Evaluating Option Pricing Models

This study evaluates three different time units in option pricing: trading time, calendar time and continuous time using discrete approximations (CTDA). The CTDA-time model partitions the trading day into 30-minute intervals, where each interval is given a weight corresponding to the historical volatility in the respective interval. Furthermore, the non-trading volatility, both overnight and weekend volatility, is included in the first interval of the trading day in the CTDA model. The three models are tested on market prices. The results indicate that the trading-time model gives the best fit to market prices in line with the results of previous studies, but contrary to expectations under non-arbitrage option pricing. Under non-arbitrage pricing, the option premium should reflect the cost of hedging the expected volatility during the option’s remaining life. The study concludes that the historical patterns in volatility are not fully accounted for by the market, rather the market prices options closer to trading time.

Stochastic models of IEEE 802.11e wireless net works with multimedia applications

We provide a survey of some of our recent results ([9], [13], [4], [6], [7]) on the analytical performance modeling of IEEE 802.11 wireless local area networks (WLANs). We first present extensions of the decoupling approach of Bianchi ([1]) to the saturation analysis of IEEE 802.11e networks with multiple traffic classes. We have found that even when analysing WLANs with unsaturated nodes the following state dependent service model works well: when a certain set of nodes is nonempty, their channel attempt behaviour is obtained from the corresponding fixed point analysis of the saturated system. We will present our experiences in using this approximation to model multimedia traffic over an IEEE 802.11e network using the enhanced DCF channel access (EDCA) mechanism. We have found that we can model TCP controlled file transfers, VoIP packet telephony, and streaming video in the IEEE802.11e setting by this simple approximation.

Construction and use of linear regression models for processor performance analysis

Processor architects have a challenging task of evaluating a large design space consisting of several interacting parameters and optimizations. In order to assist architects in making crucial design decisions, we build linear regression models that relate Processor performance to micro-architecture parameters, using simulation based experiments. We obtain good approximate models using an iterative process in which Akaike's information criteria is used to extract a good linear model from a small set of simulations, and limited further simulation is guided by the model using D-optimal experimental designs. The iterative process is repeated until desired error bounds are achieved. We used this procedure to establish the relationship of the CPI performance response to 26 key micro-architectural parameters using a detailed cycle-by-cycle superscalar processor simulator The resulting models provide a significance ordering on all micro-architectural parameters and their interactions, and explain the performance variations of micro-architectural techniques.

On the momentum balance in linear-combination models for the transition zone

The momentum balance of the linear-combination integral model for the transition zone is investigated for constant pressure flows. The imbalance is found to be small enough to be negligible for all practical purposes. [S0889-504X(00)00703-0].

Prediction of inplane damping from deterministic and stochastic models

This paper reviews computational reliability, computer algebra, stochastic stability and rotating frame turbulence (RFT) in the context of predicting the blade inplane mode stability, a mode which is at best weakly damped. Computational reliability can be built into routine Floquet analysis involving trim analysis and eigenanalysis, and a highly portable special purpose processor restricted to rotorcraft dynamics analysis is found to be more economical than a multipurpose processor. While the RFT effects are dominant in turbulence modeling, the finding that turbulence stabilizes the inplane mode is based on the assumption that turbulence is white noise.

Studies directed towards the synthesis of schisanartane and related complex nortriterpenoids: construction of models of the peripheral ABC and FGH segments of rubrifloradilactone C

A conceptually unifying and flexible approach to the ABC and FGH segments of the nortriterpenoid rubrifloradilactone C, each embodying a furo[3,2-b]furanone moiety, from the appropriate Morita-Baylis-Hillman adducts is delineated. (C) 2010 Elsevier Ltd. All rights reserved.

