A Jump Telegraph Model for Option Pricing

In this paper we introduce a financial market model based on continuos time random motions with alternanting constant velocities and with jumps ocurring when the velocity switches. if jump directions are in the certain corresondence with the velocity directions of the underlyng random motion with respect to the interest rate, the model is free of arbitrage. The replicating strategies for options are constructed in details. Closed form formulas for the opcion prices are obtained.

A proposal for the diagnosis of uncertain dynamic systems based on interval models

The performance of a model-based diagnosis system could be affected by several uncertainty sources, such as,model errors,uncertainty in measurements, and disturbances. This uncertainty can be handled by mean of interval models.The aim of this thesis is to propose a methodology for fault detection, isolation and identification based on interval models. The methodology includes some algorithms to obtain in an automatic way the symbolic expression of the residual generators enhancing the structural isolability of the faults, in order to design the fault detection tests. These algorithms are based on the structural model of the system. The stages of fault detection, isolation, and identification are stated as constraint satisfaction problems in continuous domains and solved by means of interval based consistency techniques. The qualitative fault isolation is enhanced by a reasoning in which the signs of the symptoms are derived from analytical redundancy relations or bond graph models of the system. An initial and empirical analysis regarding the differences between interval-based and statistical-based techniques is presented in this thesis. The performance and efficiency of the contributions are illustrated through several application examples, covering different levels of complexity.

Spherical nonparametric estimators applied to the UGAMP model integration for AMIP

The aim of this paper is essentially twofold: first, to describe the use of spherical nonparametric estimators for determining statistical diagnostic fields from ensembles of feature tracks on a global domain, and second, to report the application of these techniques to data derived from a modern general circulation model. New spherical kernel functions are introduced that are more efficiently computed than the traditional exponential kernels. The data-driven techniques of cross-validation to determine the amount elf smoothing objectively, and adaptive smoothing to vary the smoothing locally, are also considered. Also introduced are techniques for combining seasonal statistical distributions to produce longer-term statistical distributions. Although all calculations are performed globally, only the results for the Northern Hemisphere winter (December, January, February) and Southern Hemisphere winter (June, July, August) cyclonic activity are presented, discussed, and compared with previous studies. Overall, results for the two hemispheric winters are in good agreement with previous studies, both for model-based studies and observational studies.

Research note: amendments to the model for predicting age at sexual maturity for growing pullets of layer strains following changes in photoperiod

A model was published by Lewis et al. (2002) to predict the mean age at first egg (AFE) for pullets of laying strains reared under non-limiting environmental conditions and exposed to a single change in photoperiod during the rearing stage. Subsequently, Lewis et al. (2003) reported the effects of two opposing changes in photoperiod, which showed that the first change appears to alter the pullet's physiological age so that it responds to the second change as though it had been given at an earlier age (if photoperiod was decreased), or later age (if photoperiod was increased) than the true chronological age. During the construction of a computer model based on these two publications, it became apparent that some of the components of the models needed adjustment. The amendments relate to (1) the standard deviation (S.D.) used for calculating the proportion of a young flock that has attained photosensitivity, (2) the equation for calculating the slope of the line relating AFE to age at transfer from one photoperiod to another, (3) the equation used for estimating the distribution of AFE as a function of the mean value, (4) the point of no return when pullets which have started spontaneous maturation in response to the current photoperiod can no longer respond to a late change in photoperiod and (5) the equations used for calculating the distribution of AFE when the trait is bimodal.

CAMCR: Computer assisted mixture model analysis for capture-recapture count data

Population size estimation with discrete or nonparametric mixture models is considered, and reliable ways of construction of the nonparametric mixture model estimator are reviewed and set into perspective. Construction of the maximum likelihood estimator of the mixing distribution is done for any number of components up to the global nonparametric maximum likelihood bound using the EM algorithm. In addition, the estimators of Chao and Zelterman are considered with some generalisations of Zelterman’s estimator. All computations are done with CAMCR, a special software developed for population size estimation with mixture models. Several examples and data sets are discussed and the estimators illustrated. Problems using the mixture model-based estimators are highlighted.

