Australian Asian options

We study European options on the ratio of the stock price to its averageand viceversa. Some of these options are traded in the Australian StockExchange since 1992, thus we call them Australian Asian options. Forgeometric averages, we obtain closed-form expressions for option prices.For arithmetic means, we use dierent approximations that produce verysimilar results.

Determinação de metais traço no material particulado em suspensão em Ouro Preto, Minas Gerais

The determination of the airborne particulate matter (PTS) mass and trace metals concentrations were performed in three sites in Ouro Preto, MG, Brazil. It was evaluated 288 samples. The legal limit of annual geometric average (60 µg m-3) to PTS concentrations didn't exceed, but the legal limit for 24 h (240 µg m-3) did in three measurements. Seven metals (Al, Cr, Cu, Fe, Mn, Ni, Pb) analysed by ICP-AES were quantified in 18 samples. Aluminum and iron showed the highest concentrations, indicating the contribution of the soil and of one aluminum plant. The high nickel concentration is probably due to vehicular emissions and industrial combustion processes.

Performance metrics for small-signal stability assessment of DC-distributed power-system-architecture comparisons

The objective of this paper is to provide performance metrics for small-signal stability assessment of a given system architecture. The stability margins are stated utilizing a concept of maximum peak criteria (MPC) derived from the behavior of an impedance-based sensitivity function. For each minor-loop gain defined at every system interface, a single number to state the robustness of stability is provided based on the computed maximum value of the corresponding sensitivity function. In order to compare various power-architecture solutions in terms of stability, a parameter providing an overall measure of the whole system stability is required. The selected figure of merit is geometric average of each maximum peak value within the system. It provides a meaningful metrics for system comparisons: the best system in terms of robust stability is the one that minimizes this index. In addition, the largest peak value within the system interfaces is given thus detecting the weakest point of the system in terms of robustness.

Systematic Method to Assess Small-Signal Stability of DC-Distributed Power-System-Architecture

The objective of this paper is to present a simplified method to analyze small-signal stability of a power system and provide performance metrics for stability assessment of a given power-system-architecture. The stability margins are stated utilizing a concept of maximum peak criteria (MPC), derived from the behavior of an impedance-based sensitivity function that provides a single number to state the robustness of the stability of a well-defined minor-loop gain. For each minor-loop gain, defined at every system interface, the robustness of the stability is provided as a maximum value of the corresponding sensitivity function. Typically power systems comprise of various interfaces and, therefore, in order to compare different architecture solutions in terms of stability, a single number providing an overall measure of the whole system stability is required. The selected figure of merit is geometric average of each maximum peak value within the system, combined with the worst case value of system interfaces.

The Geometric Curvature Of The Spine Of Runners During Maximal Incremental Effort Test.

This study sought to analyse the behaviour of the average spinal posture using a novel investigative procedure in a maximal incremental effort test performed on a treadmill. Spine motion was collected via stereo-photogrammetric analysis in thirteen amateur athletes. At each time percentage of the gait cycle, the reconstructed spine points were projected onto the sagittal and frontal planes of the trunk. On each plane, a polynomial was fitted to the data, and the two-dimensional geometric curvature along the longitudinal axis of the trunk was calculated to quantify the geometric shape of the spine. The average posture presented at the gait cycle defined the spine Neutral Curve. This method enabled the lateral deviations, lordosis, and kyphosis of the spine to be quantified noninvasively and in detail. The similarity between each two volunteers was a maximum of 19% on the sagittal plane and 13% on the frontal (p<0.01). The data collected in this study can be considered preliminary evidence that there are subject-specific characteristics in spinal curvatures during running. Changes induced by increases in speed were not sufficient for the Neutral Curve to lose its individual characteristics, instead behaving like a postural signature. The data showed the descriptive capability of a new method to analyse spinal postures during locomotion; however, additional studies, and with larger sample sizes, are necessary for extracting more general information from this novel methodology.

THE VANISHING DISCOUNT APPROACH FOR THE AVERAGE CONTINUOUS CONTROL OF PIECEWISE DETERMINISTIC MARKOV PROCESSES

This work is concerned with the existence of an optimal control strategy for the long-run average continuous control problem of piecewise-deterministic Markov processes (PDMPs). In Costa and Dufour (2008), sufficient conditions were derived to ensure the existence of an optimal control by using the vanishing discount approach. These conditions were mainly expressed in terms of the relative difference of the alpha-discount value functions. The main goal of this paper is to derive tractable conditions directly related to the primitive data of the PDMP to ensure the existence of an optimal control. The present work can be seen as a continuation of the results derived in Costa and Dufour (2008). Our main assumptions are written in terms of some integro-differential inequalities related to the so-called expected growth condition, and geometric convergence of the post-jump location kernel associated to the PDMP. An example based on the capacity expansion problem is presented, illustrating the possible applications of the results developed in the paper.

