Hybrid stochastic simulations of intracellular reaction-diffusion systems.

With the observation that stochasticity is important in biological systems, chemical kinetics have begun to receive wider interest. While the use of Monte Carlo discrete event simulations most accurately capture the variability of molecular species, they become computationally costly for complex reaction-diffusion systems with large populations of molecules. On the other hand, continuous time models are computationally efficient but they fail to capture any variability in the molecular species. In this study a hybrid stochastic approach is introduced for simulating reaction-diffusion systems. We developed an adaptive partitioning strategy in which processes with high frequency are simulated with deterministic rate-based equations, and those with low frequency using the exact stochastic algorithm of Gillespie. Therefore the stochastic behavior of cellular pathways is preserved while being able to apply it to large populations of molecules. We describe our method and demonstrate its accuracy and efficiency compared with the Gillespie algorithm for two different systems. First, a model of intracellular viral kinetics with two steady states and second, a compartmental model of the postsynaptic spine head for studying the dynamics of Ca+2 and NMDA receptors.

The dynamics of commodity prices

In this paper we study the stochastic behavior of the prices and volatilities of a sample of six of the most important commodity markets and we compare these properties with those of the equity market. we observe a substantial degree of heterogeneity in the behavior of the series. Our findings show that it is inappropriate to treat different kinds of commodities as a single asset class as is frequently the case in the academic literature and in the industry. We demonstrate that commodities can be a useful diversifier of equity volatility as well as equity returns. Options pricing and hedging applications exemplify the economic impacts of the differences across commodities and between model specifications.

Abordagem probabilística em um modelo de programação linear aplicado ao planejamento mineiro

Neste trabalho é discutido o impacto causado pelos parâmetros de processo com comportamento estocástico em um modelo de otimização, aplicado ao planejamento mineiro. Com base em um estudo de caso real, construiu-se um modelo matemático representando o processo produtivo associado à mineração, beneficiamento e comercialização de carvão mineral. Este modelo foi otimizado com a técnica de programação linear, sendo a solução ótima perturbada pelo comportamento estocástico de um dos principais parâmetros envolvidos no processo produtivo. A análise dos resultados permitiu avaliar o risco associado à decisão ótima, sendo com isto proposta uma metodologia para avaliação do risco operacional.

Semiparametric estimation and inference using doubly robust moment conditions

We study semiparametric two-step estimators which have the same structure as parametric doubly robust estimators in their second step. The key difference is that we do not impose any parametric restriction on the nuisance functions that are estimated in a first stage, but retain a fully nonparametric model instead. We call these estimators semiparametric doubly robust estimators (SDREs), and show that they possess superior theoretical and practical properties compared to generic semiparametric two-step estimators. In particular, our estimators have substantially smaller first-order bias, allow for a wider range of nonparametric first-stage estimates, rate-optimal choices of smoothing parameters and data-driven estimates thereof, and their stochastic behavior can be well-approximated by classical first-order asymptotics. SDREs exist for a wide range of parameters of interest, particularly in semiparametric missing data and causal inference models. We illustrate our method with a simulation exercise.

Um estudo na teoria do movimento brownianno com viscosidade variável

In this work we investigate the stochastic behavior of a large class of systems with variable damping which are described by a time-dependent Lagrangian. Our stochastic approach is based on the Langevin treatment describing the motion of a classical Brownian particle of mass m. Two situations of physical interest are considered. In the first one, we discuss in detail an application of the standard Langevin treatment (white noise) for the variable damping system. In the second one, a more general viewpoint is adopted by assuming a given expression to the so-called collored noise. For both cases, the basic diffententiaql equations are analytically solved and al the quantities physically relevant are explicitly determined. The results depend on an arbitrary q parameter measuring how the behavior of the system departs from the standard brownian particle with constant viscosity. Several types of sthocastic behavior (superdiffusive and subdiffusive) are obteinded when the free pamameter varies continuosly. However, all the results of the conventional Langevin approach with constant damping are recovered in the limit q = 1

Spatial electric load forecasting using an evolutionary heuristic

A method for spatial electric load forecasting using elements from evolutionary algorithms is presented. The method uses concepts from knowledge extraction algorithms and linguistic rules' representation to characterize the preferences for land use into a spatial database. The future land use preferences in undeveloped zones in the electrical utility service area are determined using an evolutionary heuristic, which considers a stochastic behavior by crossing over similar rules. The method considers development of new zones and also redevelopment of existing ones. The results are presented in future preference maps. The tests in a real system from a midsized city show a high rate of success when results are compared with information gathered from the utility planning department. The most important features of this method are the need for few data and the simplicity of the algorithm, allowing for future scalability.

