Value at Risk in measuring market risk: Historical simulation

In this study the theoretical part was created to make comparison between different Value at Risk models. Based on that comparison one model was chosen to the empirical part which concentrated to find out whether the model is accurate to measure market risk. The purpose of this study was to test if Volatility-weighted Historical Simulation is accurate in measuring market risk and what improvements does it bring to market risk measurement compared to traditional Historical Simulation. Volatility-weighted method by Hull and White (1998) was chosen In order to improve the traditional methods capability to measure market risk. In this study we found out that result based on Historical Simulation are dependent on chosen time period, confidence level and how samples are weighted. The findings of this study are that we cannot say that the chosen method is fully reliable in measuring market risk because back testing results are changing during the time period of this study.

Fluid dynamics simulation of right ventricular outflow tract oversizing.

OBJECTIVES: Repair of the right ventricular outflow tract (RVOT) in paediatric cardiac surgery remains challenging due to the high reoperation rate. Intimal hyperplasia and consequent arteriosclerosis is one of the most important limitation factors for graft durability. Since local shear stress and pressure are predictive elements for intimal hyperplasia and wall degeneration, we sought to determine in an oversized 12-mm RVOT model, with computed fluid dynamics simulation, the local haemodynamical factors that may explain intimal hyperplasia. This was done with the aim of identifying the optimal degree of oversizing for a 12-mm native RVOT. METHODS: Twenty domestic pigs, with a weight of 24.6 ± 0.89 kg and a native RVOT diameter of 12 ± 1.7 mm, had valve conduits of 12, 16, 18 and 20 mm implanted. Pressure and flow were measured at 75, 100 and 125% of normal flow at RVOT at the pulmonary artery, pulmonary artery bifurcation and at the left and right pulmonary arteries. Three-dimensional computed fluid dynamics (CFD) simulation in all four geometries in all flow modalities was performed. Local shear stress and pressure conditions were investigated. RESULTS: Corresponding to 75, 100 and 125% of steady-state flow, three inlet velocity profiles were obtained, 0.2, 0.29 and 0.36 m/s, respectively. At inflow velocity profiles, low shear stress areas, ranged from 0 to 2 Pa, combined with high-pressure areas ranging from 11.5 to 12.1 mmHg that were found at distal anastomosis, at bifurcation and at the ostia of the left and right pulmonary arteries in all geometries. CONCLUSIONS: In all three oversized geometries, the local reparation of shear stress and pressure in the 16-mm model showed a similar local profile as in the native 12 mm RVOT. According to these findings, we suggest oversizing the natural 12-mm RVOT by not more than 4 mm. The elements responsible for wall degeneration and intimal hyperplasia remain very similar to the conditions present in native RVOT.

Understanding Optical Trapping Phenomena: a Simulation for Undergraduates

Optical trapping is an attractive and multidisciplinary topic that has become the center of attention to a large number of researchers. Moreover, it is a suitable subject for advanced students that requires a knowledge of a wide range of topics. As a result, it has been incorporated into some syllabuses of both undergraduate and graduate programs. In this paper, basic concepts in laser trapping theory are reviewed. To provide a better understanding of the underlying concepts for students, a Java application for simulating the behavior of a dielectric particle trapped in a highly focused beam has been developed. The program illustrates a wide range of theoretical results and features, such as the calculation of the force exerted by a beam in the Mie and Rayleigh regimes or the calibration of the trap stiffness. Some examples that are ready to be used in the classroom or in the computer lab are also supplied.

Flocking behaviour: Agent-based simulation and hierarchical leadership.

We have studied how leaders emerge in a group as a consequence of interactions among its members. We propose that leaders can emerge as a consequence of a self-organized process based on local rules of dyadic interactions among individuals. Flocks are an example of self-organized behaviour in a group and properties similar to those observed in flocks might also explain some of the dynamics and organization of human groups. We developed an agent-based model that generated flocks in a virtual world and implemented it in a multi-agent simulation computer program that computed indices at each time step of the simulation to quantify the degree to which a group moved in a coordinated way (index of flocking behaviour) and the degree to which specific individuals led the group (index of hierarchical leadership). We ran several series of simulations in order to test our model and determine how these indices behaved under specific agent and world conditions. We identified the agent, world property, and model parameters that made stable, compact flocks emerge, and explored possible environmental properties that predicted the probability of becoming a leader.

