Lecture notes pdf

Lecture notes in PDF

Exercise sheet 3

Exercises and solutions in LaTex

Exercise sheet 3 pdf

Exercises and solutions in PDF

Lecture notes

Lecture notes in LaTex

Distribución hiperbólica generalizada: una aplicación en la selección de portafolios y en la cuantificación de medidas de riesgo de mercado

En este trabajo se implementa una metodología para incluir momentos de orden superior en la selección de portafolios, haciendo uso de la Distribución Hiperbólica Generalizada, para posteriormente hacer un análisis comparativo frente al modelo de Markowitz.

Measuring and testing for the systemically important financial institutions

This paper analyzes the measure of systemic importance ∆CoV aR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. In addition, we develop a series of testing procedures, based on ∆CoV aR, to identify and rank the systemically important institutions. We stress the importance of statistical testing in interpreting the measure of systemic importance. An empirical application illustrates the testing procedures, using equity data for three European banks.

New fast SCFT algorithm applied to binary diblock copolymer/homopolymer blends

We present an efficient strategy for mapping out the classical phase behavior of block copolymer systems using self-consistent field theory (SCFT). With our new algorithm, the complete solution of a classical block copolymer phase can be evaluated typically in a fraction of a second on a single-processor computer, even for highly segregated melts. This is accomplished by implementing the standard unit-cell approximation (UCA) for the cylindrical and spherical phases, and solving the resulting equations using a Bessel function expansion. Here the method is used to investigate blends of AB diblock copolymer and A homopolymer, concentrating on the situation where the two molecules are of similar size.

Padé approximants for the acoustical characteristics of rigid frame porous media

In this paper it is shown that a number of theoretical models of the acoustical properties of rigid frame porous media, especially those involving ratios of Bessel functions of complex argument, can be accurately approximated and greatly simplified by the use of Padé approximation techniques. In the case of the model of Attenborough [J. Acoust. Soc. Am. 81, 93–102 (1987)] rational approximations are produced for the characteristic impedance, propagation constant, dynamic compressibility, and dynamic density, as a function of frequency and the material parameters. The model proposed by Stinson and Champoux

Thermal wave scattering by two overlapping and parallel cylinders

In this paper an analytical solution of the temperature of an opaque material containing two overlapping and parallel subsurface cylinders, illuminated by a modulated light beam, is presented. The method is based on the expansion of plane and cylindrical thermal waves in series of Bessel and Hankel functions. This model is addressed to the study of heat propagation in composite materials with interconnection between inclusions, as is the case of inverse opals and fiber reinforced composites. Measurements on calibrated samples using lock-in infrared thermography confirm the validity of the model.

The beta-Birnbaum-Saunders distribution An improved distribution for fatigue life modeling

Birnbaum and Saunders (1969a) introduced a probability distribution which is commonly used in reliability studies For the first time based on this distribution the so-called beta-Birnbaum-Saunders distribution is proposed for fatigue life modeling Various properties of the new model including expansions for the moments moment generating function mean deviations density function of the order statistics and their moments are derived We discuss maximum likelihood estimation of the model s parameters The superiority of the new model is illustrated by means of three failure real data sets (C) 2010 Elsevier B V All rights reserved

Modos em vigas com secção transversal de variação linear

O objetivo principal deste trabalho é a obtenção dos modos e as freqüências naturais de vigas de variação linear e em forma de cunha, com condições de contorno clássicas e não-clássicas, descritas pelo modelo estrutural de Euler-Bernoulli. A forma dos modos foi determinado com o uso das funções cilíndricas. No caso forçado se considera uma força harmônica e se resolve o problema pelo método espectral, utuilizando o software simbólico Maple V5. Realiza-se uma análise comparativa dos resultados obtidos com os resultados existentes na literatura para vigas uniformes.

Laguerre polynomials as Jensen polynomials of Laguerre-Polya entire functions

We prove that the only Jensen polynomials associated with an entire function in the Laguerre-Polya class that are orthogonal are the Laguerre polynomials. (C) 2009 Elsevier B.V. All rights reserved.

A new procedure to derive transmission-line parameters: Applications and restrictions

The objective of this paper is to show an alternative methodology to calculate transmission-line parameters per unit length. With this methodology, the transmission-line parameters can be obtained starting from impedances measured in one terminal of the line. First, the article shows the classical methodology to calculate frequency-dependent transmission-line parameters by using Carson's and Pollaczeck's equations for representing the ground effect and Bessel's functions to represent the skin effect. After that, a new procedure is shown to calculate frequency-dependent transmission-line parameters directly from currents and voltages of an existing line. Then, this procedure is applied in a two-phase and a three-phase transmission line whose parameters have been previously calculated by using the classical methodology. Finally, the results obtained by using the new procedure and by using the classical methodology are compared. The article shows simulations results for a typical frequency spectrum of switching transients (10 Hz to 10 kHz).

Landau and Kolmogoroff type polynomial inequalities II

Let 0 < j < m ≤ n. Kolmogoroff type inequalities of the form ∥f(j)∥2 ≤ A∥f(m)∥ 2 + B∥f∥2 which hold for algebraic polynomials of degree n are established. Here the norm is defined by ∫ f2(x)dμ(x), where dμ(x) is any distribution associated with the Jacobi, Laguerre or Bessel orthogonal polynomials. In particular we characterize completely the positive constants A and B, for which the Landau weighted polynomial inequalities ∥f′∥ 2 ≤ A∥f″∥2 + B∥f∥ 2 hold. © Dynamic Publishers, Inc.

A new procedure to derive transmission line parameters: Theoretical considerations

The objective of this paper is to show an alternative methodology to calculate transmission line parameters per unit length. With this methodology the transmission line parameters can be obtained starting from the phase currents and voltages in one terminal of the line. First, the article shows the classical methodology to calculate frequency dependent transmission line parameters by using Carson's and Pollaczeck's equations for representing the ground effect and Bessel's functions to represent the skin effect. After that, it is shown a new procedure to calculate frequency dependent transmission line parameters directly from currents and voltages of the line that is already built. Then, this procedure is applied in a two-phase transmission line whose parameters have been previously calculated by using the classical methodology. Finally, the results obtained by using the new procedure and by using the classical methodology are compared. ©2005 IEEE.