The accuracy of the escrowed dividend model on the value of European options on a stock paying discrete dividend

This project characterizes the accuracy of the escrowed dividend model on the value of European options on a stock paying discrete dividend. A description of the escrowed dividend model is provided, and a comparison between this model and the benchmark model is realized. It is concluded that options on stocks with either low volatility, low dividend yield, low ex-dividend to maturity ratio or that are deep in or out of the money are reasonably priced with the escrowed dividend model.

A high order model for piezoelectric rods: an asymptotic approach

Preprint submitted to International Journal of Solids and Structures. ISSN 0020-7683

Measurement of the correlation between flow harmonics of different order in lead-lead collisions at root S-NN=2.76 TeV with the ATLAS detector

Correlations between the elliptic or triangular flow coefficients vm (m=2 or 3) and other flow harmonics vn (n=2 to 5) are measured using sNN−−−−√=2.76 TeV Pb+Pb collision data collected in 2010 by the ATLAS experiment at the LHC, corresponding to an integrated lumonisity of 7 μb−1. The vm-vn correlations are measured in midrapidity as a function of centrality, and, for events within the same centrality interval, as a function of event ellipticity or triangularity defined in a forward rapidity region. For events within the same centrality interval, v3 is found to be anticorrelated with v2 and this anticorrelation is consistent with similar anticorrelations between the corresponding eccentricities ϵ2 and ϵ3. On the other hand, it is observed that v4 increases strongly with v2, and v5 increases strongly with both v2 and v3. The trend and strength of the vm-vn correlations for n=4 and 5 are found to disagree with ϵm-ϵn correlations predicted by initial-geometry models. Instead, these correlations are found to be consistent with the combined effects of a linear contribution to vn and a nonlinear term that is a function of v22 or of v2v3, as predicted by hydrodynamic models. A simple two-component fit is used to separate these two contributions. The extracted linear and nonlinear contributions to v4 and v5 are found to be consistent with previously measured event-plane correlations.

Reduced model for flow simulation in the burner region of lime shaft kilns

Magdeburg, Univ., Fak. für Verfahrens- und Systemtechnik, Diss., 2010

Bilinear H 2-optimal Model Order-Reduction with applications to thermal parametric systems

Magdeburg, Univ., Fak. für Mathematik, Diss., 2015

Line-fitting method of model order reduction for elastic multibody systems

Magdeburg, Univ., Fak. für Maschinenbau, Diss., 2015

The structural approach of a natrex model on equilibrium exchange rates

Following a general macroeconomic approach, this paper sets a closed micro-founded structural model to determine the long run real exchange rate of a developed economy. In particular, the analysis follows the structure of a Natrex model. The main contribution of this research paper is the development of a solid theoretical framework that analyse in depth the basis of the real exchange rate and the details of the equilibrium dynamics after any shock influencing the steady state. In our case, the intertemporal factors derived from the stock-flow relationship will be particularly determinant. The main results of the paper can be summarised as follows. In first place, a complete well-integrated structural model for long-run real exchange rate determination is developed from first principles. Moreover, within the concrete dynamics of the model, it is found that some convergence restrictions will be necessary. On one hand, for the medium run convergence the sensitivity of the trade balance to changes in real exchange rate should be higher that the correspondent one to the investment decisions. On the other hand, and regarding long-run convergence, it is also necessary both that there exists a negative relationship between investment and capital stock accumulation and that the global saving of the economy depends positively on net foreign debt accumulation. In addition, there are also interesting conclusions about the effects that certain shocks over the exogenous variables of the model have on real exchange rates.