Prediction of global and local model quality in CASP8 using the ModFOLD server

The development of effective methods for predicting the quality of three-dimensional (3D) models is fundamentally important for the success of tertiary structure (TS) prediction strategies. Since CASP7, the Quality Assessment (QA) category has existed to gauge the ability of various model quality assessment programs (MQAPs) at predicting the relative quality of individual 3D models. For the CASP8 experiment, automated predictions were submitted in the QA category using two methods from the ModFOLD server-ModFOLD version 1.1 and ModFOLDclust. ModFOLD version 1.1 is a single-model machine learning based method, which was used for automated predictions of global model quality (QMODE1). ModFOLDclust is a simple clustering based method, which was used for automated predictions of both global and local quality (QMODE2). In addition, manual predictions of model quality were made using ModFOLD version 2.0-an experimental method that combines the scores from ModFOLDclust and ModFOLD v1.1. Predictions from the ModFOLDclust method were the most successful of the three in terms of the global model quality, whilst the ModFOLD v1.1 method was comparable in performance to other single-model based methods. In addition, the ModFOLDclust method performed well at predicting the per-residue, or local, model quality scores. Predictions of the per-residue errors in our own 3D models, selected using the ModFOLD v2.0 method, were also the most accurate compared with those from other methods. All of the MQAPs described are publicly accessible via the ModFOLD server at: http://www.reading.ac.uk/bioinf/ModFOLD/. The methods are also freely available to download from: http://www.reading.ac.uk/bioinf/downloads/.

Development and experimental identification of a biomechanical model of the trunk for functional electrical stimulation control in paraplegia

Objectives. Theoretic modeling and experimental studies suggest that functional electrical stimulation (FES) can improve trunk balance in spinal cord injured subjects. This can have a positive impact on daily life, increasing the volume of bimanual workspace, improving sitting posture, and wheelchair propulsion. A closed loop controller for the stimulation is desirable, as it can potentially decrease muscle fatigue and offer better rejection to disturbances. This paper proposes a biomechanical model of the human trunk, and a procedure for its identification, to be used for the future development of FES controllers. The advantage over previous models resides in the simplicity of the solution proposed, which makes it possible to identify the model just before a stimulation session ( taking into account the variability of the muscle response to the FES). Materials and Methods. The structure of the model is based on previous research on FES and muscle physiology. Some details could not be inferred from previous studies, and were determined from experimental data. Experiments with a paraplegic volunteer were conducted in order to measure the moments exerted by the trunk-passive tissues and artificially stimulated muscles. Data for model identification and validation also were collected. Results. Using the proposed structure and identification procedure, the model could adequately reproduce the moments exerted during the experiments. The study reveals that the stimulated trunk extensors can exert maximal moment when the trunk is in the upright position. In contrast, previous studies show that able-bodied subjects can exert maximal trunk extension when flexed forward. Conclusions. The proposed model and identification procedure are a successful first step toward the development of a model-based controller for trunk FES. The model also gives information on the trunk in unique conditions, normally not observable in able-bodied subjects (ie, subject only to extensor muscles contraction).

Design, implementation and testing of an intelligent knowledge-based system for the supervisory control of a hot rolling mill

This paper describes the design, implementation and testing of an intelligent knowledge-based supervisory control (IKBSC) system for a hot rolling mill process. A novel architecture is used to integrate an expert system with an existing supervisory control system and a new optimization methodology for scheduling the soaking pits in which the material is heated prior to rolling. The resulting IKBSC system was applied to an aluminium hot rolling mill process to improve the shape quality of low-gauge plate and to optimise the use of the soaking pits to reduce energy consumption. The results from the trials demonstrate the advantages to be gained from the IKBSC system that integrates knowledge contained within data, plant and human resources with existing model-based systems. (c) 2005 Elsevier Ltd. All rights reserved.

CAMCR: Computer-Assisted Mixture model analysis for Capture–Recapture count data

Population size estimation with discrete or nonparametric mixture models is considered, and reliable ways of construction of the nonparametric mixture model estimator are reviewed and set into perspective. Construction of the maximum likelihood estimator of the mixing distribution is done for any number of components up to the global nonparametric maximum likelihood bound using the EM algorithm. In addition, the estimators of Chao and Zelterman are considered with some generalisations of Zelterman’s estimator. All computations are done with CAMCR, a special software developed for population size estimation with mixture models. Several examples and data sets are discussed and the estimators illustrated. Problems using the mixture model-based estimators are highlighted.

Meson properties in an extended nonlocal NJL model

We consider a non-local version of the NJL model, based on a separable quark-quark interaction. The interaction is extended to include terms that bind vector and axial-vector mesons. The non-locality means that no further regulator is required. Moreover the model is able to confine the quarks by generating a quark propagator without poles at real energies. Working in the ladder approximation, we calculate amplitudes in Euclidean space and discuss features of their continuation to Minkowski energies. Conserved currents are constructed and we demonstrate their consistency with various Ward identities. Various meson masses are calculated, along with their strong and electromagnetic decay amplitudes. We also calculate the electromagnetic form factor of the pion, as well as form factors associated with the processes γγ* → π0 and ω → π0γ*. The results are found to lead to a satisfactory phenomenology and lend some dynamical support to the idea of vector-meson dominance.

