Derivatív pénzügyi termékek árdinamikája és az új típusú kamatlábmodellek (Interest rate models and the price processes of financial derivatives)

Ennek a cikknek az a célja, hogy áttekintést adjon annak a folyamatnak néhány főbb állomásáról, amit Black, Scholes és Merton opcióárazásról írt cikkei indítottak el a 70-es évek elején, és ami egyszerre forradalmasította a fejlett nyugati pénzügyi piacokat és a pénzügyi elméletet. / === / This review article compares the development of financial theory within and outside Hungary in the last three decades starting with the Black-Scholes revolution. Problems like the term structure of interest rate volatilities which is in the focus of many research internationally has not received the proper attention among the Hungarian economists. The article gives an overview of no-arbitrage pricing, the partial differential equation approach and the related numerical techniques, like the lattice methods in pricing financial derivatives. The relevant concepts of the martingal approach are overviewed. There is a special focus on the HJM framework of the interest rate development. The idea that the volatility and the correlation can be traded is a new horizon to the Hungarian capital market.

Reducible von Neumann models and uniqueness

This paper can be regarded as a result of basic research on the technological characteristics of the von Neumann models and their consequences. It introduces a new taxonomy of reducible technologies, explores their key distinguishing features, and specifies which ones ensure the uniqueness of von Neumann equilibrium. A comprehensive comparison is also given between the familiar (in)decomposability ideas and the reducibility concepts suggested here. All these are carried out with a modern approach. Simultaneously, the reader may also acquire a complete picture of and guidance on the fundamental von Neumann models here.

Development of physics-based models and design optimization of power electronic conversion systems

The main objective for physics based modeling of the power converter components is to design the whole converter with respect to physical and operational constraints. Therefore, all the elements and components of the energy conversion system are modeled numerically and combined together to achieve the whole system behavioral model. Previously proposed high frequency (HF) models of power converters are based on circuit models that are only related to the parasitic inner parameters of the power devices and the connections between the components. This dissertation aims to obtain appropriate physics-based models for power conversion systems, which not only can represent the steady state behavior of the components, but also can predict their high frequency characteristics. The developed physics-based model would represent the physical device with a high level of accuracy in predicting its operating condition. The proposed physics-based model enables us to accurately develop components such as; effective EMI filters, switching algorithms and circuit topologies [7]. One of the applications of the developed modeling technique is design of new sets of topologies for high-frequency, high efficiency converters for variable speed drives. The main advantage of the modeling method, presented in this dissertation, is the practical design of an inverter for high power applications with the ability to overcome the blocking voltage limitations of available power semiconductor devices. Another advantage is selection of the best matching topology with inherent reduction of switching losses which can be utilized to improve the overall efficiency. The physics-based modeling approach, in this dissertation, makes it possible to design any power electronic conversion system to meet electromagnetic standards and design constraints. This includes physical characteristics such as; decreasing the size and weight of the package, optimized interactions with the neighboring components and higher power density. In addition, the electromagnetic behaviors and signatures can be evaluated including the study of conducted and radiated EMI interactions in addition to the design of attenuation measures and enclosures.

Age models and stable isotopes of sediment cores from the northern seas

Oxygen and carbon isotope measurements were carried out on tests of planktic foraminifers N. pachyderma (sin.) from eight sediment cores taken from the eastern Arctic Ocean, the Fram Strait, and the lceland Sea, in order to reconstruct Arctic Ocean and Norwegian-Greenland Sea circulation patterns and ice covers during the last 130,000 years. In addition, the influence of ice, temperature and salinity effects on the isotopic signal was quantified. Isotope measurements on foraminifers from sediment surface samples were used to elucidate the ecology of N. pachyderma (sin.). Changes in the oxygen and carbon isotope composition of N. pachyderma (sin.) from sediment surface samples document the horizontal and vertical changes of water mass boundaries controlled by water temperature and salinity, because N. pachyderma (sin.) shows drastic changes in depth habitats, depending on the water mass properties. It was able to be shown that in the investigated areas a regional and spatial apparent increase of the ice effect occurred. This happened especially during the termination I by direct advection of meltwaters from nearby continents or during the termination and in interglacials by supply of isotopically light water from rivers. A northwardly proceeding overprint of the 'global' ice effect, increasing from the Norwegian-Greenland Sea to the Arctic Ocean, was not able to be demonstrated. By means of a model the influence of temperature and salinity on the global ice volume signal during the last 130,000 years was recorded. In combination with the results of this study, the model was the basis for a reconstruction of the paleoceanographic development of the Arctic Ocean and the Norwegian-Greenland Sea during this time interval. The conception of a relatively thick and permanent sea ice cover in the Nordic Seas during glacial times should be replaced by the model of a seasonally and regionally highly variable ice cover. Only during isotope stage 5e may there have been a local deep water formation in the Fram Strait.

