Financial modelling with 2-EPT probability density functions

The class of all Exponential-Polynomial-Trigonometric (EPT) functions is classical and equal to the Euler-d’Alembert class of solutions of linear differential equations with constant coefficients. The class of non-negative EPT functions defined on [0;1) was discussed in Hanzon and Holland (2010) of which EPT probability density functions are an important subclass. EPT functions can be represented as ceAxb, where A is a square matrix, b a column vector and c a row vector where the triple (A; b; c) is the minimal realization of the EPT function. The minimal triple is only unique up to a basis transformation. Here the class of 2-EPT probability density functions on R is defined and shown to be closed under a variety of operations. The class is also generalised to include mixtures with the pointmass at zero. This class coincides with the class of probability density functions with rational characteristic functions. It is illustrated that the Variance Gamma density is a 2-EPT density under a parameter restriction. A discrete 2-EPT process is a process which has stochastically independent 2-EPT random variables as increments. It is shown that the distribution of the minimum and maximum of such a process is an EPT density mixed with a pointmass at zero. The Laplace Transform of these distributions correspond to the discrete time Wiener-Hopf factors of the discrete time 2-EPT process. A distribution of daily log-returns, observed over the period 1931-2011 from a prominent US index, is approximated with a 2-EPT density function. Without the non-negativity condition, it is illustrated how this problem is transformed into a discrete time rational approximation problem. The rational approximation software RARL2 is used to carry out this approximation. The non-negativity constraint is then imposed via a convex optimisation procedure after the unconstrained approximation. Sufficient and necessary conditions are derived to characterise infinitely divisible EPT and 2-EPT functions. Infinitely divisible 2-EPT density functions generate 2-EPT Lévy processes. An assets log returns can be modelled as a 2-EPT Lévy process. Closed form pricing formulae are then derived for European Options with specific times to maturity. Formulae for discretely monitored Lookback Options and 2-Period Bermudan Options are also provided. Certain Greeks, including Delta and Gamma, of these options are also computed analytically. MATLAB scripts are provided for calculations involving 2-EPT functions. Numerical option pricing examples illustrate the effectiveness of the 2-EPT approach to financial modelling.

Extended factorizations of exponential functionals of Lévy processes

Pardo, Patie, and Savov derived, under mild conditions, a Wiener-Hopf type factorization for the exponential functional of proper Lévy processes. In this paper, we extend this factorization by relaxing a finite moment assumption as well as by considering the exponential functional for killed Lévy processes. As a by-product, we derive some interesting fine distributional properties enjoyed by a large class of this random variable, such as the absolute continuity of its distribution and the smoothness, boundedness or complete monotonicity of its density. This type of results is then used to derive similar properties for the law of maxima and first passage time of some stable Lévy processes. Thus, for example, we show that for any stable process with $\rho\in(0,\frac{1}{\alpha}-1]$, where $\rho\in[0,1]$ is the positivity parameter and $\alpha$ is the stable index, then the first passage time has a bounded and non-increasing density on $\mathbb{R}_+$. We also generate many instances of integral or power series representations for the law of the exponential functional of Lévy processes with one or two-sided jumps. The proof of our main results requires different devices from the one developed by Pardo, Patie, Savov. It relies in particular on a generalization of a transform recently introduced by Chazal et al together with some extensions to killed Lévy process of Wiener-Hopf techniques. The factorizations developed here also allow for further applications which we only indicate here also allow for further applications which we only indicate here.

