983 resultados para modeling implied volatility


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A nonparametric Bayesian extension of Factor Analysis (FA) is proposed where observed data $\mathbf{Y}$ is modeled as a linear superposition, $\mathbf{G}$, of a potentially infinite number of hidden factors, $\mathbf{X}$. The Indian Buffet Process (IBP) is used as a prior on $\mathbf{G}$ to incorporate sparsity and to allow the number of latent features to be inferred. The model's utility for modeling gene expression data is investigated using randomly generated data sets based on a known sparse connectivity matrix for E. Coli, and on three biological data sets of increasing complexity.

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Part 1 of this paper reanalyzed previously published measurements from the rotor of a low-speed, single-stage, axial-flow turbine, which highlighted the unsteady nature of the suction surface transition process. Part 2 investigates the significance of the wake jet and the unsteady frequency parameter. Supporting experiments carried out in a linear cascade with varying inlet turbulence are described, together with a simple unsteady transition model explaining the features of seen in the turbine.

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In turbomachinery, a considerable proportion of the blade surface area can be covered by transitional boundary layers. This means that accurate prediction of the profile loss and boundary layer behavior in general depends on the accurate modeling of the transitional boundary layers, especially at low Reynolds numbers. This paper presents a model for determining the intermittency resulting from the unsteady transition caused by the passage of wakes over a blade surface. The model is founded on work by Emmons (1951) who showed that the intermittency could be calculated from a knowledge of the behavior of randomly formed turbulent spots. The model is used to calculate the development of the boundary layer on the rotor of a low Reynolds number single-stage turbine. The predictions are compared with experimental results obtained using surface-mounted hot-film anemometers and hot-wire traverses of the rotor midspan boundary layer at two different rotor-stator gaps. The validity and limitations of the model are discussed.