Models and empirical data for the production of referring expressions

Article Accepted Date: 29 May 2014 Acknowledgements The authors gratefully acknowledge the support of the Cognitive Science Society for the organisation of the Workshop on Production of Referring Expressions: Bridging the Gap between Cognitive and Computational Approaches to Reference, from which this special issue originated. Funding Emiel Krahmer and Albert Gatt thank The Netherlands Organisation for Scientific Research (NWO) for VICI grant Bridging the Gap between Computational Linguistics and Psycholinguistics: The Case of Referring Expressions (grant number 277-70-007).

Data to Decision in a Dynamic Ocean: Robust Species Distribution Models and Spatial Decision Frameworks

Human use of the oceans is increasingly in conflict with conservation of endangered species. Methods for managing the spatial and temporal placement of industries such as military, fishing, transportation and offshore energy, have historically been post hoc; i.e. the time and place of human activity is often already determined before assessment of environmental impacts. In this dissertation, I build robust species distribution models in two case study areas, US Atlantic (Best et al. 2012) and British Columbia (Best et al. 2015), predicting presence and abundance respectively, from scientific surveys. These models are then applied to novel decision frameworks for preemptively suggesting optimal placement of human activities in space and time to minimize ecological impacts: siting for offshore wind energy development, and routing ships to minimize risk of striking whales. Both decision frameworks relate the tradeoff between conservation risk and industry profit with synchronized variable and map views as online spatial decision support systems.

For siting offshore wind energy development (OWED) in the U.S. Atlantic (chapter 4), bird density maps are combined across species with weights of OWED sensitivity to collision and displacement and 10 km2 sites are compared against OWED profitability based on average annual wind speed at 90m hub heights and distance to transmission grid. A spatial decision support system enables toggling between the map and tradeoff plot views by site. A selected site can be inspected for sensitivity to a cetaceans throughout the year, so as to capture months of the year which minimize episodic impacts of pre-operational activities such as seismic airgun surveying and pile driving.

Routing ships to avoid whale strikes (chapter 5) can be similarly viewed as a tradeoff, but is a different problem spatially. A cumulative cost surface is generated from density surface maps and conservation status of cetaceans, before applying as a resistance surface to calculate least-cost routes between start and end locations, i.e. ports and entrance locations to study areas. Varying a multiplier to the cost surface enables calculation of multiple routes with different costs to conservation of cetaceans versus cost to transportation industry, measured as distance. Similar to the siting chapter, a spatial decisions support system enables toggling between the map and tradeoff plot view of proposed routes. The user can also input arbitrary start and end locations to calculate the tradeoff on the fly.

Essential to the input of these decision frameworks are distributions of the species. The two preceding chapters comprise species distribution models from two case study areas, U.S. Atlantic (chapter 2) and British Columbia (chapter 3), predicting presence and density, respectively. Although density is preferred to estimate potential biological removal, per Marine Mammal Protection Act requirements in the U.S., all the necessary parameters, especially distance and angle of observation, are less readily available across publicly mined datasets.

In the case of predicting cetacean presence in the U.S. Atlantic (chapter 2), I extracted datasets from the online OBIS-SEAMAP geo-database, and integrated scientific surveys conducted by ship (n=36) and aircraft (n=16), weighting a Generalized Additive Model by minutes surveyed within space-time grid cells to harmonize effort between the two survey platforms. For each of 16 cetacean species guilds, I predicted the probability of occurrence from static environmental variables (water depth, distance to shore, distance to continental shelf break) and time-varying conditions (monthly sea-surface temperature). To generate maps of presence vs. absence, Receiver Operator Characteristic (ROC) curves were used to define the optimal threshold that minimizes false positive and false negative error rates. I integrated model outputs, including tables (species in guilds, input surveys) and plots (fit of environmental variables, ROC curve), into an online spatial decision support system, allowing for easy navigation of models by taxon, region, season, and data provider.