Enhancing model predictive control using dynamic data reconciliation

The use of data reconciliation techniques can considerably reduce the inaccuracy of process data due to measurement errors. This in turn results in improved control system performance and process knowledge. Dynamic data reconciliation techniques are applied to a model-based predictive control scheme. It is shown through simulations on a chemical reactor system that the overall performance of the model-based predictive controller is enhanced considerably when data reconciliation is applied. The dynamic data reconciliation techniques used include a combined strategy for the simultaneous identification of outliers and systematic bias.

Model predictive control using dynamic integrated system optimisation and parameter estimation (DISOPE)

DISOPE is a technique for solving optimal control problems where there are differences in structure and parameter values between reality and the model employed in the computations. The model reality differences can also allow for deliberate simplification of model characteristics and performance indices in order to facilitate the solution of the optimal control problem. The technique was developed originally in continuous time and later extended to discrete time. The main property of the procedure is that by iterating on appropriately modified model based problems the correct optimal solution is achieved in spite of the model-reality differences. Algorithms have been developed in both continuous and discrete time for a general nonlinear optimal control problem with terminal weighting, bounded controls and terminal constraints. The aim of this paper is to show how the DISOPE technique can aid receding horizon optimal control computation in nonlinear model predictive control.

View-based modelling of human visual navigation errors

View-based and Cartesian representations provide rival accounts of visual navigation in humans, and here we explore possible models for the view-based case. A visual “homing” experiment was undertaken by human participants in immersive virtual reality. The distributions of end-point errors on the ground plane differed significantly in shape and extent depending on visual landmark configuration and relative goal location. A model based on simple visual cues captures important characteristics of these distributions. Augmenting visual features to include 3D elements such as stereo and motion parallax result in a set of models that describe the data accurately, demonstrating the effectiveness of a view-based approach.

A linear model for the structure of turbulence beneath surface water waves

The structure of turbulence in the ocean surface layer is investigated using a simplified semi-analytical model based on rapid-distortion theory. In this model, which is linear with respect to the turbulence, the flow comprises a mean Eulerian shear current, the Stokes drift of an irrotational surface wave, which accounts for the irreversible effect of the waves on the turbulence, and the turbulence itself, whose time evolution is calculated. By analysing the equations of motion used in the model, which are linearised versions of the Craik–Leibovich equations containing a ‘vortex force’, it is found that a flow including mean shear and a Stokes drift is formally equivalent to a flow including mean shear and rotation. In particular, Craik and Leibovich’s condition for the linear instability of the first kind of flow is equivalent to Bradshaw’s condition for the linear instability of the second. However, the present study goes beyond linear stability analyses by considering flow disturbances of finite amplitude, which allows calculating turbulence statistics and addressing cases where the linear stability is neutral. Results from the model show that the turbulence displays a structure with a continuous variation of the anisotropy and elongation, ranging from streaky structures, for distortion by shear only, to streamwise vortices resembling Langmuir circulations, for distortion by Stokes drift only. The TKE grows faster for distortion by a shear and a Stokes drift gradient with the same sign (a situation relevant to wind waves), but the turbulence is more isotropic in that case (which is linearly unstable to Langmuir circulations).

Kinetic model for the formation of acrylamide during the finish-frying of commercial French fries

Acrylamide is formed from reducing sugars and asparagine during the preparation of French fries. The commercial preparation of French fries is a multistage process involving the preparation of frozen, par-fried potato strips for distribution to catering outlets, where they are finish-fried. The initial blanching, treatment in glucose solution, and par-frying steps are crucial because they determine the levels of precursors present at the beginning of the finish-frying process. To minimize the quantities of acrylamide in cooked fries, it is important to understand the impact of each stage on the formation of acrylamide. Acrylamide, amino acids, sugars, moisture, fat, and color were monitored at time intervals during the frying of potato strips that had been dipped in various concentrations of glucose and fructose during a typical pretreatment. A mathematical model based on the fundamental chemical reaction pathways of the finish-frying was developed, incorporating moisture and temperature gradients in the fries. This showed the contribution of both glucose and fructose to the generation of acrylamide and accurately predicted the acrylamide content of the final fries.