The influence of geometric factors on the wall shear stress distribution in realistic human coronary arteries

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para a obtenção do grau de Mestre em Engenharia Biomédica. A presente dissertação foi desenvolvida no Erasmus Medical Center em Roterdão, Holanda

Average performance analysis of circular and hyperbolic geolocation

A comparative performance analysis of four geolocation methods in terms of their theoretical root mean square positioning errors is provided. Comparison is established in two different ways: strict and average. In the strict type, methods are examined for a particular geometric configuration of base stations(BSs) with respect to mobile position, which determines a givennoise profile affecting the respective time-of-arrival (TOA) or timedifference-of-arrival (TDOA) estimates. In the average type, methodsare evaluated in terms of the expected covariance matrix ofthe position error over an ensemble of random geometries, so thatcomparison is geometry independent. Exact semianalytical equationsand associated lower bounds (depending solely on the noiseprofile) are obtained for the average covariance matrix of the positionerror in terms of the so-called information matrix specific toeach geolocation method. Statistical channel models inferred fromfield trials are used to define realistic prior probabilities for therandom geometries. A final evaluation provides extensive resultsrelating the expected position error to channel model parametersand the number of base stations.

Geometric Aspects of Visual Object Recognition

This thesis presents there important results in visual object recognition based on shape. (1) A new algorithm (RAST; Recognition by Adaptive Sudivisions of Tranformation space) is presented that has lower average-case complexity than any known recognition algorithm. (2) It is shown, both theoretically and empirically, that representing 3D objects as collections of 2D views (the "View-Based Approximation") is feasible and affects the reliability of 3D recognition systems no more than other commonly made approximations. (3) The problem of recognition in cluttered scenes is considered from a Bayesian perspective; the commonly-used "bounded-error errorsmeasure" is demonstrated to correspond to an independence assumption. It is shown that by modeling the statistical properties of real-scenes better, objects can be recognized more reliably.

Information geometric measurements of generalisation

Neural networks can be regarded as statistical models, and can be analysed in a Bayesian framework. Generalisation is measured by the performance on independent test data drawn from the same distribution as the training data. Such performance can be quantified by the posterior average of the information divergence between the true and the model distributions. Averaging over the Bayesian posterior guarantees internal coherence; Using information divergence guarantees invariance with respect to representation. The theory generalises the least mean squares theory for linear Gaussian models to general problems of statistical estimation. The main results are: (1)~the ideal optimal estimate is always given by average over the posterior; (2)~the optimal estimate within a computational model is given by the projection of the ideal estimate to the model. This incidentally shows some currently popular methods dealing with hyperpriors are in general unnecessary and misleading. The extension of information divergence to positive normalisable measures reveals a remarkable relation between the dlt dual affine geometry of statistical manifolds and the geometry of the dual pair of Banach spaces Ld and Ldd. It therefore offers conceptual simplification to information geometry. The general conclusion on the issue of evaluating neural network learning rules and other statistical inference methods is that such evaluations are only meaningful under three assumptions: The prior P(p), describing the environment of all the problems; the divergence Dd, specifying the requirement of the task; and the model Q, specifying available computing resources.

The geometric correction and registration of airborne line-scanned imagery for temporal thermal studies

This thesis begins by providing a review of techniques for interpreting the thermal response at the earth's surface acquired using remote sensing technology. Historic limitations in the precision with which imagery acquired from airborne platforms can be geometrically corrected and co-registered has meant that relatively little work has been carried out examining the diurnal variation of surface temperature over wide regions. Although emerging remote sensing systems provide the potential to register temporal image data within satisfactory levels of accuracy, this technology is still not widely available and does not address the issue of historic data sets which cannot be rectified using conventional parametric approaches. In overcoming these problems, the second part of this thesis describes the development of an alternative approach for rectifying airborne line-scanned imagery. The underlying assumption that scan lines within the imagery are straight greatly reduces the number of ground control points required to describe the image geometry. Furthermore, the use of pattern matching procedures to identify geometric disparities between raw line-scanned imagery and corresponding aerial photography enables the correction procedure to be almost fully automated. By reconstructing the raw image data on a truly line-by-line basis, it is possible to register the airborne line-scanned imagery to the aerial photography with an average accuracy of better than one pixel. Providing corresponding aerial photography is available, this approach can be applied in the absence of platform altitude information allowing multi-temporal data sets to be corrected and registered.

Projeto de caixa de madeira para manga (Mangifera Indica L.)

Losses of horticulture product in Brazil are significant and among the main causes are the use of inappropriate boxes and the absence of a cold chain. A project for boxes is proposed, based on computer simulations, optimization and experimental validation, trying to minimize the amount of wood associated with structural and ergonomic aspects and the effective area of the openings. Three box prototypes were designed and built using straight laths with different configurations and areas of openings (54% and 36%). The cooling efficiency of Tommy Atkins mango (Mangifera Indica L.) was evaluated by determining the cooling time for fruit packed in the wood models and packed in the commercially used cardboard boxes, submitted to cooling in a forced-air system, at a temperature of 6ºC and average relative humidity of 85.4±2.1%. The Finite Element Method was applied, for the dimensioning and structural optimization of the model with the best behavior in relation to cooling. All wooden boxes with fruit underwent vibration testing for two hours (20 Hz). There was no significant difference in average cooling time in the wooden boxes (36.08±1.44 min); however, the difference was significant in comparison to the cardboard boxes (82.63±29.64 min). In the model chosen for structural optimization (36% effective area of openings and two side laths), the reduction in total volume of material was 60% and 83% in the cross section of the columns. There was no indication of mechanical damage in the fruit after undergoing the vibration test. Computer simulations and structural study may be used as a support tool for developing projects for boxes, with geometric, ergonomic and thermal criteria.

Sistema de análise de movimento para avaliação da postura vertical durante a corrida no teste de esforço máximo incremental

Universidade Estadual de Campinas . Faculdade de Educação Física