Model-based diagnosis system: application to constructed wetlands

Report for the scientific sojourn carried out at the Model-based Systems and Qualitative Reasoning Group (Technical University of Munich), from September until December 2005. Constructed wetlands (CWs), or modified natural wetlands, are used all over the world as wastewater treatment systems for small communities because they can provide high treatment efficiency with low energy consumption and low construction, operation and maintenance costs. Their treatment process is very complex because it includes physical, chemical and biological mechanisms like microorganism oxidation, microorganism reduction, filtration, sedimentation and chemical precipitation. Besides, these processes can be influenced by different factors. In order to guarantee the performance of CWs, an operation and maintenance program must be defined for each Wastewater Treatment Plant (WWTP). The main objective of this project is to provide a computer support to the definition of the most appropriate operation and maintenance protocols to guarantee the correct performance of CWs. To reach them, the definition of models which represent the knowledge about CW has been proposed: components involved in the sanitation process, relation among these units and processes to remove pollutants. Horizontal Subsurface Flow CWs are chosen as a case study and the filtration process is selected as first modelling-process application. However, the goal is to represent the process knowledge in such a way that it can be reused for other types of WWTP.

A nonlinear threshold model for the dependence of extremes of stationary sequences

One of the main implications of the efficient market hypothesis (EMH) is that expected future returns on financial assets are not predictable if investors are risk neutral. In this paper we argue that financial time series offer more information than that this hypothesis seems to supply. In particular we postulate that runs of very large returns can be predictable for small time periods. In order to prove this we propose a TAR(3,1)-GARCH(1,1) model that is able to describe two different types of extreme events: a first type generated by large uncertainty regimes where runs of extremes are not predictable and a second type where extremes come from isolated dread/joy events. This model is new in the literature in nonlinear processes. Its novelty resides on two features of the model that make it different from previous TAR methodologies. The regimes are motivated by the occurrence of extreme values and the threshold variable is defined by the shock affecting the process in the preceding period. In this way this model is able to uncover dependence and clustering of extremes in high as well as in low volatility periods. This model is tested with data from General Motors stocks prices corresponding to two crises that had a substantial impact in financial markets worldwide; the Black Monday of October 1987 and September 11th, 2001. By analyzing the periods around these crises we find evidence of statistical significance of our model and thereby of predictability of extremes for September 11th but not for Black Monday. These findings support the hypotheses of a big negative event producing runs of negative returns in the first case, and of the burst of a worldwide stock market bubble in the second example. JEL classification: C12; C15; C22; C51 Keywords and Phrases: asymmetries, crises, extreme values, hypothesis testing, leverage effect, nonlinearities, threshold models

Second-Order Approximation to the Rotemberg Model around a Distorted Steady State

Less is known about social welfare objectives when it is costly to change prices, as in Rotemberg (1982), compared with Calvo-type models. We derive a quadratic approximate welfare function around a distorted steady state for the costly price adjustment model. We highlight the similarities and differences to the Calvo setup. Both models imply inflation and output stabilization goals. It is explained why the degree of distortion in the economy influences inflation aversion in the Rotemberg framework in a way that differs from the Calvo setup.

A stable and 40Ar/39Ar isotope study of a major thrust in the Helvetic nappes (Swiss Alps) - Evidence for fluid-flow and constraints on nappe kinematics

Stable isotope and Ar-40/Ar-39 measurements,were made on samples associated with a major tectonic discontinuity in the Helvetic Alps, the basal thrust of the Diablerets nappe (external zone of the Alpine Belt) in order to determine both the importance of fluids in this thrust zone and the timing of thrusting. A systematic decrease in the delta(18)O values (up to 6 parts per thousand) of calcite, quartz, and white mica exists within a 10- to 70-m-wide zone over a distance of 37 km along the thrust, and they become more pronounced toward the root of the nappe. A similar decrease in the delta(13)C values of calcite is observed only in the deepest sections (up to 3 parts per thousand). The delta D-SMOW (SMOW = standard mean ocean water) values of white mica are -54 parts per thousand +/- 8 parts per thousand (n = 22) and are independent of the distance from the thrust. These variations are interpreted to reflect syntectonic solution reprecipitation during fluid passage along the thrust. The calculated delta(18)O and delta D values (versus SMOW) for the fluid in equilibrium with the analyzed minerals is 12 parts per thousand to 16 parts per thousand and -30 parts per thousand to +5 parts per thousand, respectively, for assumed temperatures of 250 to 450 degrees C. The isotopic and structural data are consistent with fluids derived from the deep-seated roots of the Helvetic nappes where large volumes of Mesozoic sediments were metamorphosed to the amphibolite facies, It is suggested that connate and metamorphic waters, overpressured by rapid tectonic burial in a subductive system escaped by upward infiltration along moderately dipping pathways until they reached the main shear zone at the base of the moving pile, where they were channeled toward the surface, This model also explains the mechanism by which large amounts of fluid were removed from the Mesozoic sediments during Alpine metamorphism. White mica Ar-49/Ar-39 ages vary from 27 Ma far from the Diablerets thrust to 15 Ma along the thrust. An older component is observed in micas far from the thrust, interpreted as a detrital signature, and indicates that regional metamorphic temperatures were less than about 350 degrees C. The;plateau and near plateau ages nearest the thrust are consistent with either neocrystallization of white mica or argon loss by recrystallization during thrusting, which may have been enhanced in the zones of highest fluid flow. The 15 Ma Ar-40/Ar-39 age plateau measured on white mica sampled exactly on the thrust surface dates the end of both fluid flow and tectonic transport.

