Maximum Loss Calculation using Scenario Analysis, Heavy Tails and Implied Volatility Patterns

The objective of this paper is to improve option risk monitoring by examining the information content of implied volatility and by introducing the calculation of a single-sum expected risk exposure similar to the Value-at-Risk. The figure is calculated in two steps. First, there is a need to estimate the value of a portfolio of options for a number of different market scenarios, while the second step is to summarize the information content of the estimated scenarios into a single-sum risk measure. This involves the use of probability theory and return distributions, which confronts the user with the problems of non-normality in the return distribution of the underlying asset. Here the hyperbolic distribution is used to describe one alternative for dealing with heavy tails. Results indicate that the information content of implied volatility is useful when predicting future large returns in the underlying asset. Further, the hyperbolic distribution provides a good fit to historical returns enabling a more accurate definition of statistical intervals and extreme events.

Density-wave theory of dislocations in crystals

The density-wave theory of Ramakrishnan and Yussouff is extended to provide a scheme for describing dislocations and other topological defects in crystals. Quantitative calculations are presented for the order-parameter profiles, the atomic configuration, and the free energy of a screw dislocation with Burgers vector b=(a/2, a/2, a/2) in a bcc solid. These calculations are done using a simple parametrization of the direct correlation function and a gradient expansion. It is conventional to express the free energy of the dislocation in a crystal of size R as (λb2/4π)ln(αR/‖b‖), where λ is the shear elastic constant, and α is a measure of the core energy. Our results yield for Na the value α≃1.94a/(‖c1’’‖)1/2 (≃1.85) at the freezing temperature (371 K) and α≃2.48a/(‖c1’’‖)1/2 at 271 K, where c1’’ is the curvature of the first peak of the direct correlation function c(q). Detailed results for the density distribution in the dislocation, particularly the core region, are also presented. These show that the dislocation core has a columnar character. To our knowledge, this study represents the first calculation of dislocation structure, including the core, within the framework of an order-parameter theory and incorporating thermal effects.

Dynamics of polar solvation: Route to single exponential relaxation via translational diffusion

A microscopic theoretical calculation of time-dependent solvation energy shows that the solvation of an ion or a dipole is dominated by a single relaxation time if the translational contribution to relaxation is significant.

Sliding Modes for the Simulation of Mechanical and Electrical Systems Defined by Differential-Algebraic Equations

We offer a technique, motivated by feedback control and specifically sliding mode control, for the simulation of differential-algebraic equations (DAEs) that describe common engineering systems such as constrained multibody mechanical structures and electric networks. Our algorithm exploits the basic results from sliding mode control theory to establish a simulation environment that then requires only the most primitive of numerical solvers. We circumvent the most important requisite for the conventionalsimulation of DAEs: the calculation of a set of consistent initial conditions. Our algorithm, which relies on the enforcement and occurrence of sliding mode, will ensure that the algebraic equation is satisfied by the dynamic system even for inconsistent initial conditions and for all time thereafter. [DOI:10.1115/1.4001904]

Uniformly valid analytical solution to the problem of a decaying shock wave

An explicit representation of an analytical solution to the problem of decay of a plane shock wave of arbitrary strength is proposed. The solution satisfies the basic equations exactly. The approximation lies in the (approximate) satisfaction of two of the Rankine-Hugoniot conditions. The error incurred is shown to be very small even for strong shocks. This solution analyses the interaction of a shock of arbitrary strength with a centred simple wave overtaking it, and describes a complete history of decay with a remarkable accuracy even for strong shocks. For a weak shock, the limiting law of motion obtained from the solution is shown to be in complete agreement with the Friedrichs theory. The propagation law of the non-uniform shock wave is determined, and the equations for shock and particle paths in the (x, t)-plane are obtained. The analytic solution presented here is uniformly valid for the entire flow field behind the decaying shock wave.