Asymptotic behavior at infinity of solutions of multidimensional second kind integral equations

We consider second kind integral equations of the form x(s) - (abbreviated x - K x = y ), in which Ω is some unbounded subset of Rn. Let Xp denote the weighted space of functions x continuous on Ω and satisfying x (s) = O(|s|-p ),s → ∞We show that if the kernel k(s,t) decays like |s — t|-q as |s — t| → ∞ for some sufficiently large q (and some other mild conditions on k are satisfied), then K ∈ B(XP) (the set of bounded linear operators on Xp), for 0 ≤ p ≤ q. If also (I - K)-1 ∈ B(X0) then (I - K)-1 ∈ B(XP) for 0 < p < q, and (I- K)-1∈ B(Xq) if further conditions on k hold. Thus, if k(s, t) = O(|s — t|-q). |s — t| → ∞, and y(s)=O(|s|-p), s → ∞, the asymptotic behaviour of the solution x may be estimated as x (s) = O(|s|-r), |s| → ∞, r := min(p, q). The case when k(s,t) = к(s — t), so that the equation is of Wiener-Hopf type, receives especial attention. Conditions, in terms of the symbol of I — K, for I — K to be invertible or Fredholm on Xp are established for certain cases (Ω a half-space or cone). A boundary integral equation, which models three-dimensional acoustic propaga-tion above flat ground, absorbing apart from an infinite rigid strip, illustrates the practical application and sharpness of the above results. This integral equation mod-els, in particular, road traffic noise propagation along an infinite road surface sur-rounded by absorbing ground. We prove that the sound propagating along the rigid road surface eventually decays with distance at the same rate as sound propagating above the absorbing ground.

Deconvolução de processo sísmico não-estacionário

O presente trabalho trata da aplicação do filtro Kalman-Bucy (FKB), organizado como uma deconvolução (FKBD), para extração da função refletividade a partir de dados sísmicos. Isto significa que o processo é descrito como estocástico não-estacionário, e corresponde a uma generalização da teoria de Wiener-Kolmogorov. A descrição matemática do FKB conserva a relação com a do filtro Wiener-Hopf (FWH) que trata da contra-parte com um processo estocástico estacionário. A estratégia de ataque ao problema é estruturada em partes: (a) Critério de otimização; (b) Conhecimento a priori; (c) Algoritmo; e (d) Qualidade. O conhecimento a priori inclui o modelo convolucional, e estabelece estatísticas para as suas componentes do modelo (pulso-fonte efetivo, função refletividade, ruídos geológico e local). Para demostrar a versatilidade, a aplicabilidade e limitações do método, elaboramos experimentos sistemáticos de deconvolução sob várias situações de nível de ruídos aditivos e de pulso-fonte efetivo. Demonstramos, em primeiro lugar, a necessidade de filtros equalizadores e, em segundo lugar, que o fator de coerência espectral é uma boa medida numérica da qualidade do processo. Justificamos também o presente estudo para a aplicação em dados reais, como exemplificado.

