Modeling Nonlinearities and Asymmetries in Asset Pricing

Financial time series tend to behave in a manner that is not directly drawn from a normal distribution. Asymmetries and nonlinearities are usually seen and these characteristics need to be taken into account. To make forecasts and predictions of future return and risk is rather complicated. The existing models for predicting risk are of help to a certain degree, but the complexity in financial time series data makes it difficult. The introduction of nonlinearities and asymmetries for the purpose of better models and forecasts regarding both mean and variance is supported by the essays in this dissertation. Linear and nonlinear models are consequently introduced in this dissertation. The advantages of nonlinear models are that they can take into account asymmetries. Asymmetric patterns usually mean that large negative returns appear more often than positive returns of the same magnitude. This goes hand in hand with the fact that negative returns are associated with higher risk than in the case where positive returns of the same magnitude are observed. The reason why these models are of high importance lies in the ability to make the best possible estimations and predictions of future returns and for predicting risk.

Examining and Modeling the Dynamics of the Volatility Surface

The objective of this paper is to investigate and model the characteristics of the prevailing volatility smiles and surfaces on the DAX- and ESX-index options markets. Continuing on the trend of Implied Volatility Functions, the Standardized Log-Moneyness model is introduced and fitted to historical data. The model replaces the constant volatility parameter of the Black & Scholes pricing model with a matrix of volatilities with respect to moneyness and maturity and is tested out-of-sample. Considering the dynamics, the results show support for the hypotheses put forward in this study, implying that the smile increases in magnitude when maturity and ATM volatility decreases and that there is a negative/positive correlation between a change in the underlying asset/time to maturity and implied ATM volatility. Further, the Standardized Log-Moneyness model indicates an improvement to pricing accuracy compared to previous Implied Volatility Function models, however indicating that the parameters of the models are to be re-estimated continuously for the models to fully capture the changing dynamics of the volatility smiles.

Protein sequence design on the basis of topology optimization techniques -Using continuous modeling of discrete amino acid types

The notion of optimization is inherent in protein design. A long linear chain of twenty types of amino acid residues are known to fold to a 3-D conformation that minimizes the combined inter-residue energy interactions. There are two distinct protein design problems, viz. predicting the folded structure from a given sequence of amino acid monomers (folding problem) and determining a sequence for a given folded structure (inverse folding problem). These two problems have much similarity to engineering structural analysis and structural optimization problems respectively. In the folding problem, a protein chain with a given sequence folds to a conformation, called a native state, which has a unique global minimum energy value when compared to all other unfolded conformations. This involves a search in the conformation space. This is somewhat akin to the principle of minimum potential energy that determines the deformed static equilibrium configuration of an elastic structure of given topology, shape, and size that is subjected to certain boundary conditions. In the inverse-folding problem, one has to design a sequence with some objectives (having a specific feature of the folded structure, docking with another protein, etc.) and constraints (sequence being fixed in some portion, a particular composition of amino acid types, etc.) while obtaining a sequence that would fold to the desired conformation satisfying the criteria of folding. This requires a search in the sequence space. This is similar to structural optimization in the design-variable space wherein a certain feature of structural response is optimized subject to some constraints while satisfying the governing static or dynamic equilibrium equations. Based on this similarity, in this work we apply the topology optimization methods to protein design, discuss modeling issues and present some initial results.

Synthesis, magnetic and electrical properties of Fe-containing SiO2 nanocomposite

Nanocrystalline Fe powders were synthesized by transmetallation reaction and embedded in silica to form Fe-SiO2 nanocomposite. Thermomagnetic study of the as-prepared Fe sample indicates the presence of Fe3O4 and Fe particles. Oxidation studies of Fe and Fe-SiO2 show an increased thermal stability of Fe-SiO2 nanocomposite over pure Fe. The Fe-SiO2 shows an enhanced oxidation temperature (i.e., 780 K) and a maximum saturation magnetization value of (135 emu/g) with 64 wt.% of Fe content in silica. Electrical and dielectric behaviour of the Fe-SiO2 nanocomposite has been investigated as a function of temperature and frequency. Low frequency ac conductivity and dielectric constants were found to be influenced by desorptions of chemisorbed moisture. High saturation magnetization, thermal stability, frequency-dependent conductivity and low power loss make Fe-silica a promising material for high frequency applications. (C) 2010 Elsevier B.V. All rights reserved.

