Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

An empirical study of process-related attributes in segmented software cost-estimation relationships

Parametric software effort estimation models consisting on a single mathematical relationship suffer from poor adjustment and predictive characteristics in cases in which the historical database considered contains data coming from projects of a heterogeneous nature. The segmentation of the input domain according to clusters obtained from the database of historical projects serves as a tool for more realistic models that use several local estimation relationships. Nonetheless, it may be hypothesized that using clustering algorithms without previous consideration of the influence of well-known project attributes misses the opportunity to obtain more realistic segments. In this paper, we describe the results of an empirical study using the ISBSG-8 database and the EM clustering algorithm that studies the influence of the consideration of two process-related attributes as drivers of the clustering process: the use of engineering methodologies and the use of CASE tools. The results provide evidence that such consideration conditions significantly the final model obtained, even though the resulting predictive quality is of a similar magnitude.

Generic unified modelling process for developing semantically rich, dynamic and temporal models

Models play a vital role in supporting a range of activities in numerous domains. We rely on models to support the design, visualisation, analysis and representation of parts of the world around us, and as such significant research effort has been invested into numerous areas of modelling; including support for model semantics, dynamic states and behaviour, temporal data storage and visualisation. Whilst these efforts have increased our capabilities and allowed us to create increasingly powerful software-based models, the process of developing models, supporting tools and /or data structures remains difficult, expensive and error-prone. In this paper we define from literature the key factors in assessing a model’s quality and usefulness: semantic richness, support for dynamic states and object behaviour, temporal data storage and visualisation. We also identify a number of shortcomings in both existing modelling standards and model development processes and propose a unified generic process to guide users through the development of semantically rich, dynamic and temporal models.

A strategy for process-oriented validation of coupled chemistry–climate models

Evaluating CCMs with the presented framework will increase our confidence in predictions of stratospheric ozone change.

Evaluating the ability of process based models to project sea-level change

We evaluate the ability of process based models to reproduce observed global mean sea-level change. When the models are forced by changes in natural and anthropogenic radiative forcing of the climate system and anthropogenic changes in land-water storage, the average of the modelled sea-level change for the periods 1900–2010, 1961–2010 and 1990–2010 is about 80%, 85% and 90% of the observed rise. The modelled rate of rise is over 1 mm yr−1 prior to 1950, decreases to less than 0.5 mm yr−1 in the 1960s, and increases to 3 mm yr−1 by 2000. When observed regional climate changes are used to drive a glacier model and an allowance is included for an ongoing adjustment of the ice sheets, the modelled sea-level rise is about 2 mm yr−1 prior to 1950, similar to the observations. The model results encompass the observed rise and the model average is within 20% of the observations, about 10% when the observed ice sheet contributions since 1993 are added, increasing confidence in future projections for the 21st century. The increased rate of rise since 1990 is not part of a natural cycle but a direct response to increased radiative forcing (both anthropogenic and natural), which will continue to grow with ongoing greenhouse gas emissions

Operating models for a multi-polar world: balancing global integration and local responsiveness

Purpose – Multinationals have always needed an operating model that works – an effective plan for executing their most important activities at the right levels of their organization, whether globally, regionally or locally. The choices involved in these decisions have never been obvious, since international firms have consistently faced trade‐offs between tailoring approaches for diverse local markets and leveraging their global scale. This paper seeks a more in‐depth understanding of how successful firms manage the global‐local trade‐off in a multipolar world. Design methodology/approach – This paper utilizes a case study approach based on in‐depth senior executive interviews at several telecommunications companies including Tata Communications. The interviews probed the operating models of the companies we studied, focusing on their approaches to organization structure, management processes, management technologies (including information technology (IT)) and people/talent. Findings – Successful companies balance global‐local trade‐offs by taking a flexible and tailored approach toward their operating‐model decisions. The paper finds that successful companies, including Tata Communications, which is profiled in‐depth, are breaking up the global‐local conundrum into a set of more manageable strategic problems – what the authors call “pressure points” – which they identify by assessing their most important activities and capabilities and determining the global and local challenges associated with them. They then design a different operating model solution for each pressure point, and repeat this process as new strategic developments emerge. By doing so they not only enhance their agility, but they also continually calibrate that crucial balance between global efficiency and local responsiveness. Originality/value – This paper takes a unique approach to operating model design, finding that an operating model is better viewed as several distinct solutions to specific “pressure points” rather than a single and inflexible model that addresses all challenges equally. Now more than ever, developing the right operating model is at the top of multinational executives' priorities, and an area of increasing concern; the international business arena has changed drastically, requiring thoughtfulness and flexibility instead of standard formulas for operating internationally. Old adages like “think global and act local” no longer provide the universal guidance they once seemed to.

