The parallel solution of early-exercise Asian options with stochastic volatility

This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.

Numerical analysis of the modal coupling at low resonances in a Colombian Andean Bandola in C using the finite element method

The work presented in this thesis is concerned with the dynamical behavior of a CBandola's acoustical box at low resonances -- Two models consisting of two and three coupled oscillators are proposed in order to analyse the response at the first two and three resonances, respectively -- These models describe the first resonances in a bandola as a combination of the lowest modes of vibration of enclosed air, top and back plates -- Physically, the coupling between these elements is caused by the fluid-structure interaction that gives rise to coupled modes of vibration for the assembled resonance box -- In this sense, the coupling in the models is expressed in terms of the ratio of effective areas and masses of the elements which is an useful parameter to control the coupling -- Numerical models are developed for the analysis of modal coupling which is performed using the Finite Element Method -- First, it is analysed the modal behavior of separate elements: enclosed air, top plate and back plate -- This step is important to identify participating modes in the coupling -- Then, a numerical model of the resonance box is used to compute the coupled modes -- The computation of normal modes of vibration was executed in the frequency range of 0-800Hz -- Although the introduced models of coupled oscillators only predict maximum the first three resonances, they also allow to study qualitatively the coupling between the rest of the computed modes in the range -- Considering that dynamic response of a structure can be described in terms of the modal parameters, this work represents, in a good approach, the basic behavior of a CBandola, although experimental measurements are suggested as further work to verify the obtained results and get more information about some characteristics of the coupled modes, for instance, the phase of vibration of the air mode and the radiation e ciency

Performance analysis in soccer: applications of player tracking technology

The aim of this thesis was threefold, firstly, to compare current player tracking technology in a single game of soccer. Secondly, to investigate the running requirements of elite women’s soccer, in particular the use and application of athlete tracking devices. Finally, how can game style be quantified and defined. Study One compared four different match analysis systems commonly used in both research and applied settings: video-based time-motion analysis, a semi-automated multiple camera based system, and two commercially available Global Positioning System (GPS) based player tracking systems at 1 Hertz (Hz) and 5 Hz respectively. A comparison was made between each of the systems when recording the same game. Total distance covered during the match for the four systems ranged from 10 830 ± 770 m (semi-automated multiple camera based system) to 9 510 ± 740m (video-based time-motion analysis). At running speeds categorised as high-intensity running (>15 km⋅h-1), the semi-automated multiple camera based system reported the highest distance of 2 650 ± 530 m with video-based time-motion analysis reporting the least amount of distance covered with 1 610 ± 370 m. At speeds considered to be sprinting (>20 km⋅h-1), the video-based time-motion analysis reported the highest value (420 ± 170 m) and 1 Hz GPS units the lowest value (230 ± 160 m). These results demonstrate there are differences in the determination of the absolute distances, and that comparison of results between match analysis systems should be made with caution. Currently, there is no criterion measure for these match analysis methods and as such it was not possible to determine if one system was more accurate than another. Study Two provided an opportunity to apply player-tracking technology (GPS) to measure activity profiles and determine the physical demands of Australian international level women soccer players. In four international women’s soccer games, data was collected on a total of 15 Australian women soccer players using a 5 Hz GPS based athlete tracking device. Results indicated that Australian women soccer players covered 9 140 ± 1 030 m during 90 min of play. The total distance covered by Australian women was less than the 10 300 m reportedly covered by female soccer players in the Danish First Division. However, there was no apparent difference in the estimated "#$%&', as measured by multi-stage shuttle tests, between these studies. This study suggests that contextual information, including the “game style” of both the team and opposition may influence physical performance in games. Study Three examined the effect the level of the opposition had on the physical output of Australian women soccer players. In total, 58 game files from 5 Hz athlete-tracking devices from 13 international matches were collected. These files were analysed to examine relationships between physical demands, represented by total distance covered, high intensity running (HIR) and distances covered sprinting, and the level of the opposition, as represented by the Fédération Internationale de Football Association (FIFA) ranking at the time of the match. Higher-ranking opponents elicited less high-speed running and greater low-speed activity compared to playing teams of similar or lower ranking. The results are important to coaches and practitioners in the preparation of players for international competition, and showed that the differing physical demands required were dependent on the level of the opponents. The results also highlighted the need for continued research in the area of integrating contextual information in team sports and demonstrated that soccer can be described as having dynamic and interactive systems. The influence of playing strategy, tactics and subsequently the overall game style was highlighted as playing a significant part in the physical demands of the players. Study Four explored the concept of game style in field sports such as soccer. The aim of this study was to provide an applied framework with suggested metrics for use by coaches, media, practitioners and sports scientists. Based on the findings of Studies 1- 3 and a systematic review of the relevant literature, a theoretical framework was developed to better understand how a team’s game style could be quantified. Soccer games can be broken into key moments of play, and for each of these moments we categorised metrics that provide insight to success or otherwise, to help quantify and measure different methods of playing styles. This study highlights that to date, there had been no clear definition of game style in team sports and as such a novel definition of game style is proposed that can be used by coaches, sport scientists, performance analysts, media and general public. Studies 1-3 outline four common methods of measuring the physical demands in soccer: video based time motion analysis, GPS at 1 Hz and at 5 Hz and semiautomated multiple camera based systems. As there are no semi-automated multiple camera based systems available in Australia, primarily due to cost and logistical reasons, GPS is widely accepted for use in team sports in tracking player movements in training and competition environments. This research identified that, although there are some limitations, GPS player-tracking technology may be a valuable tool in assessing running demands in soccer players and subsequently contribute to our understanding of game style. The results of the research undertaken also reinforce the differences between methods used to analyse player movement patterns in field sports such as soccer and demonstrate that the results from different systems such as GPS based athlete tracking devices and semi-automated multiple camera based systems cannot be used interchangeably. Indeed, the magnitude of measurement differences between methods suggests that significant measurement error is evident. This was apparent even when the same technologies are used which measure at different sampling rates, such as GPS systems using either 1 Hz or 5 Hz frequencies of measurement. It was also recognised that other factors influence how team sport athletes behave within an interactive system. These factors included the strength of the opposition and their style of play. In turn, these can impact the physical demands of players that change from game to game, and even within games depending on these contextual features. Finally, the concept of what is game style and how it might be measured was examined. Game style was defined as "the characteristic playing pattern demonstrated by a team during games. It will be regularly repeated in specific situational contexts such that measurement of variables reflecting game style will be relatively stable. Variables of importance are player and ball movements, interaction of players, and will generally involve elements of speed, time and space (location)".