Alocação otimizada de bancos de capacitores em sistemas de distribuição de energia elétrica através de metaheurísticas multiobjetivo

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Diffusive random laser modes under a spatiotemporal scope

At present the prediction and characterization of the emission output of a diffusive random laser remains a challenge, despite the variety of investigated materials and theoretical interpretations given up to now. Here, a new mode selection method, based on spatial filtering and ultrafast detection, which allows to separate individual lasing modes and follow their temporal evolution is presented. In particular, the work explores the random laser behavior of a ground powder of an organic-inorganic hybrid compound based on Rhodamine B incorporated into a di-ureasil host. The experimental approach gives direct access to the mode structure and dynamics, shows clear modal relaxation oscillations, and illustrates the lasing modes stochastic behavior of this diffusive scattering system. The effect of the excitation energy on its modal density is also investigated. Finally, imaging measurements reveal the dominant role of diffusion over amplification processes in this kind of unconventional lasers. (C) 2015 Optical Society of America

Secure gossiping techniques and components

Gossip protocols have proved to be a viable solution to set-up and manage largescale P2P services or applications in a fully decentralised scenario. The gossip or epidemic communication scheme is heavily based on stochastic behaviors and it is the fundamental idea behind many large-scale P2P protocols. It provides many remarkable features, such as scalability, robustness to failures, emergent load balancing capabilities, fast spreading, and redundancy of information. In some sense, these services or protocols mimic natural system behaviors in order to achieve their goals. The key idea of this work is that the remarkable properties of gossip hold when all the participants follow the rules dictated by the actual protocols. If one or more malicious nodes join the network and start cheating according to some strategy, the result can be catastrophic. In order to study how serious the threat posed by malicious nodes can be and what can be done to prevent attackers from cheating, we focused on a general attack model aimed to defeat a key service in gossip overlay networks (the Peer Sampling Service [JGKvS04]). We also focused on the problem of protecting against forged information exchanged in gossip services. We propose a solution technique for each problem; both techniques are general enough to be applied to distinct service implementations. As gossip protocols, our solutions are based on stochastic behavior and are fully decentralized. In addition, each technique’s behaviour is abstracted by a general primitive function extending the basic gossip scheme; this approach allows the adoptions of our solutions with minimal changes in different scenarios. We provide an extensive experimental evaluation to support the effectiveness of our techniques. Basically, these techniques aim to be building blocks or P2P architecture guidelines in building more resilient and more secure P2P services.

Contribución al estudio del criptoanálisis y diseño de los criptosistemas caóticos