CHEMICAL EVOLUTION OF THE GALACTIC BULGE: SINGLE AND DOUBLE INFALL MODELS

Recent work, has produced a wealth of data concerning the chemical evolution of the Galactic bulge, both for stars and nebulae. Present theoretical models generally adopt it limited range of such constraints, frequenfly using it single chemical element (usually iron), which is not enough to describe it unambiguously. In this work, we take into account contraints involving,9 Many chemical elements as possible, basically obtained from bulge nebulae and stars. Our main goal is to show that different scenarios can describe, at least partially the abundance distribution and several dishuice-independent correlations for these objects . Three classes of models were developed. The first is it one-zone, single-infall model, the. Second is it one-zone, double-infall model and the third is a multizone, double-infall model. We show that a one-zone model with it single infall episode is able to reproduce some of the observational data, but the best results tire achieved using it multizone, double-infall model.

NU-PROCESS IN EXOTIC MODELS

The exact physical conditions generating the abundances of r-elements in environments such as supernovae explosions are still under debate. We evaluated the characteristics expected for the neutrino wind in the proposed model of type-II supernova driven by conversion of nuclear matter to strange matter. Neutrinos will change the final abundance of elements after freeze out of r-process nucleosynthesis, specially those close to mass peaks.

DEMO models based automatic workflow process generation

Nowadays, more than half of the computer development projects fail to meet the final users' expectations. One of the main causes is insufficient knowledge about the organization of the enterprise to be supported by the respective information system. The DEMO methodology (Design and Engineering Methodology for Organizations) has been proved as a well-defined method to specify, through models and diagrams, the essence of any organization at a high level of abstraction. However, this methodology is platform implementation independent, lacking the possibility of saving and propagating possible changes from the organization models to the implemented software, in a runtime environment. The Universal Enterprise Adaptive Object Model (UEAOM) is a conceptual schema being used as a basis for a wiki system, to allow the modeling of any organization, independent of its implementation, as well as the previously mentioned change propagation in a runtime environment. Based on DEMO and UEAOM, this project aims to develop efficient and standardized methods, to enable an automatic conversion of DEMO Ontological Models, based on UEAOM specification into BPMN (Business Process Model and Notation) models of processes, using clear semantics, without ambiguities, in order to facilitate the creation of processes, almost ready for being executed on workflow systems that support BPMN.

Genetic parameters for milk yield analyzed by test-day models in Murrah buffaloes in Brazil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Theoretical analysis of the energy levels induced by oxygen vacancies and the doping process (Co, Cu and Zn) on SnO2 (110) surface models

Density functional calculation at B3LYP level was employed to study the surface oxygen vacancies and the doping process of Co, Cu and Zn on SnO2 (110) surface models. Large clusters, based on (SnO2)(15) models, were selected to simulate the oxidized (Sn15O30), half-reduced (Sn15O29) and the reduced (Sn15O28) surfaces. The doping process was considered on the reduced surfaces: Sn13Co2O28, Sn13Cu2O28 and Sn13Zn2O28. The results are analyzed and discussed based on a calculation of the energy levels along the bulk band gap region, determined by a projection of the monoelectron level structure on to the atomic basis set and by the density of states. This procedure enables one to distinguish the states coming from the bulk, the oxygen vacancies and the doping process, on passing from an oxidized to a reduced surface, missing bridge oxygen atoms generate electronic levels along the band gap region, associated with 5s/5p of four-/five-fold Sn and 2p of in-plane O centers located on the exposed surface, which is in agreement with previous theoretical and experimental investigations. The formation energy of one and two oxygen vacancies is 3.0 and 3.9 eV, respectively. (C) 2001 Elsevier B.V. B.V. All rights reserved.

Toward an understanding of intermediate- and short-range defects in ZnO single crystals. A combined experimental and theoretical study

A joint use of experimental and theoretical techniques allows us to understand the key role of intermediate- and short-range defects in the structural and electronic properties of ZnO single crystals obtained by means of both conventional hydrothermal and microwave-hydrothermal synthesis methods. X-ray diffraction, Raman spectra, photoluminescence, scanning electronic and transmission electron microscopies were used to characterize the thermal properties, crystalline and optical features of the obtained nano and microwires ZnO structures. In addition, these properties were further investigated by means of two periodic models, crystalline and disordered ZnO wurtzite structure, and first principles calculations based on density functional theory at the B3LYP level. The theoretical results indicate that the key factor controlling the electronic behavior can be associated with a symmetry breaking process, creating localized electronic levels above the valence band.

An ab initio study of oxygen vacancies and doping process of Nb and Cr atoms on TiO2 (110) surface models

We theoretically investigated how the formation of oxygen vacancies and the addition of niobium and chromium atoms as dopants modify the varistor properties of TiO2. The calculations were carried out at the HF level using a contracted basis set, developed by Huzinaga et al.. to represent the atomic centers on the (110) surface for the large (TiO2)(15) cluster model. The change of the values for the net atomic charges and band gap after oxygen vacancy formation and the presence of dopants in the lattice are analyzed and discussed. It is shown that the formation of oxygen vacancies decreases the band gap while an opposite effect is found when dopants are located in the reduced surface. The theoretical results are compared with available experimental data. A plausible explanation of the varistor behavior of this system is proposed. (C) 1997 John Wiley & Sons, Inc.