Reliability models for existing structures based on dynamic state estimation and data based asymptotic extreme value analysis

The problem of time variant reliability analysis of existing structures subjected to stationary random dynamic excitations is considered. The study assumes that samples of dynamic response of the structure, under the action of external excitations, have been measured at a set of sparse points on the structure. The utilization of these measurements m in updating reliability models, postulated prior to making any measurements, is considered. This is achieved by using dynamic state estimation methods which combine results from Markov process theory and Bayes' theorem. The uncertainties present in measurements as well as in the postulated model for the structural behaviour are accounted for. The samples of external excitations are taken to emanate from known stochastic models and allowance is made for ability (or lack of it) to measure the applied excitations. The future reliability of the structure is modeled using expected structural response conditioned on all the measurements made. This expected response is shown to have a time varying mean and a random component that can be treated as being weakly stationary. For linear systems, an approximate analytical solution for the problem of reliability model updating is obtained by combining theories of discrete Kalman filter and level crossing statistics. For the case of nonlinear systems, the problem is tackled by combining particle filtering strategies with data based extreme value analysis. In all these studies, the governing stochastic differential equations are discretized using the strong forms of Ito-Taylor's discretization schemes. The possibility of using conditional simulation strategies, when applied external actions are measured, is also considered. The proposed procedures are exemplifiedmby considering the reliability analysis of a few low-dimensional dynamical systems based on synthetically generated measurement data. The performance of the procedures developed is also assessed based on a limited amount of pertinent Monte Carlo simulations. (C) 2010 Elsevier Ltd. All rights reserved.

Development of mass balance models for lakes

Yhteenveto: Järvien ainetasemallien kehittäminen.

Snow cover models in operational watershed forecasting

Yhteenveto: Lumimallit vesistöjen ennustemalleissa

Comparison of ANN models for predicting water quality in distribution systems

Deterministic models have been widely used to predict water quality in distribution systems, but their calibration requires extensive and accurate data sets for numerous parameters. In this study, alternative data-driven modeling approaches based on artificial neural networks (ANNs) were used to predict temporal variations of two important characteristics of water quality chlorine residual and biomass concentrations. The authors considered three types of ANN algorithms. Of these, the Levenberg-Marquardt algorithm provided the best results in predicting residual chlorine and biomass with error-free and ``noisy'' data. The ANN models developed here can generate water quality scenarios of piped systems in real time to help utilities determine weak points of low chlorine residual and high biomass concentration and select optimum remedial strategies.

Numerically Exact Study of Polarizabilities and Hyperpolarizabilities of Correlated Conjugated Organic Models

Polarizabilities and Hyperpolarizabilities of conjugated organic chains are calculated using correlated model Hamiltonians. While correlations reduce the Polarizabilities and extend the range of linear response, the Hyperpolarizabilities essentially are unaffected by the same. This explains the apparently large Hyperpolarizabilities of conjugated electronic systems.

Ordering near the percolation threshold in models of two-dimensional interacting bosons with quenched dilution

Randomly diluted quantum boson and spin models in two dimensions combine the physics of classical percolation with the well-known dimensionality dependence of ordering in quantum lattice models. This combination is rather subtle for models that order in two dimensions but have no true order in one dimension, as the percolation cluster near threshold is a fractal of dimension between 1 and 2: two experimentally relevant examples are the O(2) quantum rotor and the Heisenberg antiferromagnet. We study two analytic descriptions of the O(2) quantum rotor near the percolation threshold. First a spin-wave expansion is shown to predict long-ranged order, but there are statistically rare points on the cluster that violate the standard assumptions of spin-wave theory. A real-space renormalization group (RSRG) approach is then used to understand how these rare points modify ordering of the O(2) rotor. A new class of fixed points of the RSRG equations for disordered one-dimensional bosons is identified and shown to support the existence of long-range order on the percolation backbone in two dimensions. These results are relevant to experiments on bosons in optical lattices and superconducting arrays, and also (qualitatively) for the diluted Heisenberg antiferromagnet La-2(Zn,Mg)(x)Cu1-xO4.