Comparison of dengue infection in human mononuclear leukocytes with mosquito C6/36 and mammalian Vero cells using flow cytometry to detect virus antigen

Fluorescent activated cell sorter (FACS) analysis is useful for the detection of cellular surface antigens and intracellular proteins. We used this methodology in order to detect and quantify dengue antigens in highly susceptible cells such as clone C6/36 (Aedes albopictus) and Vero cells (green monkey kidney). Additionally, we analyzed the infection in vitro of human peripheral blood mononuclear leukocytes (PBML). FACS analysis turned out to be a reliable technique to quantify virus growth in traditional cell cultures of C6/36 as well as Vero cells. High rates of infection were achieved with a good statistical correlation between the virus amount used in infection and the percentage of dengue antigen containing cells detected in infected cultures. We also showed that human monocytes (CD14+) are preferred target cells for in vitro dengue infection among PBML. Monocytes were much less susceptible to virus infection than cell lines but they displayed dengue antigens detected by FACS five days after infection. In contrast, lymphocytes showed no differences in their profile for dengue specific immunofluorescence. Without an animal model to reproduce dengue disease, alternative assays have been sought to correlate viral virulence with clinical manifestations and disease severity. Study of in vitro interaction of virus and host cells may highlight this relationship.

Cytostatic lung perfusion results in heterogeneous spatial regional blood flow and drug distribution: evaluation of different cytostatic lung perfusion techniques in a porcine model.

OBJECTIVES: Comparison of doxorubicin uptake, leakage and spatial regional blood flow, and drug distribution was made for antegrade, retrograde, combined antegrade and retrograde isolated lung perfusion, and pulmonary artery infusion by endovascular inflow occlusion (blood flow occlusion), as opposed to intravenous administration in a porcine model. METHODS: White pigs underwent single-pass lung perfusion with doxorubicin (320 mug/mL), labeled 99mTc-microspheres, and Indian ink. Visual assessment of the ink distribution and perfusion scintigraphy of the perfused lung was performed. 99mTc activity and doxorubicin levels were measured by gamma counting and high-performance liquid chromatography on 15 tissue samples from each perfused lung at predetermined localizations. RESULTS: Overall doxorubicin uptake in the perfused lung was significantly higher (P = .001) and the plasma concentration was significantly lower (P < .0001) after all isolated lung perfusion techniques, compared with intravenous administration, without differences between them. Pulmonary artery infusion (blood flow occlusion) showed an equally high doxorubicin uptake in the perfused lung but a higher systemic leakage than surgical isolated lung perfusion (P < .0001). The geometric coefficients of variation of the doxorubicin lung tissue levels were 175%, 279%, 226%, and 151% for antegrade, retrograde, combined antegrade and retrograde isolated lung perfusion, and pulmonary artery infusion by endovascular inflow occlusion (blood flow occlusion), respectively, compared with 51% for intravenous administration (P = .09). 99mTc activity measurements of the samples paralleled the doxorubicin level measurements, indicating a trend to a more heterogeneous spatial regional blood flow and drug distribution after isolated lung perfusion and blood flow occlusion compared with intravenous administration. CONCLUSIONS: Cytostatic lung perfusion results in a high overall doxorubicin uptake, which is, however, heterogeneously distributed within the perfused lung.