The extraordinary increase of new information technologies, the development of Internet, the electronic commerce, the e-government, mobile telephony and future cloud computing and storage, have provided great benefits in all areas of society. Besides these, there are new challenges for the protection of information, such as the loss of confidentiality and integrity of electronic documents. Cryptography plays a key role by providing the necessary tools to ensure the safety of these new media. It is imperative to intensify the research in this area, to meet the growing demand for new secure cryptographic techniques. The theory of chaotic nonlinear dynamical systems and the theory of cryptography give rise to the chaotic cryptography, which is the field of study of this thesis. The link between cryptography and chaotic systems is still subject of intense study. The combination of apparently stochastic behavior, the properties of sensitivity to initial conditions and parameters, ergodicity, mixing, and the fact that periodic points are dense, suggests that chaotic orbits resemble random sequences. This fact, and the ability to synchronize multiple chaotic systems, initially described by Pecora and Carroll, has generated an avalanche of research papers that relate cryptography and chaos. The chaotic cryptography addresses two fundamental design paradigms. In the first paradigm, chaotic cryptosystems are designed using continuous time, mainly based on chaotic synchronization techniques; they are implemented with analog circuits or by computer simulation. In the second paradigm, chaotic cryptosystems are constructed using discrete time and generally do not depend on chaos synchronization techniques. The contributions in this thesis involve three aspects about chaotic cryptography. The first one is a theoretical analysis of the geometric properties of some of the most employed chaotic attractors for the design of chaotic cryptosystems. The second one is the cryptanalysis of continuos chaotic cryptosystems and finally concludes with three new designs of cryptographically secure chaotic pseudorandom generators. The main accomplishments contained in this thesis are: v Development of a method for determining the parameters of some double scroll chaotic systems, including Lorenz system and Chua’s circuit. First, some geometrical characteristics of chaotic system have been used to reduce the search space of parameters. Next, a scheme based on the synchronization of chaotic systems was built. The geometric properties have been employed as matching criterion, to determine the values of the parameters with the desired accuracy. The method is not affected by a moderate amount of noise in the waveform. The proposed method has been applied to find security flaws in the continuous chaotic encryption systems. Based on previous results, the chaotic ciphers proposed by Wang and Bu and those proposed by Xu and Li are cryptanalyzed. We propose some solutions to improve the cryptosystems, although very limited because these systems are not suitable for use in cryptography. Development of a method for determining the parameters of the Lorenz system, when it is used in the design of two-channel cryptosystem. The method uses the geometric properties of the Lorenz system. The search space of parameters has been reduced. Next, the parameters have been accurately determined from the ciphertext. The method has been applied to cryptanalysis of an encryption scheme proposed by Jiang. In 2005, Gunay et al. proposed a chaotic encryption system based on a cellular neural network implementation of Chua’s circuit. This scheme has been cryptanalyzed. Some gaps in security design have been identified. Based on the theoretical results of digital chaotic systems and cryptanalysis of several chaotic ciphers recently proposed, a family of pseudorandom generators has been designed using finite precision. The design is based on the coupling of several piecewise linear chaotic maps. Based on the above results a new family of chaotic pseudorandom generators named Trident has been designed. These generators have been specially designed to meet the needs of real-time encryption of mobile technology. According to the above results, this thesis proposes another family of pseudorandom generators called Trifork. These generators are based on a combination of perturbed Lagged Fibonacci generators. This family of generators is cryptographically secure and suitable for use in real-time encryption. Detailed analysis shows that the proposed pseudorandom generator can provide fast encryption speed and a high level of security, at the same time. El extraordinario auge de las nuevas tecnologías de la información, el desarrollo de Internet, el comercio electrónico, la administración electrónica, la telefonía móvil y la futura computación y almacenamiento en la nube, han proporcionado grandes beneficios en todos los ámbitos de la sociedad. Junto a éstos, se presentan nuevos retos para la protección de la información, como la suplantación de personalidad y la pérdida de la confidencialidad