An Experimental and Numerical Study of Calliphora Wing Structure

Experiments are performed to determine the mass and stiffness variations along the wing of the blowfly Calliphora. The results are obtained for a pairs of wings of 10 male flies and fresh wings are used. The wing is divided into nine locations along the span and seven locations along the chord based on venation patterns. The length and mass of the sections is measured and the mass per unit length is calculated. The bending stiffness measurements are taken at three locations, basal (near root), medial and distal (near tip) of the fly wing. Torsional stiffness measurements are also made and the elastic axis of the wing is approximately located. The experimental data is then used for structural modeling of the wing as a stepped cantilever beam with nine spanwise sections of varying mass per unit lengths, flexural rigidity (EI) and torsional rigidity (GJ) values. Inertial values of nine sections are found to approximately vary according to an exponentially decreasing law over the nine sections from root to tip and it is used to calculate an approximate value of Young's modulus of the wing biomaterial. Shear modulus is obtained assuming the wing biomaterial to be isotropic. Natural frequencies, both in bending and torsion, are obtained by solving the homogeneous part of the respective governing differential equations using the finite element method. The results provide a complete analysis of Calliphora wing structure and also provide guidelines for the biomimetic structural design of insect-scale flapping wings.

Non-industrial private forest landowners’ choices of timber management strategies and potential allowable cut.

In the study, the potential allowable cut in the district of Pohjois-Savo - based on the non-industrial private forest landowners' (NIPF) choices of timber management strategies - was clarified. Alternative timber management strategies were generated, and the choices and factors affecting the choices of timber management strategies by NIPF landowners were studied. The choices of timber management strategies were solved by maximizing the utility functions of the NIPF landowners. The parameters of the utility functions were estimated using the Analytic Hierarchy Process (AHP). The level of the potential allowable cut was compared to the cutting budgets based on the 7th and 8th National Forest Inventories (NFI7 and NFI8), to the combining of private forestry plans, and to the realized drain from non-industrial private forests. The potential allowable cut was calculated using the same MELA system as has been used in the calculation of the national cutting budget. The data consisted of the NIPF holdings (from the TASO planning system) that had been inventoried compartmentwise and had forestry plans made during the years 1984-1992. The NIPF landowners' choices of timber management strategies were clarified by a two-phase mail inquiry. The most preferred strategy obtained was "sustainability" (chosen by 62 % of landowners). The second in order of preference was "finance" (17 %) and the third was "saving" (11 %). "No cuttings", and "maximum cuttings" were the least preferred (9 % and 1 %, resp.). The factors promoting the choices of strategies with intensive cuttings were a) "farmer as forest owner" and "owning fields", b) "increase in the size of the forest holding", c) agriculture and forestry orientation in production, d) "decreasing short term stumpage earning expectations", e) "increasing intensity of future cuttings", and f) "choice of forest taxation system based on site productivity". The potential allowable cut defined in the study was 20 % higher than the average of the realized drain during the years 1988-1993, which in turn, was at the same level as the cutting budget based on the combining of forestry plans in eastern Finland. Respectively, the potential allowable cut defined in the study was 12 % lower than the NFI8-based greatest sustained allowable cut for the 1990s. Using the method presented in this study, timber management strategies can be clarified for non-industrial private forest landowners in different parts of Finland. Based on the choices of timber managemet strategies, regular cutting budgets can be calculated more realistically than before.

Analytical prediction of break-out noise from a reactive rectangular plenum with four flexible walls

This paper describes an analytical calculation of break-out noise from a rectangular plenum with four flexible walls by incorporating three-dimensional effects along with the acoustical and structural wave coupling phenomena. The breakout noise from rectangular plenums is important and the coupling between acoustic waves within the plenum and structural waves in the flexible plenum walls plays a critical role in prediction of the transverse transmission loss. The first step in breakout noise prediction is to calculate the inside plenum pressure field and the normal flexible plenum wall vibration by using an impedance-mobility approach, which results in a compact matrix formulation. In the impedance-mobility compact matrix (IMCM) approach, it is presumed that the coupled response can be described in terms of finite sets of the uncoupled acoustic subsystem and the structural subsystem. The flexible walls of the plenum are modeled as an unfolded plate to calculate natural frequencies and mode shapes of the uncoupled structural subsystem. The second step is to calculate the radiated sound power from the flexible walls using Kirchhoff-Helmholtz (KH) integral formulation. Analytical results are validated with finite element and boundary element (FEM-BEM) numerical models. (C) 2010 Acoustical Society of America. DOI: 10.1121/1.3463801]