Application of the latency insertion method (LIM) to the analysis of large circuit interconnect networks

The focus of this research is to explore the applications of the finite difference formulation based on the latency insertion method (LIM) to the analysis of circuit interconnects. Special attention is devoted to addressing the issues that arise in very large networks such as on-chip signal and power distribution networks. We demonstrate that the LIM has the power and flexibility to handle various types of analysis required at different stages of circuit design. The LIM is particularly suitable for simulations of very large scale linear networks and can significantly outperform conventional circuit solvers (such as SPICE).

A space-time hybrid hourly rainfall model for derived flood frequency analysis

For derived flood frequency analysis based on hydrological modelling long continuous precipitation time series with high temporal resolution are needed. Often, the observation network with recording rainfall gauges is poor, especially regarding the limited length of the available rainfall time series. Stochastic precipitation synthesis is a good alternative either to extend or to regionalise rainfall series to provide adequate input for long-term rainfall-runoff modelling with subsequent estimation of design floods. Here, a new two step procedure for stochastic synthesis of continuous hourly space-time rainfall is proposed and tested for the extension of short observed precipitation time series. First, a single-site alternating renewal model is presented to simulate independent hourly precipitation time series for several locations. The alternating renewal model describes wet spell durations, dry spell durations and wet spell intensities using univariate frequency distributions separately for two seasons. The dependence between wet spell intensity and duration is accounted for by 2-copulas. For disaggregation of the wet spells into hourly intensities a predefined profile is used. In the second step a multi-site resampling procedure is applied on the synthetic point rainfall event series to reproduce the spatial dependence structure of rainfall. Resampling is carried out successively on all synthetic event series using simulated annealing with an objective function considering three bivariate spatial rainfall characteristics. In a case study synthetic precipitation is generated for some locations with short observation records in two mesoscale catchments of the Bode river basin located in northern Germany. The synthetic rainfall data are then applied for derived flood frequency analysis using the hydrological model HEC-HMS. The results show good performance in reproducing average and extreme rainfall characteristics as well as in reproducing observed flood frequencies. The presented model has the potential to be used for ungauged locations through regionalisation of the model parameters.

Modelagem da propagação sonora em dutos : abordagem matemática no domínio da frequência e do tempo utilizando transformada de laplace

Dissertação (mestrado)—Universidade de Brasília, Faculdade UnB Gama, Faculdade de Tecnologia, Programa de Pós-graduação em Integridade de Materiais da Engenharia, 2016.