Filtros otimizados para transformadas seno, co-seno e de Hankel j0, j1 e j2

Apresentamos dois algoritmos automáticos, os quais se utilizam do método dos mínimos quadrados de Wiener-Hopf, para o cálculo de filtros lineares digitais para as transformadas seno, co-seno e de Hankel J₀, J₁ e J₂. O primeiro, que otimiza os parâmetros: incremento das abscissas, abscissa inicial e o fator de deslocamento utilizados para os cálculos dos coeficientes dos filtros lineares digitais que são aferidos através de transformadas co-seno, seno e o segundo, que otimiza os parâmetros: incremento das abscissas e abscissa inicial utilizados para os cálculos dos coeficientes dos filtros lineares digitais que são aferidos através de transformadas de Hankel J₀, J₁ e J₂. Esses algoritmos levaram às propostas de novos filtros lineares digitais de 19, 30 e 40 pontos para as transformadas co-seno e seno e de novos filtros otimizados de 37 , 27 e 19 pontos para as transformadas J₀, J₁ e J₂, respectivamente. O desempenho dos novos filtros em relação aos filtros existentes na literatura geofísica é avaliado usando-se um modelo geofísico constituído por dois semi-espaços. Como fonte usou-se uma linha infinita de corrente entre os semi-espaços originando, desta forma, transformadas co-seno e seno. Verificou-se melhores desempenhos na maioria das simulações usando o novo filtro co-seno de 19 pontos em relação às simulações usando o filtro co-seno de 19 pontos existente na literatura. Verificou-se também a equivalência de desempenhos nas simulações usando o novo filtro seno de 19 pontos em relação às simulações usando o filtro seno de 20 pontos existente na literatura. Adicionalmente usou-se também como fonte um dipolo magnético vertical entre os semi-espaços originando desta forma, transformadas J₀ e J₁, verificando-se melhores desempenhos na maioria das simulações usando o novo filtro J₁ de 27 pontos em relação ao filtro J₁ de 47 pontos existente na literatura. Verificou-se também a equivalência de desempenhos na maioria das simulações usando o novo filtro J₀ de 37 pontos em relação ao filtro J₀ de 61 pontos existente na literatura. Usou-se também como fonte um dipolo magnético horizontal entre os semi-espaços, verificando-se um desempenho análogo ao que foi descrito anteriormente dos novos filtros de 37 e 27 pontos para as respectivas transformadas J₀ e J₁ em relação aos filtros de 61 e 47 pontos existentes na literatura, destas respectivas transformadas. Finalmente verificou-se a equivalência de desempenhos entre os novos filtros J₀ de 37 pontos e J₁ de 27 pontos em relação aos filtros de 61 e 47 pontos existentes na literatura destas transformadas, respectivamente, quando aplicados em modelos de sondagens elétricas verticais (Wenner e Schlumberger). A maioria dos nossos filtros contêm poucos coeficientes quando comparados àqueles geralmente usados na geofísica. Este aspecto é muito importante porque transformadas utilizando filtros lineares digitais são usadas maciçamente em problemas numéricos geofísicos.

U-M Photo Services photo lab, ca 1960

[L-R? Audrey "Audie" Hendon -customer rep, Ozalid operator; Robert Kalmbach- dark room printer; Lajos "Louis" Martonyi - photographer; Carmen Krasteff - Ozalid operator; Fred Anderegg - supervisor photographer; Karloyi "Karl" Kutasi - photographer; Lorene Fitzgerald - secretary; Willie Dobos - photographer; Wilhelmine Hoesl - lab assistant, Ilse Wiener - photostat operator, Karl Kalmbach - darkroom printer]

Mathematical modelling and optimal multivariable control of chemical processes

This work reports the developnent of a mathenatical model and distributed, multi variable computer-control for a pilot plant double-effect climbing-film evaporator. A distributed-parameter model of the plant has been developed and the time-domain model transformed into the Laplace domain. The model has been further transformed into an integral domain conforming to an algebraic ring of polynomials, to eliminate the transcendental terms which arise in the Laplace domain due to the distributed nature of the plant model. This has made possible the application of linear control theories to a set of linear-partial differential equations. The models obtained have well tracked the experimental results of the plant. A distributed-computer network has been interfaced with the plant to implement digital controllers in a hierarchical structure. A modern rnultivariable Wiener-Hopf controller has been applled to the plant model. The application has revealed a limitation condition that the plant matrix should be positive-definite along the infinite frequency axis. A new multi variable control theory has emerged fram this study, which avoids the above limitation. The controller has the structure of the modern Wiener-Hopf controller, but with a unique feature enabling a designer to specify the closed-loop poles in advance and to shape the sensitivity matrix as required. In this way, the method treats directly the interaction problems found in the chemical processes with good tracking and regulation performances. Though the ability of the analytical design methods to determine once and for all whether a given set of specifications can be met is one of its chief advantages over the conventional trial-and-error design procedures. However, one disadvantage that offsets to some degree the enormous advantages is the relatively complicated algebra that must be employed in working out all but the simplest problem. Mathematical algorithms and computer software have been developed to treat some of the mathematical operations defined over the integral domain, such as matrix fraction description, spectral factorization, the Bezout identity, and the general manipulation of polynomial matrices. Hence, the design problems of Wiener-Hopf type of controllers and other similar algebraic design methods can be easily solved.