Effect of favorable pressure gradient on transitional spot formation rate

The calculation of the transitional boundary layer requires estimates of the extent of the transition zone, which in turn depends on the rate at which turbulent spots are formed. This rate has been found to scale with local boundary layer thickness and viscosity, and the resulting nondimensional group (called crumble) is a function of the pressure gradient, among other parameters. Available experimental data are analyzed to show that the crumble increases slowly with increasing favorable pressure gradients, being about four times as large as in constant-pressure flow when the Thwaites pressure gradient parameter at the effective origin of the resulting turbulent boundary layer is 0.1 and when transition is driven by free-stream turbulence.

Rate Control State-of-the-art Survey

The majority of Internet traffic use Transmission Control Protocol (TCP) as the transport level protocol. It provides a reliable ordered byte stream for the applications. However, applications such as live video streaming place an emphasis on timeliness over reliability. Also a smooth sending rate can be desirable over sharp changes in the sending rate. For these applications TCP is not necessarily suitable. Rate control attempts to address the demands of these applications. An important design feature in all rate control mechanisms is TCP friendliness. We should not negatively impact TCP performance since it is still the dominant protocol. Rate Control mechanisms are classified into two different mechanisms: window-based mechanisms and rate-based mechanisms. Window-based mechanisms increase their sending rate after a successful transfer of a window of packets similar to TCP. They typically decrease their sending rate sharply after a packet loss. Rate-based solutions control their sending rate in some other way. A large subset of rate-based solutions are called equation-based solutions. Equation-based solutions have a control equation which provides an allowed sending rate. Typically these rate-based solutions react slower to both packet losses and increases in available bandwidth making their sending rate smoother than that of window-based solutions. This report contains a survey of rate control mechanisms and a discussion of their relative strengths and weaknesses. A section is dedicated to a discussion on the enhancements in wireless environments. Another topic in the report is bandwidth estimation. Bandwidth estimation is divided into capacity estimation and available bandwidth estimation. We describe techniques that enable the calculation of a fair sending rate that can be used to create novel rate control mechanisms.

Free vibration of rectangular beams of arbitrary depth

The state space approach is extended to the two dimensional elastodynamic problems. The formulation is in a form particularly amenable to consistent reduction to obtain approximate theories of any desired order. Free vibration of rectangular beams of arbitrary depth is investigated using this approach. The method does not involve the concept of the shear coefficientk. It takes into account the vertical normal stress and the transverse shear stress. The frequency values are calculated using the Timoshenko beam theory and the present analysis for different values of Poisson's ratio and they are in good agreement. Four cases of beams with different end conditions are considered.Die Zustandsraum-Technik wird auf zweidimensionale elastodynamische Probleme ausgedehnt. Die Formulierung ist besonders geeignet für die Aufstellung von Näherungstheorien beliebigen Grades. Freie Schwingungen von Rechteckbalken beliebiger Höhe wurden mit Hilfe dieser Technik untersucht. Das Verfahren umgeht den Begriff des Schubbeiwertsk. Es berücksichtigt die senkrechte Normalbeanspruchung und die Querkraft. Die Frequenzwerte werden mit Hilfe der Balkentheorie von Timoshenko und der vorliegenden Analyse berechnet, und zwar für verschiedene Werte der Querdehnzahl. Die berechneten Werte befinden sich in guter Übereinstimmung. Vier Fälle von Balken mit verschiedenen Endbedingungen werden untersucht.