Synthesis, X-ray structure and catalytic properties of a copper(II) Schiff base complex modeling the activity of the Cu-B site of dopamine beta-hydroxylase

The copper(II) complex [Cu(salgly) (bpy)] . 4H(2)O (1), where salgly is a tridentate glycinatosalicylaldimine Schiffbase Ligand, is prepared and structurally characterized. The complex is found to be catalytically active in the oxidation of ascorbic acid by dioxygen and the process is also effective in the presence of benzylamine giving benzaldehyde as a product, thus modeling the activity of the Cu-B site of dopamine beta-hydroxylase. (C) 2000 Elsevier Science S.A. All rights reserved.

Experimental and Computational Characterization of Alloy--Spinel--Corundum Equilibrium in the System Fe--Co--Al--O at 1873K

The three-phase equilibrium between alloy, spinel solid solution and alpha -Al sub 2 O sub 3 in the Fe--Co--Al--O system at 1873k was fully characterized as a function of alloy composition using both experimental and computational methods. The equilibrium oxygen content of the liquid alloy was measured by suction sampling and inert gas fusion analysis. The O potential corresponding to the three-phase equilibrium was determined by emf measurements on a solid state galvanic cell incorporating (Y sub 2 O sub 3 )ThO sub 2 as the solid electrolyte and Cr + Cr sub 2 O sub 3 as the reference electrode. The equilibrium composition of the spinel phase formed at the interface between the alloy and alumina crucible was measured by electron probe microanalysis (EPMA). The experimental results were compared with the values computed using a thermodynamic model. The model used values for standard Gibbs energies of formation of pure end-member spinels and Gibbs energies of solution of gaseous O in liquid Fe and cobalt available in the literature. The activity--composition relationship in the spinel solid solution was computed using a cation distribution model. The variation of the activity coefficient of O with alloy composition in the Fe--Co--O system was estimated using both the quasichemical model of Jacob and Alcock and Wagner's model along with the correlations of Chiang and Chang and Kuo and Chang. The computed results of spinel composition and O potential are in excellent agreement with the experimental data. Graphs. 29 ref.--AA

Modeling server-unreliability in closed queuing-networks

A method is presented to model server unreliability in closed queuing networks. Breakdowns and repairs of servers, assumed to be time-dependent, are modeled using virtual customers and virtual servers in the system. The problem is thus converted into a closed queue with all reliable servers and preemptive resume priority centers. Several recent preemptive priority approximations and an approximation of the one proposed are used in the analysis. This method has approximately the same computational requirements as that of mean-value analysis for a network of identical dimensions and is therefore very efficient

Chemicals risk modeling : toxic effect risks imposed on aquatic organisms by industrial activity

Yhteenveto: Kemikaalien teollisesta käsittelystä vesieliöille aiheutuvien riskien arviointi mallin avulla.

Characterization of Alloy-Spinel-Corundum Equilibrium in the System Fe-Ni-Al-O

The three phase equilibrium between alloy, spinel solid solution and α-alumina in the Fe-Ni-Al-O system has been fully characterized at 1823K as a function of alloy composition using both experimental and computational methods. The oxygen potential was measured using a solid state cell incorporating yttria-doped thoria as the electrolyte and Cr+ Cr2O3 as the reference electrode. Oxygen concentration of the alloy was determined by an inert gas fusion technique. The composition of the spinel solid solution, formed at the interface between the alloy and an alumina crucible, was determined by EPMA. The variation of the oxygen concentration and potential and composition of the spinel solid solution with mole fraction of nickel in the alloy have been computed using activities in binary Fe-Ni system, free energies of formation of end member spinels FeO•(1+x)Al2O3 and NiO•(1+x)Al2O3 and free energies of solution of oxygen in liquid iron and nickel, available in the literature. Activities in the spinel solid solution were computed using a cation distribution model. The variation of the activity coefficient of oxygen with alloy composition in Fe-Ni-O system was calculated using both the quasichemical model of Jacob and Alcock and the Wagner's model, with the correlation of Chiang and Chang. The computed results for the oxygen potential and the composition of the spinel solid solution are in good agreement with the measurements. The measured oxygen concentration lies between the values computed using models of Wagner and Jacob and Alcock. The results of the study indicate that the deoxidation hyper-surface in multicomponent systems can be computed with useful accuracy using data for end member systems and thermodynamic models.

Interdiffusion Study in the Fe-Nb System

The diffusion characteristics of the Fe-Nb system were investigated using the diffusion couple technique. The average interdiffusion coefficient was calculated for the Fe2Nb Laves and the FeNb mu phases.The possible diffusion mechanism was predicted by using the calculated values of the activation energy for diffusion. Kirkendall marker experiments were conducted to determine the relative mobilities of the species. Fe was found to have a faster diffusion rate than Nb in both phases.