For predicting cetacean density within the inner waters of British Columbia (chapter 3), I calculated density from systematic, line-transect marine mammal surveys over multiple years and seasons (summer 2004, 2005, 2008, and spring/autumn 2007) conducted by Raincoast Conservation Foundation. Abundance estimates were calculated using two different methods: Conventional Distance Sampling (CDS) and Density Surface Modelling (DSM). CDS generates a single density estimate for each stratum, whereas DSM explicitly models spatial variation and offers potential for greater precision by incorporating environmental predictors. Although DSM yields a more relevant product for the purposes of marine spatial planning, CDS has proven to be useful in cases where there are fewer observations available for seasonal and inter-annual comparison, particularly for the scarcely observed elephant seal. Abundance estimates are provided on a stratum-specific basis. Steller sea lions and harbour seals are further differentiated by ‘hauled out’ and ‘in water’. This analysis updates previous estimates (Williams & Thomas 2007) by including additional years of effort, providing greater spatial precision with the DSM method over CDS, novel reporting for spring and autumn seasons (rather than summer alone), and providing new abundance estimates for Steller sea lion and northern elephant seal. In addition to providing a baseline of marine mammal abundance and distribution, against which future changes can be compared, this information offers the opportunity to assess the risks posed to marine mammals by existing and emerging threats, such as fisheries bycatch, ship strikes, and increased oil spill and ocean noise issues associated with increases of container ship and oil tanker traffic in British Columbia’s continental shelf waters.

Starting with marine animal observations at specific coordinates and times, I combine these data with environmental data, often satellite derived, to produce seascape predictions generalizable in space and time. These habitat-based models enable prediction of encounter rates and, in the case of density surface models, abundance that can then be applied to management scenarios. Specific human activities, OWED and shipping, are then compared within a tradeoff decision support framework, enabling interchangeable map and tradeoff plot views. These products make complex processes transparent for gaming conservation, industry and stakeholders towards optimal marine spatial management, fundamental to the tenets of marine spatial planning, ecosystem-based management and dynamic ocean management.

Elucidating the Space-Time Structure of Low Level Warm Season Precipitation Processes in the Southern Appalachian Mountains Using Models and Observations

Light rainfall is the baseline input to the annual water budget in mountainous landscapes through the tropics and at mid-latitudes. In the Southern Appalachians, the contribution from light rainfall ranges from 50-60% during wet years to 80-90% during dry years, with convective activity and tropical cyclone input providing most of the interannual variability. The Southern Appalachians is a region characterized by rich biodiversity that is vulnerable to land use/land cover changes due to its proximity to a rapidly growing population. Persistent near surface moisture and associated microclimates observed in this region has been well documented since the colonization of the area in terms of species health, fire frequency, and overall biodiversity. The overarching objective of this research is to elucidate the microphysics of light rainfall and the dynamics of low level moisture in the inner region of the Southern Appalachians during the warm season, with a focus on orographically mediated processes. The overarching research hypothesis is that physical processes leading to and governing the life cycle of orographic fog, low level clouds, and precipitation, and their interactions, are strongly tied to landform, land cover, and the diurnal cycles of flow patterns, radiative forcing, and surface fluxes at the ridge-valley scale. The following science questions will be addressed specifically: 1) How do orographic clouds and fog affect the hydrometeorological regime from event to annual scale and as a function of terrain characteristics and land cover?; 2) What are the source areas, governing processes, and relevant time-scales of near surface moisture convergence patterns in the region?; and 3) What are the four dimensional microphysical and dynamical characteristics, including variability and controlling factors and processes, of fog and light rainfall? The research was conducted with two major components: 1) ground-based high-quality observations using multi-sensor platforms and 2) interpretive numerical modeling guided by the analysis of the in situ data collection. Findings illuminate a high level of spatial – down to the ridge scale - and temporal – from event to annual scale - heterogeneity in observations, and a significant impact on the hydrological regime as a result of seeder-feeder interactions among fog, low level clouds, and stratiform rainfall that enhance coalescence efficiency and lead to significantly higher rainfall rates at the land surface. Specifically, results show that enhancement of an event up to one order of magnitude in short-term accumulation can occur as a result of concurrent fog presence. Results also show that events are modulated strongly by terrain characteristics including elevation, slope, geometry, and land cover. These factors produce interactions between highly localized flows and gradients of temperature and moisture with larger scale circulations. Resulting observations of DSD and rainfall patterns are stratified by region and altitude and exhibit clear diurnal and seasonal cycles.

Reward circuitry dysfunction in psychiatric and neurodevelopmental disorders and genetic syndromes: animal models and clinical findings.