A Perturbed Iterative Method for a General Class of Variational Inequalities

The generalized Wiener-Hopf equation and the approximation methods are used to propose a perturbed iterative method to compute the solutions of a general class of nonlinear variational inequalities.

Action of Hopf on the twisted modular Hecke operator

Let Gamma subset of SL2(Z) be a principal congruence subgroup. For each sigma is an element of SL2(Z), we introduce the collection A(sigma)(Gamma) of modular Hecke operators twisted by sigma. Then, A(sigma)(Gamma) is a right A(Gamma)-module, where A(Gamma) is the modular Hecke algebra introduced by Connes and Moscovici. Using the action of a Hopf algebra h(0) on A(sigma)(Gamma), we define reduced Rankin-Cohen brackets on A(sigma)(Gamma). Moreover A(sigma)(Gamma) carries an action of H 1, where H 1 is the Hopf algebra of foliations of codimension 1. Finally, we consider operators between the levels A(sigma)(Gamma), sigma is an element of SL2(Z). We show that the action of these operators can be expressed in terms of a Hopf algebra h(Z).

The Wiener criterion for the Laplacian and the heat operator

La tesi presenta il criterio di regolarità di Wiener dell’ambito classico dell’operatore di Laplace ed in seguito alcune nozioni di teoria del potenziale e la dimostrazione del criterio nel caso dell’operatore del calore; in questa seconda sezione viene dedicata particolare attenzione alle formule di media e ad una diseguaglianza forte di Harnack, che risultano fondamentali nella trattazione dell’argomento centrale.

Hopf hypersurfaces in pseudo-Riemannian complex and para-complex space forms

The study of real hypersurfaces in pseudo-Riemannian complex space forms and para-complex space forms, which are the pseudo-Riemannian generalizations of the complex space forms, is addressed. It is proved that there are no umbilic hypersurfaces, nor real hypersurfaces with parallel shape operator in such spaces. Denoting by J be the complex or para-complex structure of a pseudo-complex or para-complex space form respectively, a non-degenerate hypersurface of such space with unit normal vector field N is said to be Hopf if the tangent vector field JN is a principal direction. It is proved that if a hypersurface is Hopf, then the corresponding principal curvature (the Hopf curvature) is constant. It is also observed that in some cases a Hopf hypersurface must be, locally, a tube over a complex (or para-complex) submanifold, thus generalizing previous results of Cecil, Ryan and Montiel.

Ornstein-Uhlenbeck operator in convex domains of Banach spaces

Studiamo l'operatore di Ornstein-Uhlenbeck e il semigruppo di Ornstein-Uhlenbeck in un sottoinsieme aperto convesso $\Omega$ di uno spazio di Banach separabile $X$ dotato di una misura Gaussiana centrata non degnere $\gamma$. In particolare dimostriamo la disuguaglianza di Sobolev logaritmica e la disuguaglianza di Poincaré, e grazie a queste disuguaglianze deduciamo le proprietà spettrali dell'operatore di Ornstein-Uhlenbeck. Inoltre studiamo l'equazione ellittica $\lambdau+L^{\Omega}u=f$ in $\Omega$, dove $L^\Omega$ è l'operatore di Ornstein-Uhlenbeck. Dimostriamo che per $\lambda>0$ e $f\in L^2(\Omega,\gamma)$ la soluzione debole $u$ appartiene allo spazio di Sobolev $W^{2,2}(\Omega,\gamma)$. Inoltre dimostriamo che $u$ soddisfa la condizione di Neumann nel senso di tracce al bordo di $\Omega$. Questo viene fatto finita approssimazione dimensionale.

On the Range of the Fourier Transform Associated with the Spherical Mean Operator

We characterize the range of some spaces of functions by the Fourier transform associated with the spherical mean operator R and we give a new description of the Schwartz spaces. Next, we prove a Paley-Wiener and a Paley-Wiener-Schawrtz theorems.