A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks

We propose a nonparametric method for estimating derivative financial asset pricing formulae using learning networks. To demonstrate feasibility, we first simulate Black-Scholes option prices and show that learning networks can recover the Black-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods: ordinary least squares, radial basis functions, multilayer perceptrons, and projection pursuit. To illustrate practical relevance, we also apply our approach to S&P 500 futures options data from 1987 to 1991.

Exam 85 pdf

Exam questions and solutions in PDF

Revision sheet

Exercises and solutions in LaTex. Diagrams for the questions are all together in the support.zip file, as .eps files

Exam 85

Exam questions and solutions in LaTex

Exam 87 pdf

Exam questions and solutions in PDF

Exam 87

Exam questions and solutions in LaTex

Revision sheet pdf

Exercises and solutions in LaTex

Sumas de Riemann con sistemas de cálculo simbólico.

Resumen basado en el de la publicación

Una alternativa a la integral de Riemann

Se trata de un análisis del proceso de aprendizaje matemático desde puntos de vista interdisciplinares donde se pretende que el alumno tenga un desarrollo del proceso matemático de forma paulatina y no se vea forzado a absorber los diversos conceptos de forma simultanea. Finalmente se concluye con la importancia de encontrar una alternativa al sistema de aprendizaje de la integral de Riemann, como el cálculo de superficies a partir de áreas planas o la integral definida.

La integral de Riemann.

La obra trata sobre el estudio de la Integral de Riemann, intentando compatibilizar la sencillez del planteamiento clásico usado en el Bachillerato con las directrices emanadas de la Universidad, que obligan a un planteamiento opuesto al anterior. La estrategia didáctica se ha experimentado en el Instituto de Bachillerato San Juan de la Cruz de Caravaca de la Cruz durante los cursos 1987-88 y 1988-89, tanto en tercero de BUP como en COU. El tema ha sido desarrollado para su lectura directa por los alumnos, por lo que se ha procurado detallar al máximo la exposición.

General derivative relations for anharmonic force fields

The brace notation, introduced by Allen and Csaszar (1993, J. chem. Phys., 98, 2983), provides a simple and compact way to deal with derivatives of arbitrary non-tensorial quantities. One of its main advantages is that it builds the permutational symmetry of the derivatives directly into the formalism. The brace notation is applied to formulate the general nth-order Cartesian derivatives of internal coordinates, and to provide closed forms for general, nth-order transformation equations of anharmonic force fields, expressed as Taylor series, from internal to Cartesian or normal coordinate spaces.

The Klein-Gordon equation on the half line: a Riemann-Hilbert approach

We solve an initial-boundary problem for the Klein-Gordon equation on the half line using the Riemann-Hilbert approach to solving linear boundary value problems advocated by Fokas. The approach we present can be also used to solve more complicated boundary value problems for this equation, such as problems posed on time-dependent domains. Furthermore, it can be extended to treat integrable nonlinearisations of the Klein-Gordon equation. In this respect, we briefly discuss how our results could motivate a novel treatment of the sine-Gordon equation.

X-ray crystallographic study of DNA duplex cross-linking: simultaneous binding to two d(CGTACG)(2) molecules by a bis(9-aminoacridine-4-carboxamide) derivative

Acridine-4-carboxamides form a class of known DNA mono-intercalating agents that exhibit cytotoxic activity against tumour cell lines due to their ability to inhibit topoisomerases. Previous studies of bis-acridine derivatives have yielded equivocal results regarding the minimum length of linker necessary between the two acridine chromophores to allow bis-intercalation of duplex DNA. We report here the 1.7 angstrom resolution X-ray crystal structure of a six-carbon-linked bis(acridine-4-carboxamide) ligand bound to d(CGTACG)(2) molecules by non-covalent duplex cross-linking. The asymmetric unit consists of one DNA duplex containing an intercalated acridine-4-carboxamide chromophore at each of the two CG steps. The other half of each ligand is bound to another DNA molecule in a symmetry-related manner, with the alkyl linker threading through the minor grooves. The two crystallographically independent ligand molecules adopt distinct side chain interactions, forming hydrogen bonds to either O6 or N7 on the major groove face of guanine, in contrast to the semi-disordered state of mono-intercalators bound to the same DNA molecule. The complex described here provides the first structural evidence for the non-covalent cross-linking of DNA by a small molecule ligand and suggests a possible explanation for the inconsistent behaviour of six-carbon linked bis-acridines in previous assays of DNA bis-intercalation.