This review summarizes evidence of dysregulated reward circuitry function in a range of neurodevelopmental and psychiatric disorders and genetic syndromes. First, the contribution of identifying a core mechanistic process across disparate disorders to disease classification is discussed, followed by a review of the neurobiology of reward circuitry. We next consider preclinical animal models and clinical evidence of reward-pathway dysfunction in a range of disorders, including psychiatric disorders (i.e., substance-use disorders, affective disorders, eating disorders, and obsessive compulsive disorders), neurodevelopmental disorders (i.e., schizophrenia, attention-deficit/hyperactivity disorder, autism spectrum disorders, Tourette's syndrome, conduct disorder/oppositional defiant disorder), and genetic syndromes (i.e., Fragile X syndrome, Prader-Willi syndrome, Williams syndrome, Angelman syndrome, and Rett syndrome). We also provide brief overviews of effective psychopharmacologic agents that have an effect on the dopamine system in these disorders. This review concludes with methodological considerations for future research designed to more clearly probe reward-circuitry dysfunction, with the ultimate goal of improved intervention strategies.

Sedimentology, age models and stable isotope ratios of sediment cores from the equatorial Pacific

Based on detailed reconstructions of global distribution patterns, both paleoproductivity and the benthic d13C record of CO2, which is dissolved in the deep ocean, strongly differed between the Last Glacial Maximum and the Holocene. With the onset of Termination I about 15,000 years ago, the new (export) production of low- and mid-latitude upwelling cells started to decline by more than 2-4 Gt carbon/year. This reduction is regarded as a main factor leading to both the simultaneous rise in atmospheric CO2 as recorded in ice cores and, with a slight delay of more than 1000 years, to a large-scale gradual CO2 depletion of the deep ocean by about 650 Gt C. This estimate is based on an average increase in benthic d13C by 0.4-0.5 per mil. The decrease in new production also matches a clear 13C depletion of organic matter, possibly recording an end of extreme nutrient utilization in upwelling cells. As shown by Sarnthein et al., [1987], the productivity reversal appears to be triggered by a rapid reduction in the strength of meridional trades, which in turn was linked via a shrinking extent of sea ice to a massive increase in high-latitude insolation, i.e., to orbital forcing as primary cause.

Sampling information, length measurements, DNA alignments, models and phylogenetics trees for Oithona similis s.l.

Traditionally, many small-sized copepod species are considered to be widespread, bipolar or cosmopolitan. However, these large-scale distribution patterns need to be re-examined in view of increasing evidence of cryptic and pseudo-cryptic speciation in pelagic copepods. Here, we present a phylogeographic study of Oithona similis s.l. populations from the Arctic Ocean, the Southern Ocean and its northern boundaries, the North Atlantic and the Mediterrranean Sea. O. similis s.l. is considered as one of the most abundant species in temperate to polar oceans and acts as an important link in the trophic network between the microbial loop and higher trophic levels such as fish larvae. Two gene fragments were analysed: the mitochondrial cytochrome oxidase c subunit I (COI), and the nuclear ribosomal 28S genetic marker. Seven distinct, geographically delimitated, mitochondrial lineages could be identified, with divergences among the lineages ranging from 8 to 24 %, thus representing most likely cryptic or pseudocryptic species within O. similis s.l. Four lineages were identified within or close to the borders of the Southern Ocean, one lineage in the Arctic Ocean and two lineages in the temperate Northern hemisphere. Surprisingly the Arctic lineage was more closely related to lineages from the Southern hemisphere than to the other lineages from the Northern hemisphere, suggesting that geographic proximity is a rather poor predictor of how closely related the clades are on a genetic level. Molecular clock application revealed that the evolutionary history of O. similis s.l. is possibly closely associated with the reorganization of the ocean circulation in the mid Miocene and may be an example of allopatric speciation in the pelagic zone.

Commentary on the Models and Busts Act 1798

The first occasion on which British copyright law provided protection for a medium other than print. The legislation conferred exclusive rights lasting 14 years on persons who created new models or casts of human or animal figures.
The commentary describes the background to the Act, in particular the lobbying efforts of the artist and sculptor George Garrard, as well as the subsequent case-law, highlighting flaws in the drafting that lead to a further act in 1814. The commentary argues that while the 1798 Act is pre-modern, in the sense of having a reactive and subject-specific remit, by severing copyright from its print basis, the Act paved the way for the emergence of the modern image of copyright as concerned with the promotion of ‘art and literature'.