e integridad de los documentos electrónicos. La criptografía juega un papel fundamental aportando las herramientas necesarias para garantizar la seguridad de estos nuevos medios, pero es imperativo intensificar la investigación en este ámbito para dar respuesta a la demanda creciente de nuevas técnicas criptográficas seguras. La teoría de los sistemas dinámicos no lineales junto a la criptografía dan lugar a la ((criptografía caótica)), que es el campo de estudio de esta tesis. El vínculo entre la criptografía y los sistemas caóticos continúa siendo objeto de un intenso estudio. La combinación del comportamiento aparentemente estocástico, las propiedades de sensibilidad a las condiciones iniciales y a los parámetros, la ergodicidad, la mezcla, y que los puntos periódicos sean densos asemejan las órbitas caóticas a secuencias aleatorias, lo que supone su potencial utilización en el enmascaramiento de mensajes. Este hecho, junto a la posibilidad de sincronizar varios sistemas caóticos descrita inicialmente en los trabajos de Pecora y Carroll, ha generado una avalancha de trabajos de investigación donde se plantean muchas ideas sobre la forma de realizar sistemas de comunicaciones seguros, relacionando así la criptografía y el caos. La criptografía caótica aborda dos paradigmas de diseño fundamentales. En el primero, los criptosistemas caóticos se diseñan utilizando circuitos analógicos, principalmente basados en las técnicas de sincronización caótica; en el segundo, los criptosistemas caóticos se construyen en circuitos discretos u ordenadores, y generalmente no dependen de las técnicas de sincronización del caos. Nuestra contribución en esta tesis implica tres aspectos sobre el cifrado caótico. En primer lugar, se realiza un análisis teórico de las propiedades geométricas de algunos de los sistemas caóticos más empleados en el diseño de criptosistemas caóticos vii continuos; en segundo lugar, se realiza el criptoanálisis de cifrados caóticos continuos basados en el análisis anterior; y, finalmente, se realizan tres nuevas propuestas de diseño de generadores de secuencias pseudoaleatorias criptográficamente seguros y rápidos. La primera parte de esta memoria realiza un análisis crítico acerca de la seguridad de los criptosistemas caóticos, llegando a la conclusión de que la gran mayoría de los algoritmos de cifrado caóticos continuos —ya sean realizados físicamente o programados numéricamente— tienen serios inconvenientes para proteger la confidencialidad de la información ya que son inseguros e ineficientes. Asimismo una gran parte de los criptosistemas caóticos discretos propuestos se consideran inseguros y otros no han sido atacados por lo que se considera necesario más trabajo de criptoanálisis. Esta parte concluye señalando las principales debilidades encontradas en los criptosistemas analizados y algunas recomendaciones para su mejora. En la segunda parte se diseña un método de criptoanálisis que permite la identificaci ón de los parámetros, que en general forman parte de la clave, de algoritmos de cifrado basados en sistemas caóticos de Lorenz y similares, que utilizan los esquemas de sincronización excitador-respuesta. Este método se basa en algunas características geométricas del atractor de Lorenz. El método diseñado se ha empleado para criptoanalizar eficientemente tres algoritmos de cifrado. Finalmente se realiza el criptoanálisis de otros dos esquemas de cifrado propuestos recientemente. La tercera parte de la tesis abarca el diseño de generadores de secuencias pseudoaleatorias criptográficamente seguras, basadas en aplicaciones caóticas, realizando las pruebas estadísticas, que corroboran las propiedades de aleatoriedad. Estos generadores pueden ser utilizados en el desarrollo de sistemas de cifrado en flujo y para cubrir las necesidades del cifrado en tiempo real. Una cuestión importante en el diseño de sistemas de cifrado discreto caótico es la degradación dinámica debida a la precisión finita; sin embargo, la mayoría de los diseñadores de sistemas de cifrado discreto caótico no ha considerado seriamente este aspecto. En esta tesis se hace hincapié en la importancia de esta cuestión y se contribuye a su esclarecimiento con algunas consideraciones iniciales. Ya que las cuestiones teóricas sobre la dinámica de la degradación de los sistemas caóticos digitales no ha sido totalmente resuelta, en este trabajo utilizamos algunas soluciones prácticas para evitar esta dificultad teórica. Entre las técnicas posibles, se proponen y evalúan varias soluciones, como operaciones de rotación de bits y desplazamiento de bits, que combinadas con la variación dinámica de parámetros y con la perturbación cruzada, proporcionan un excelente remedio al problema de la degradación dinámica. Además de los problemas de seguridad sobre la degradación dinámica, muchos criptosistemas se rompen debido a su diseño descuidado, no a causa de los defectos esenciales de los sistemas caóticos digitales. Este hecho se ha tomado en cuenta en esta tesis y se ha logrado el diseño de generadores pseudoaleatorios caóticos criptogr áficamente seguros.

