983 resultados para modeling implied volatility


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Many corporations and individuals realize that environmental sustainability is an urgent problem to address. In this chapter, we contribute to the emerging academic discussion by proposing two innovative approaches for engaging in the development of environmentally sustainable business processes. Specifically, we describe an extended process modeling approach for capturing and documenting the dioxide emissions produced during the execution of a business process. For illustration, we apply this approach to the case of a government Shared Service provider. Second, we then introduce an analysis method for measuring the carbon dioxide emissions produced during the execution of a business process. To illustrate this approach, we apply it in the real-life case of a European airport and show how this information can be leveraged in the re-design of "green" business processes.

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Ion channels are membrane proteins that open and close at random and play a vital role in the electrical dynamics of excitable cells. The stochastic nature of the conformational changes these proteins undergo can be significant, however current stochastic modeling methodologies limit the ability to study such systems. Discrete-state Markov chain models are seen as the "gold standard," but are computationally intensive, restricting investigation of stochastic effects to the single-cell level. Continuous stochastic methods that use stochastic differential equations (SDEs) to model the system are more efficient but can lead to simulations that have no biological meaning. In this paper we show that modeling the behavior of ion channel dynamics by a reflected SDE ensures biologically realistic simulations, and we argue that this model follows from the continuous approximation of the discrete-state Markov chain model. Open channel and action potential statistics from simulations of ion channel dynamics using the reflected SDE are compared with those of a discrete-state Markov chain method. Results show that the reflected SDE simulations are in good agreement with the discrete-state approach. The reflected SDE model therefore provides a computationally efficient method to simulate ion channel dynamics while preserving the distributional properties of the discrete-state Markov chain model and also ensuring biologically realistic solutions. This framework could easily be extended to other biochemical reaction networks. © 2012 American Physical Society.

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Singapore crash statistics from 2001 to 2006 show that the motorcyclist fatality and injury rates per registered vehicle are higher than those of other motor vehicles by 13 and 7 times respectively. The crash involvement rate of motorcyclists as victims of other road users is also about 43%. The objective of this study is to identify the factors that contribute to the fault of motorcyclists involved in crashes. This is done by using the binary logit model to differentiate between at-fault and not-at-fault cases and the analysis is further categorized by the location of the crashes, i.e., at intersections, on expressways and at non-intersections. A number of explanatory variables representing roadway characteristics, environmental factors, motorcycle descriptions, and rider demographics have been evaluated. Time trend effect shows that not-at-fault crash involvement of motorcyclists has increased with time. The likelihood of night time crashes has also increased for not-at-fault crashes at intersections and expressways. The presence of surveillance cameras is effective in reducing not-at-fault crashes at intersections. Wet road surfaces increase at-fault crash involvement at non-intersections. At intersections, not-at-fault crash involvement is more likely on single lane roads or on median lane of multi-lane roads, while on expressways at-fault crash involvement is more likely on the median lane. Roads with higher speed limit have higher at-fault crash involvement and this is also true on expressways. Motorcycles with pillion passengers or with higher engine capacity have higher likelihood of being at-fault in crashes on expressways. Motorcyclists are more likely to be at-fault in collisions involving pedestrians and this effect is higher at night. In multi-vehicle crashes, motorcyclists are more likely to be victims than at fault. Young and older riders are more likely to be at-fault in crashes than middle-aged group of riders. The findings of this study will help to develop more targeted countermeasures to improve motorcycle safety and more cost-effective safety awareness program in motorcyclist training.

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Poisson distribution has often been used for count like accident data. Negative Binomial (NB) distribution has been adopted in the count data to take care of the over-dispersion problem. However, Poisson and NB distributions are incapable of taking into account some unobserved heterogeneities due to spatial and temporal effects of accident data. To overcome this problem, Random Effect models have been developed. Again another challenge with existing traffic accident prediction models is the distribution of excess zero accident observations in some accident data. Although Zero-Inflated Poisson (ZIP) model is capable of handling the dual-state system in accident data with excess zero observations, it does not accommodate the within-location correlation and between-location correlation heterogeneities which are the basic motivations for the need of the Random Effect models. This paper proposes an effective way of fitting ZIP model with location specific random effects and for model calibration and assessment the Bayesian analysis is recommended.

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This study proposes a full Bayes (FB) hierarchical modeling approach in traffic crash hotspot identification. The FB approach is able to account for all uncertainties associated with crash risk and various risk factors by estimating a posterior distribution of the site safety on which various ranking criteria could be based. Moreover, by use of hierarchical model specification, FB approach is able to flexibly take into account various heterogeneities of crash occurrence due to spatiotemporal effects on traffic safety. Using Singapore intersection crash data(1997-2006), an empirical evaluate was conducted to compare the proposed FB approach to the state-of-the-art approaches. Results show that the Bayesian hierarchical models with accommodation for site specific effect and serial correlation have better goodness-of-fit than non hierarchical models. Furthermore, all model-based approaches perform significantly better in safety ranking than the naive approach using raw crash count. The FB hierarchical models were found to significantly outperform the standard EB approach in correctly identifying hotspots.