Mucosal modulation of contractility in bladder strips from normal and overactive rat models and the effect of botulinum toxin A on overactive bladder strips

AIMS: To investigate the local, regulatory role of the mucosa on bladder strip contractility from normal and overactive bladders and to examine the effect of botulinum toxin A (BoNT-A).

METHODS: Bladder strips from spontaneously hyperactive rat (SHR) or normal rats (Sprague Dawley, SD) were dissected for myography as intact or mucosa-free preparations. Spontaneous, neurogenic and agonist-evoked contractions were investigated. SHR strips were incubated in BoNT-A (3 h) to assess effects on contractility.

RESULTS: Spontaneous contraction amplitude, force-integral or frequency were not significantly different in SHR mucosa-free strips compared with intacts. In contrast, spontaneous contraction amplitude and force-integral were smaller in SD mucosa-free strips than in intacts; frequency was not affected by the mucosa. Frequency of spontaneous contractions in SHR strips was significantly greater than in SD strips. Neurogenic contractions in mucosa-free SHR and SD strips at higher frequencies were smaller than in intact strips. The mucosa did not affect carbachol-evoked contractions in intact versus mucosa-free strips from SHR or SD bladders. BoNT-A reduced spontaneous contractions in SHR intact strips; this trend was also observed in mucosa-free strips but was not significant. Neurogenic and carbachol-evoked contractions were reduced by BoNT-A in mucosa-free but not intact strips. Depolarisation-induced contractions were smaller in BoNT-A-treated mucosa-free strips.

CONCLUSIONS: The mucosal layer positively modulates spontaneous contractions in strips from normal SD but not overactive SHR bladder strips. The novel finding of BoNT-A reduction of contractions in SHR mucosa-free strips indicates actions on the detrusor, independent of its classical action on neuronal SNARE complexes.

New methods for movement technique development in cross-country skiing using mathematical models and simulation

This Licentiate Thesis is devoted to the presentation and discussion of some new contributions in applied mathematics directed towards scientific computing in sports engineering. It considers inverse problems of biomechanical simulations with rigid body musculoskeletal systems especially in cross-country skiing. This is a contrast to the main research on cross-country skiing biomechanics, which is based mainly on experimental testing alone. The thesis consists of an introduction and five papers. The introduction motivates the context of the papers and puts them into a more general framework. Two papers (D and E) consider studies of real questions in cross-country skiing, which are modelled and simulated. The results give some interesting indications, concerning these challenging questions, which can be used as a basis for further research. However, the measurements are not accurate enough to give the final answers. Paper C is a simulation study which is more extensive than paper D and E, and is compared to electromyography measurements in the literature. Validation in biomechanical simulations is difficult and reducing mathematical errors is one way of reaching closer to more realistic results. Paper A examines well-posedness for forward dynamics with full muscle dynamics. Moreover, paper B is a technical report which describes the problem formulation and mathematical models and simulation from paper A in more detail. Our new modelling together with the simulations enable new possibilities. This is similar to simulations of applications in other engineering fields, and need in the same way be handled with care in order to achieve reliable results. The results in this thesis indicate that it can be very useful to use mathematical modelling and numerical simulations when describing cross-country skiing biomechanics. Hence, this thesis contributes to the possibility of beginning to use and develop such modelling and simulation techniques also in this context.

Real-time depth camera tracking with CAD models and ICP

In recent years, depth cameras have been widely utilized in camera tracking for augmented and mixed reality. Many of the studies focus on the methods that generate the reference model simultaneously with the tracking and allow operation in unprepared environments. However, methods that rely on predefined CAD models have their advantages. In such methods, the measurement errors are not accumulated to the model, they are tolerant to inaccurate initialization, and the tracking is always performed directly in reference model's coordinate system. In this paper, we present a method for tracking a depth camera with existing CAD models and the Iterative Closest Point (ICP) algorithm. In our approach, we render the CAD model using the latest pose estimate and construct a point cloud from the corresponding depth map. We construct another point cloud from currently captured depth frame, and find the incremental change in the camera pose by aligning the point clouds. We utilize a GPGPU-based implementation of the ICP which efficiently uses all the depth data in the process. The method runs in real-time, it is robust for outliers, and it does not require any preprocessing of the CAD models. We evaluated the approach using the Kinect depth sensor, and compared the results to a 2D edge-based method, to a depth-based SLAM method, and to the ground truth. The results show that the approach is more stable compared to the edge-based method and it suffers less from drift compared to the depth-based SLAM.