Movimiento de paredes de dominio magnético en nanohilos con defectos controlados

La investigación realizada en este trabajo de tesis se ha centrado en el estudio de la generación, anclaje y desenganche de paredes de dominio magnético en nanohilos de permalloy con defectos controlados. Las últimas tecnologías de nanofabricación han abierto importantes líneas de investigación centradas en el estudio del movimiento de paredes de dominio magnético, gracias a su potencial aplicación en memorias magnéticas del futuro. En el 2004, Stuart Parkin de IBM introdujo un concepto innovador, el dispositivo “Racetrack”, basado en un nanohilo ferromagnético donde los dominios de imanación representan los "bits" de información. La frontera entre dominios, ie pared magnética, se moverían en una situación ideal por medio de transferencia de espín de una corriente polarizada. Se anclan en determinadas posiciones gracias a pequeños defectos o constricciones de tamaño nanométrico fabricados por litografía electrónica. El éxito de esta idea se basa en la generación, anclaje y desenganche de las paredes de dominio de forma controlada y repetitiva, tanto para la lectura como para la escritura de los bits de información. Slonczewski en 1994 muestra que la corriente polarizada de espín puede transferir momento magnético a la imanación local y así mover paredes por transferencia de espín y no por el campo creado por la corriente. Desde entonces muchos grupos de investigación de todo el mundo trabajan en optimizar las condiciones de transferencia de espín para mover paredes de dominio. La fracción de electrones polarizados que viaja en un hilo ferromagnético es considerablemente pequeña, así hoy por hoy la corriente necesaria para mover una pared magnética por transferencia de espín es superior a 1 107 A/cm2. Una densidad de corriente tan elevada no sólo tiene como consecuencia una importante degradación del dispositivo sino también se observan importantes efectos relacionados con el calentamiento por efecto Joule inducido por la corriente. Otro de los problemas científico - tecnológicos a resolver es la diversidad de paredes de dominio magnético ancladas en el defecto. Los diferentes tipos de pared anclados en el defecto, su quiralidad o el campo o corriente necesarios para desenganchar la pared pueden variar dependiendo si el defecto posee dimensiones ligeramente diferentes o si la pared se ancla con un método distinto. Además, existe una componente estocástica presente tanto en la nucleación como en el proceso de anclaje y desenganche que por un lado puede ser debido a la naturaleza de la pared que viaja por el hilo a una determinada temperatura distinta de cero, así como a defectos inevitables en el proceso de fabricación. Esto constituye un gran inconveniente dado que según el tipo de pared es necesario aplicar distintos valores de corriente y/o campo para desenganchar la pared del defecto. Como se menciona anteriormente, para realizar de forma eficaz la lectura y escritura de los bits de información, es necesaria la inyección, anclaje y desenganche forma controlada y repetitiva. Esto implica generar, anclar y desenganchar las paredes de dominio siempre en las mismas condiciones, ie siempre a la misma corriente o campo aplicado. Por ello, en el primer capítulo de resultados de esta tesis estudiamos el anclaje y desenganche de paredes de dominio en defectos de seis formas distintas, cada uno, de dos profundidades diferentes. Hemos realizado un análisis estadístico en diferentes hilos, donde hemos estudiado la probabilidad de anclaje cada tipo de defecto y la dispersión en el valor de campo magnético aplicado necesario para desenganchar la pared. Luego, continuamos con el estudio de la nucleación de las paredes de dominio magnético con pulsos de corriente a través una linea adyacente al nanohilo. Estudiamos defectos de tres formas distintas e identificamos, en función del valor de campo magnético aplicado, los distintos tipos de paredes de dominio anclados en cada uno de ellos. Además, con la ayuda de este método de inyección que es rápido y eficaz, hemos sido capaces de generar y anclar un único tipo de pared minimizando el comportamiento estocástico de la pared mencionado anteriormente. En estas condiciones óptimas, hemos estudiado el desenganche de las paredes de dominio por medio de corriente polarizada en espín, donde hemos conseguido desenganchar la pared de forma controlada y repetitiva siempre para los mismos valores de corriente y campo magnético aplicados. Además, aplicando pulsos de corriente en distintas direcciones, estudiamos en base a su diferencia, la contribución térmica debido al efecto Joule. Los resultados obtenidos representan un importante avance hacia la explotación práctica de este tipo de dispositivos. ABSTRACT The research activity of this thesis was focused on the nucleation, pinning and depinning of magnetic domain walls (DWs) in notched permalloy nanowires. The access to nanofabrication techniques has boosted the number of applications based on magnetic domain walls (DWs) like memory devices. In 2004, Stuart Parkin at IBM, conceived an innovative concept, the “racetrack memory” based on a ferromagnetic nanowire were the magnetic domains constitute the “bits” of information. The frontier between those magnetic domains, ie magnetic domain wall, will move ideally assisted by a spin polarized current. DWs will pin at certain positions due to artificially created pinning sites or “notches” fabricated with ebeam lithography. The success of this idea relies on the careful and predictable control on DW nucleation and a defined pinning-depinning process in order to read and write the bits of information. Sloncsewski in 1994 shows that a spin polarized current can transfer magnetic moment to the local magnetization to move the DWs instead of the magnetic field created by the current. Since then many research groups worldwide have been working on optimizing the conditions for the current induced DW motion due to the spin transfer effect. The fraction of spin polarized electrons traveling through a ferromagnetic nanowire is considerably small, so nowadays the current density required to move a DW by STT exceeds 1 107 A/cm2. A high current density not only can produce a significant degradation of the device but also important effects related to Joule heating were also observed . There are other scientific and technological issues to solve regarding the diversity of DWs states pinned at the notch. The types of DWs pinned, their chirality or their characteristic depinning current or field, may change if the notch has slightly different dimensions, the stripe has different thickness or even if the DW is pinned by a different procedure. Additionally, there is a stochastic component in both the injection of the DW and in its pinning-depinning process, which may be partly intrinsic to the nature of the travelling DW at a non-zero temperature and partly due to the unavoidable defects introduced during the nano-fabrication process. This constitutes an important inconvenient because depending on the DW type different values of current of magnetic field need to be applied in order to depin a DW from the notch. As mentioned earlier, in order to write and read the bits of information accurately, a controlled reproducible and predictable pinning- depinning process is required. This implies to nucleate, pin and depin always at the same applied magnetic field or current. Therefore, in the first chapter of this thesis we studied the pinning and depinning of DW in six different notch shapes and two depths. An statistical analysis was conducted in order to determine which notch type performed best in terms of pinning probability and the dispersion measured in the magnetic field necessary to depin the magnetic DWs. Then, we continued studying the nucleation of DWs with nanosecond current pulses by an adjacent conductive stripe. We studied the conditions for DW injection that allow a selective pinning of the different types of DWs in Permalloy nanostripes with 3 different notch shapes. Furthermore, with this injection method, which has proven to be fast and reliable, we manage to nucleate only one type of DW avoiding its stochastic behavior mentioned earlier. Having achieved this optimized conditions we studied current induced depinning where we also achieved a controlled and reproducible depinning process at always the same applied current and magnetic field. Additionally, changing the pulse polarity we studied the joule heating contribution in a current induced depinning process. The results obtained represent an important step towards the practical exploitation of these devices.