Structure, dielectric, and magnetic properties of Sr2TiMnO6 ceramics

Sr2TiMnO6, a double perovskite associated with high degree of B-site cation disorder was investigated in detail for its structural, magnetic, and dielectric properties. Though x-ray powder diffraction analysis confirms its cubic structure, first order Raman scattering and infrared reflectivity spectra indicate a breaking of the local cubic symmetry. The magnetization study reveals an anomaly at 14 K owing to a ferrimagnetic/canted antiferromagneticlike ordering arising from local Mn-O-Mn clusters. Saturated M-H hysteresis loops obtained at 5 K also reflect the weak ferromagnetic exchange interactions present in the system and an approximate estimation of Mn3+/Mn4+ was done using the magnetization data for the samples sintered at different temperatures. The conductivity and dielectric behavior of this system has been investigated in a broad temperature range of 10 to 300 K. Intrinsic permittivity was obtained only below 100 K whereas giant permittivity due to conductivity and Maxwell-Wagner polarization was observed at higher temperatures. X-ray photoemission studies further confirmed the presence of mixed oxidation states of Mn and the valence band spectra analysis was carried out in detail. (C) 2010 American Institute of Physics. doi: 10.1063/1.3500369]

Fractal boundaries of basin of attraction of Newton-Raphson method in helicopter trim

A key problem in helicopter aeroelastic analysis is the enormous computational time required for a numerical solution of the nonlinear system of algebraic equations required for trim, particularly when free wake models are used. Trim requires calculation of the main rotor and tail rotor controls and the vehicle attitude which leads to the six steady forces and moments about the helicopter center of gravity to be zero. An appropriate initial estimate of the trim state is needed for successful helicopter trim. This study aims to determine the control inputs that can have considerable effect on the convergence of trim solution in the aeroelastic analysis of helicopter rotors by investigating the basin of attraction of the nonlinear equations (set of initial guess points from which the nonlinear equations converge). It is illustrated that the three main rotor pitch controls of collective pitch, longitudinal cyclic pitch and lateral cyclic pitch have a significant contribution to the convergence of the trim solution. Trajectories of the Newton iterates are shown and some ideas for accelerating the convergence of a trim solution in the aeroelastic analysis of helicopters are proposed. It is found that the basins of attraction can have fractal boundaries. (C) 2010 Elsevier Ltd. All rights reserved.

A new approach to the kinetics of size reduction in ball milling

The rate of breakage of feed in ball milling is usually represented in the form of a first-order rate equation. The equation was developed by treating a simple batch test mill as a well mixed reactor. Several case of deviation from the rule have been reported in the literature. This is attributed to the fact that accumulated fines interfere with the feed material and breaking events are masked by these fines. In the present paper, a new rate equation is proposed which takes into account the retarding effect of fines during milling. For this purpose the analogy of diffusion of ions through permeable membranes is adopted, with suitable modifications. The validity of the model is cross checked with the data obtained in batch grinding of ?850/+600 ?m size quartz. The proposed equation enables calculation of the rate of breakage of the feed at any instant of time.

Mean-field results of the multiple-band extended Hubbard model for the square-planar CuO2 lattice

We obtain metal-insulator phase diagrams at half-filling for the five-band extended Hubbard model of the square-planar CuO2 lattice treated within a Hartree-Fock mean-field approximation, allowing for spiral spin-density waves. We indicate the existence of an insulating phase (covalent insulator) characterized by strong covalency effects, not identified in the earlier Zaanen-Sawatzky-Allen phase diagram. While the insulating phase is always antiferromagnetic, we also obtain an antiferromagnetic metallic phase for a certain range of interaction parameters. Performing a nonperturbative calculation of J(eff), the in-plane antiferromagnetic interaction is presented as a function of the parameters in the model. We also calculate the band gap and magnetic moments at various sites and discuss critically the contrasting interpretation of the electronic structure of high-T(c) materials arising from photoemission and neutron-scattering experiments.