Chest CT at a dose below 0.3 mSv : impact of iterative reconstruction on image quality and lung analysis

Le nombre d'examens tomodensitométriques (Computed Tomography, CT) effectués chaque année étant en constante augmentation, différentes techniques d'optimisation, dont les algorithmes de reconstruction itérative permettant de réduire le bruit tout en maintenant la résolution spatiale, ont étés développées afin de réduire les doses délivrées. Le but de cette étude était d'évaluer l'impact des algorithmes de reconstruction itérative sur la qualité image à des doses effectives inférieures à 0.3 mSv, comparables à celle d'une radiographie thoracique. Vingt CT thoraciques effectués à cette dose effective ont été reconstruits en variant trois paramètres: l'algorithme de reconstruction, rétroprojection filtrée versus reconstruction itérative iDose4; la matrice, 5122 versus 7682; et le filtre de résolution en densité (mou) versus spatiale (dur). Ainsi, 8 séries ont été reconstruites pour chacun des 20 CT thoraciques. La qualité d'image de ces 8 séries a d'abord été évaluée qualitativement par deux radiologues expérimentés en aveugle en se basant sur la netteté des parois bronchiques et de l'interface entre le parenchyme pulmonaire et les vaisseaux, puis quantitativement en utilisant une formule de merit, fréquemment utilisée dans le développement de nouveaux algorithmes et filtres de reconstruction. La performance diagnostique de la meilleure série acquise à une dose effective inférieure à 0.3 mSv a été comparée à celle d'un CT de référence effectué à doses standards en relevant les anomalies du parenchyme pulmonaire. Les résultats montrent que la meilleure qualité d'image, tant qualitativement que quantitativement a été obtenue en utilisant iDose4, la matrice 5122 et le filtre mou, avec une concordance parfaite entre les classements quantitatif et qualitatif des 8 séries. D'autre part, la détection des nodules pulmonaires de plus de 4mm étaient similaire sur la meilleure série acquise à une dose effective inférieure à 0.3 mSv et le CT de référence. En conclusion, les CT thoraciques effectués à une dose effective inférieure à 0.3 mSv reconstruits avec iDose4, la matrice 5122 et le filtre mou peuvent être utilisés avec confiance pour diagnostiquer les nodules pulmonaires de plus de 4mm.

Molecular dynamics simulation of the spherical electrical double layer of a soft nanoparticle. Effect of the surface and counterion valence

Molecular dynamics simulations were performed to study the ion and water distribution around a spherical charged nanoparticle. A soft nanoparticle model was designed using a set of hydrophobic interaction sites distributed in six concentric spherical layers. In order to simulate the effect of charged functionalyzed groups on the nanoparticle surface, a set of charged sites were distributed in the outer layer. Four charged nanoparticle models, from a surface charge value of −0.035 Cm−2 to − 0.28 Cm−2, were studied in NaCl and CaCl2 salt solutions at 1 M and 0.1 M concentrations to evaluate the effect of the surface charge, counterion valence, and concentration of added salt. We obtain that Na + and Ca2 + ions enter inside the soft nanoparticle. Monovalent ions are more accumulated inside the nanoparticle surface, whereas divalent ions are more accumulated just in the plane of the nanoparticle surface sites. The increasing of the the salt concentration has little effect on the internalization of counterions, but significantly reduces the number of water molecules that enter inside the nanoparticle. The manner of distributing the surface charge in the nanoparticle (uniformly over all surface sites or discretely over a limited set of randomly selected sites) considerably affects the distribution of counterions in the proximities of the nanoparticle surface.

Effect of the surface charge discretization on electric double layers. A Monte Carlo simulation study

The structure of the electric double layer in contact with discrete and continuously charged planar surfaces is studied within the framework of the primitive model through Monte Carlo simulations. Three different discretization models are considered together with the case of uniform distribution. The effect of discreteness is analyzed in terms of charge density profiles. For point surface groups,a complete equivalence with the situation of uniformly distributed charge is found if profiles are exclusively analyzed as a function of the distance to the charged surface. However, some differences are observed moving parallel to the surface. Significant discrepancies with approaches that do not account for discreteness are reported if charge sites of finite size placed on the surface are considered.