimating equations approach that only requires the first two moment assumptions. Explicit expressions for estimation of both mean growth parameters and variance components are given to minimize the computational complexity. Simulation studies indicate that the proposed method works well. Two real data sets are analyzed for illustration, one from whelks (Dicathais aegaota) and the other from southern rock lobster (Jasus edwardsii) in South Australia.

Identification of parameters in unconfined aquifers

A method is presented for identification of parameters in unconfined aquifers from pumping tests, based on the optimisation of the objective function using the least squares approach. Four parameters are to be evaluated, namely: The hydraulic conductivity in the radial and the vertical directions, the storage coefficient and the specific yield. The sensitivity analysis technique is used for solving the optimisation problem. Besides eliminating the subjectivity involved in the graphical procedure, the method takes into account the field data at all time intervals without classifying them into small and large time intervals and does not use the approximation that the ratio of the storage coefficient to the specific yield tends to zero. Two illustrative examples are presented and it is found that the parameter estimates from the computational and graphical procedures differ fairly significantly.

Estimating equations for parameters in stochastic growth models from tag-recapture data

James (1991, Biometrics 47, 1519-1530) constructed unbiased estimating functions for estimating the two parameters in the von Bertalanffy growth curve from tag-recapture data. This paper provides unbiased estimating functions for a class of growth models that incorporate stochastic components and explanatory variables. a simulation study using seasonal growth models indicates that the proposed method works well while the least-squares methods that are commonly used in the literature may produce substantially biased estimates. The proposed model and method are also applied to real data from tagged rack lobsters to assess the possible seasonal effect on growth.

Effect of individual variability on estimation of population parameters from length-frequency data

We consider estimation of mortality rates and growth parameters from length-frequency data of a fish stock when there is individual variability in the von Bertalanffy growth parameter L-infinity and investigate the possible bias in the estimates when the individual variability is ignored. Three methods are examined: (i) the regression method based on the Beverton and Holt's (1956, Rapp. P.V. Reun. Cons. Int. Explor. Mer, 140: 67-83) equation; (ii) the moment method of Powell (1979, Rapp. PV. Reun. Int. Explor. Mer, 175: 167-169); and (iii) a generalization of Powell's method that estimates the individual variability to be incorporated into the estimation. It is found that the biases in the estimates from the existing methods are, in general, substantial, even when individual variability in growth is small and recruitment is uniform, and the generalized method performs better in terms of bias but is subject to a larger variation. There is a need to develop robust and flexible methods to deal with individual variability in the analysis of length-frequency data.

An improved Fabens method for estimation of growth parameters in the vonBertalanffy model with individual asymptotes

In the analysis of tagging data, it has been found that the least-squares method, based on the increment function known as the Fabens method, produces biased estimates because individual variability in growth is not allowed for. This paper modifies the Fabens method to account for individual variability in the length asymptote. Significance tests using t-statistics or log-likelihood ratio statistics may be applied to show the level of individual variability. Simulation results indicate that the modified method reduces the biases in the estimates to negligible proportions. Tagging data from tiger prawns (Penaeus esculentus and Penaeus semisulcatus) and rock lobster (Panulirus ornatus) are analysed as an illustration.

Genetic Parameters for Staple Length and Staple Strength of Merino Wool Produced in Central and North West Queensland

Estimates of genetic parameters are presented for staple length and staple strength for 15 month old, medium Peppin sheep at Longreach and Julia Creek Queensland. The effects of birth type, sex and year of birth are shown. There were significant interactions for sex by site and for sex by year of birth. Heritability of staple length and strength were respectively 0.75 and 0.37 for the Longreach flock and 0.70 and 0.23 for the Julia Creek flock. The heritability of staple strength agrees with other published data however the estimate for staple length is very high. Phenotypic and genetic correlations with greasy fleece weight, yield, clean fleece weight, average fibre diameter and liveweight are in general agreement with other published estimates. Animal production for a consuming world : proceedings of 9th Congress of the Asian-Australasian Association of Animal Production Societies [AAAP] and 23rd Biennial Conference of the Australian Society of Animal Production [ASAP] and 17th Annual Symposium of the University of Sydney, Dairy Research Foundation, [DRF]. 2-7 July 2000 University of New South Wales, Sydney, Australia.