Numerical modelling of spectral, temporal and statistical properties of Raman fiber lasers

Efficient numerical modelling of the power, spectral and statistical properties of partially coherent quasi-CW Raman fiber laser radiation is presented. XPM between pump wave and generated Stokes wave is not important in the generation spectrum broadening and XPM term can be omitted in propagation equation what sufficiently speeds-up simulations. The time dynamics of Raman fiber laser (RFL) is stochastic exhibiting events several times more intense that the mean value on the ps timescale. However, the RFL has different statistical properties on different time scales. The probability density function of spectral power density is exponential for the generation modes located either in the spectrum centre or spectral wings while the phases are distributed uniformly. The pump wave preserves the initial Gaussian statistics during propagation in the laser cavity. Intense pulses in the pump wave are evolved under the SPM influence and are not disturbed by the dispersion. Contrarily, in the generated wave the dispersion plays a significant role that results in stochastic behavior. © 2012 Elsevier B.V. All rights reserved.

A Markov chain location-allocation meta-model for hurricane relief

An emergency is a deviation from a planned course of events that endangers people, properties, or the environment. It can be described as an unexpected event that causes economic damage, destruction, and human suffering. When a disaster happens, Emergency Managers are expected to have a response plan to most likely disaster scenarios. Unlike earthquakes and terrorist attacks, a hurricane response plan can be activated ahead of time, since a hurricane is predicted at least five days before it makes landfall. This research looked into the logistics aspects of the problem, in an attempt to develop a hurricane relief distribution network model. We addressed the problem of how to efficiently and effectively deliver basic relief goods to victims of a hurricane disaster. Specifically, where to preposition State Staging Areas (SSA), which Points of Distributions (PODs) to activate, and the allocation of commodities to each POD. Previous research has addressed several of these issues, but not with the incorporation of the random behavior of the hurricane's intensity and path. This research presents a stochastic meta-model that deals with the location of SSAs and the allocation of commodities. The novelty of the model is that it treats the strength and path of the hurricane as stochastic processes, and models them as Discrete Markov Chains. The demand is also treated as stochastic parameter because it depends on the stochastic behavior of the hurricane. However, for the meta-model, the demand is an input that is determined using Hazards United States (HAZUS), a software developed by the Federal Emergency Management Agency (FEMA) that estimates losses due to hurricanes and floods. A solution heuristic has been developed based on simulated annealing. Since the meta-model is a multi-objective problem, the heuristic is a multi-objective simulated annealing (MOSA), in which the initial solution and the cooling rate were determined via a Design of Experiments. The experiment showed that the initial temperature (T0) is irrelevant, but temperature reduction (δ) must be very gradual. Assessment of the meta-model indicates that the Markov Chains performed as well or better than forecasts made by the National Hurricane Center (NHC). Tests of the MOSA showed that it provides solutions in an efficient manner. Thus, an illustrative example shows that the meta-model is practical.

A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of jumps in the volatility under a jump-diffusion stochastic volatility model, has no effect on the short-time behaviour of the at-the-money implied volatility skew, although the corresponding Hull and White formula depends on the jumps. Towards this end, we use Malliavin calculus techniques for Lévy processes based on Løkka (2004), Petrou (2006), and Solé, Utzet and Vives (2007).

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.