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Due to grave potential human, environmental and economical consequences of collisions at sea, collision avoidance has become an important safety concern in navigation. To reduce the risk of collisions at sea, appropriate collision avoidance actions need to be taken in accordance with the regulations, i.e., International Regulations for Preventing Collisions at Sea. However, the regulations only provide qualitative rules and guidelines, and therefore it requires navigators to decide on collision avoidance actions quantitatively by using their judgments which often leads to making errors in navigation. To better help navigators in collision avoidance, this paper develops a comprehensive collision avoidance decision making model for providing whether a collision avoidance action is required, when to take action and what action to be taken. The model is developed based on three types of collision avoidance actions, such as course change only, speed change only, and a combination of both. The model has potential to reduce the chance of making human error in navigation by assisting navigators in decision making on collision avoidance actions.

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Navigational collisions are one of the major safety concerns for many seaports. Continuing growth of shipping traffic in number and sizes is likely to result in increased number of traffic movements, which consequently could result higher risk of collisions in these restricted waters. This continually increasing safety concern warrants a comprehensive technique for modeling collision risk in port waters, particularly for modeling the probability of collision events and the associated consequences (i.e., injuries and fatalities). A number of techniques have been utilized for modeling the risk qualitatively, semi-quantitatively and quantitatively. These traditional techniques mostly rely on historical collision data, often in conjunction with expert judgments. However, these techniques are hampered by several shortcomings, such as randomness and rarity of collision occurrence leading to obtaining insufficient number of collision counts for a sound statistical analysis, insufficiency in explaining collision causation, and reactive approach to safety. A promising alternative approach that overcomes these shortcomings is the navigational traffic conflict technique (NTCT), which uses traffic conflicts as an alternative to the collisions for modeling the probability of collision events quantitatively. This article explores the existing techniques for modeling collision risk in port waters. In particular, it identifies the advantages and limitations of the traditional techniques and highlights the potentials of the NTCT in overcoming the limitations. In view of the principles of the NTCT, a structured method for managing collision risk is proposed. This risk management method allows safety analysts to diagnose safety deficiencies in a proactive manner, which consequently has great potential for managing collision risk in a fast, reliable and efficient manner.

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Complexity is a major concern which is aimed to be overcome by people through modeling. One way of reducing complexity is separation of concerns, e.g. separation of business process from applications. One sort of concerns are cross-cutting concerns i.e. concerns which are scattered and tangled through one of several models. In business process management, examples of such concerns are security and privacy policies. To deal with these cross-cutting concerns, the aspect orientated approach was introduced in the software development area and recently also in the business process management area. The work presented in this paper elaborates on aspect oriented process modelling. It extends earlier work by defining a mechanism for capturing multiple concerns and specifying a precedence order according to which they should be handled in a process. A formal syntax of the notation is presented precisely capturing the extended concepts and mechanisms. Finally, the relevant of the approach is demonstrated through a case study.

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Forecasts generated by time series models traditionally place greater weight on more recent observations. This paper develops an alternative semi-parametric method for forecasting that does not rely on this convention and applies it to the problem of forecasting asset return volatility. In this approach, a forecast is a weighted average of historical volatility, with the greatest weight given to periods that exhibit similar market conditions to the time at which the forecast is being formed. Weighting is determined by comparing short-term trends in volatility across time (as a measure of market conditions) by means of a multivariate kernel scheme. It is found that the semi-parametric method produces forecasts that are significantly more accurate than a number of competing approaches at both short and long forecast horizons.

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Finding an appropriate linking method to connect different dimensional element types in a single finite element model is a key issue in the multi-scale modeling. This paper presents a mixed dimensional coupling method using multi-point constraint equations derived by equating the work done on either side of interface connecting beam elements and shell elements for constructing a finite element multiscale model. A typical steel truss frame structure is selected as case example and the reduced scale specimen of this truss section is then studied in the laboratory to measure its dynamic and static behavior in global truss and local welded details while the different analytical models are developed for numerical simulation. Comparison of dynamic and static response of the calculated results among different numerical models as well as the good agreement with those from experimental results indicates that the proposed multi-scale model is efficient and accurate.

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Many corporations and individuals realize that environmental sustainability is an urgent problem to address. In this chapter, we contribute to the emerging academic discussion by proposing two innovative approaches for engaging in the development of environmentally sustainable business processes. Specifically, we describe an extended process modeling approach for capturing and documenting the dioxide emissions produced during the execution of a business process. For illustration, we apply this approach to the case of a governmental Shared Services provider. Second, we then introduce an analysis method for measuring the carbon dioxide emissions produced during the execution of a business process. To illustrative this approach, we apply it in the real-life case of an European airport and show how this information can be leveraged in the re-design of “green” busi-ness processes.