A Retrospective-Longitudinal Examination of the Relationship between Apportionment of Seat Time in Community-College Algebra Courses and Student Academic Performance

During the past decade, there has been a dramatic increase by postsecondary institutions in providing academic programs and course offerings in a multitude of formats and venues (Biemiller, 2009; Kucsera & Zimmaro, 2010; Lang, 2009; Mangan, 2008). Strategies pertaining to reapportionment of course-delivery seat time have been a major facet of these institutional initiatives; most notably, within many open-door 2-year colleges. Often, these enrollment-management decisions are driven by the desire to increase market-share, optimize the usage of finite facility capacity, and contain costs, especially during these economically turbulent times. So, while enrollments have surged to the point where nearly one in three 18-to-24 year-old U.S. undergraduates are community college students (Pew Research Center, 2009), graduation rates, on average, still remain distressingly low (Complete College America, 2011). Among the learning-theory constructs related to seat-time reapportionment efforts is the cognitive phenomenon commonly referred to as the spacing effect, the degree to which learning is enhanced by a series of shorter, separated sessions as opposed to fewer, more massed episodes. This ex post facto study explored whether seat time in a postsecondary developmental-level algebra course is significantly related to: course success; course-enrollment persistence; and, longitudinally, the time to successfully complete a general-education-level mathematics course. Hierarchical logistic regression and discrete-time survival analysis were used to perform a multi-level, multivariable analysis of a student cohort (N = 3,284) enrolled at a large, multi-campus, urban community college. The subjects were retrospectively tracked over a 2-year longitudinal period. The study found that students in long seat-time classes tended to withdraw earlier and more often than did their peers in short seat-time classes (p < .05). Additionally, a model comprised of nine statistically significant covariates (all with p-values less than .01) was constructed. However, no longitudinal seat-time group differences were detected nor was there sufficient statistical evidence to conclude that seat time was predictive of developmental-level course success. A principal aim of this study was to demonstrate—to educational leaders, researchers, and institutional-research/business-intelligence professionals—the advantages and computational practicability of survival analysis, an underused but more powerful way to investigate changes in students over time.

Subject Ontogeny: Subject Access through Time and the Dimensionality of Classification

Classification schemes undergo revision. However, in a networked environment revisions can be used to add dimensionality to classification. This dimensionality can be used to help explain conceptual warrant, explain the shift from disciplinary to multidisciplinary knowledge production, and as a component method of domain analysis. Further, subject ontogeny might be used in cooperative networked projects like digital preservation, online access tools, and interoperability frameworks.

Some Remarks on the Approximation of Transitional Density in Stochastic Differential Equations

Aijt-Sahalia (2002) introduced a method to estimate transitional probability densities of di®usion processes by means of Hermite expansions with coe±cients determined by means of Taylor series. This note describes a numerical procedure to ¯nd these coe±cients based on the calculation of moments. One advantage of this procedure is that it can be used e®ectively when the mathematical operations required to ¯nd closed-form expressions for these coe±cients are otherwise infeasible.

A numerical method to quantify the axial shortening of vertical elements in concrete buildings

Differential axial shortening, distortion and deformation in high rise buildings is a serious concern. They are caused by three time dependent modes of volume change; “shrinkage”, “creep” and “elastic shortening” that takes place in every concrete element during and after construction. Vertical concrete components in a high rise building are sized and designed based on their strength demand to carry gravity and lateral loads. Therefore, columns and walls are sized, shaped and reinforced differently with varying concrete grades and volume to surface area ratios. These structural components may be subjected to the detrimental effects of differential axial shortening that escalates with increasing the height of buildings. This can have an adverse impact on other structural and non-structural elements. Limited procedures are available to quantify axial shortening, and the results obtained from them differ because each procedure is based on various assumptions and limited to few parameters. All these prompt to a need to develop an accurate numerical procedure to quantify the axial shortening of concrete buildings taking into account the important time varying functions of (i) construction sequence (ii) Young’s Modulus and (iii) creep and shrinkage models associated with reinforced concrete. General assumptions are refined to minimize variability of creep and shrinkage parameters to improve accuracy of the results. Finite element techniques are used in the procedure that employs time history analysis along with compression only elements to simulate staged construction behaviour. This paper presents such a procedure and illustrates it through an example. Keywords: Differential Axial Shortening, Concrete Buildings, Creep and Shrinkage, Construction Sequence, Finite Element Method.

Damage assessment of 3D reinforced concrete frame under external explosion loading

Multi-storey buildings are highly vulnerable to terrorist bombing attacks in various parts of the world. Large numbers of casualties and extensive property damage result not only from blast overpressure, but also from the failing of structural components. Understanding the blast response and damage consequences of reinforced concrete (RC) building frames is therefore important when assessing multi-storey buildings designed to resist normal gravity loads. However, limited research has been conducted to identify the blast response and damage of RC frames in order to assess the vulnerability of entire buildings. This paper discusses the blast response and evaluation of damage of three-dimension (3D) RC rigid frame under potential blast loads scenarios. The explicit finite element modelling and analysis under time history blast pressure loads were carried out by LS DYNA code. Complete 3D RC frame was developed with relevant reinforcement details and material models with strain rate effect. Idealised triangular blast pressures calculated from standard manuals are applied on the front face of the model in the present investigation. The analysis results show the blast response, as displacements and material yielding of the structural elements in the RC frame. The level of damage is evaluated and classified according to the selected load case scenarios. Residual load carrying capacities are evaluated and level of damage was presented by the defined damage indices. This information is necessary to determine the vulnerability of existing multi-storey buildings with RC frames and to identify the level of damage under typical external explosion environments. It also provides basic guidance to the design of new buildings to resist blast loads.

Directional coupler using gap plasmon waveguides

Here, we demonstrate that efficient nano-optical couplers can be developed using closely spaced gap plasmon waveguides in the form of two parallel nano-sized rectangular slots in a thin metal film or membrane. Using the rigorous numerical finite-difference and finite element algorithms, we investigate the physical mechanisms of coupling between two neighboring gap plasmon waveguides and determine typical coupling lengths for different structural parameters of the coupler. Special attention is focused onto the analysis of the effect of such major coupler parameters, such as thickness of the metal film/membrane, slot width, and separation between the plasmonic waveguides. Detailed physical interpretation of the obtained unusual dependencies of the coupling length on slot width and film thickness is presented based upon the energy consideration. The obtained results will be important for the optimization and experimental development of plasmonic sub-wavelength compact directional couplers and other nano-optical devices for integrated nanophotonics.

Econometric analysis of stuctural systems with permanent and transitory shocks

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work of Blanchard and Quah [1989. The dynamic effects of aggregate demand and supply disturbances. The American Economic Review 79, 655–673], and shows that structural equations with known permanent shocks cannot contain error correction terms, thereby freeing up the latter to be used as instruments in estimating their parameters. The approach is illustrated by a re-examination of the identification schemes used by Wickens and Motto [2001. Estimating shocks and impulse response functions. Journal of Applied Econometrics 16, 371–387], Shapiro and Watson [1988. Sources of business cycle fluctuations. NBER Macroeconomics Annual 3, 111–148], King et al. [1991. Stochastic trends and economic fluctuations. American Economic Review 81, 819–840], Gali [1992. How well does the ISLM model fit postwar US data? Quarterly Journal of Economics 107, 709–735; 1999. Technology, employment, and the business cycle: Do technology shocks explain aggregate fluctuations? American Economic Review 89, 249–271] and Fisher [2006. The dynamic effects of neutral and investment-specific technology shocks. Journal of Political Economy 114, 413–451].

Evaluating Specification Tests for Markov-Switching Time-Series Models

We evaluate the performance of several specification tests for Markov regime-switching time-series models. We consider the Lagrange multiplier (LM) and dynamic specification tests of Hamilton (1996) and Ljung–Box tests based on both the generalized residual and a standard-normal residual constructed using the Rosenblatt transformation. The size and power of the tests are studied using Monte Carlo experiments. We find that the LM tests have the best size and power properties. The Ljung–Box tests exhibit slight size distortions, though tests based on the Rosenblatt transformation perform better than the generalized residual-based tests. The tests exhibit impressive power to detect both autocorrelation and autoregressive conditional heteroscedasticity (ARCH). The tests are illustrated with a Markov-switching generalized ARCH (GARCH) model fitted to the US dollar–British pound exchange rate, with the finding that both autocorrelation and GARCH effects are needed to adequately fit the data.

Improvement of stability and load sharing in an autonomous microgrid using supplementary droop control loop

This paper investigates the problem of appropriate load sharing in an autonomous microgrid. High gain angle droop control ensures proper load sharing, especially under weak system conditions. However it has a negative impact on overall stability. Frequency domain modeling, eigenvalue analysis and time domain simulations are used to demonstrate this conflict. A supplementary loop is proposed around a conventional droop control of each DG converter to stabilize the system while using high angle droop gains. Control loops are based on local power measurement and modulation of the d-axis voltage reference of each converter. Coordinated design of supplementary control loops for each DG is formulated as a parameter optimization problem and solved using an evolutionary technique. The sup-plementary droop control loop is shown to stabilize the system for a range of operating conditions while ensuring satisfactory load sharing.