A Theoretical Comparison Between Integrated and Realized Volatilies

In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion the difference between the realized and the integrated volatilities for a given frequency of observations. Then, we compute the mean and variance of this noise and the correlation between the noise and the integrated volatility in the Eigenfunction Stochastic Volatility model of Meddahi (2001a). This model has, as special examples, log-normal, affine, and GARCH diffusion models. Using some previous empirical works, we show that the standard deviation of the noise is not negligible with respect to the mean and the standard deviation of the integrated volatility, even if one considers returns at five minutes. We also propose a simple approach to capture the information about the integrated volatility contained in the returns through the leverage effect.

An Eigenfunction Approach for Volatility Modeling.

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming that the loading function is ad hoc (e.g., exponential or affine), we assume that it is a linear combination of the eigenfunctions of the conditional expectation (resp. infinitesimal generator) operator associated to the state variable in discrete (resp. continuous) time. Special examples are the popular log-normal and square-root models where the eigenfunctions are the Hermite and Laguerre polynomials respectively. The eigenfunction approach has at least six advantages: i) it is general since any square integrable function may be written as a linear combination of the eigenfunctions; ii) the orthogonality of the eigenfunctions leads to the traditional interpretations of the linear principal components analysis; iii) the implied dynamics of the variance and squared return processes are ARMA and, hence, simple for forecasting and inference purposes; (iv) more importantly, this generates fat tails for the variance and returns processes; v) in contrast to popular models, the variance of the variance is a flexible function of the variance; vi) these models are closed under temporal aggregation.

Existência de soluções para equações integrodiferenciais em epaços de Banach

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Soluções quase automórficas para equações diferenciais abstratas de segunda ordem

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

Exact field-driven interface dynamics in the two-dimensional stochastic Ising model with helicoidal boundary conditions

We investigate the interface dynamics of the two-dimensional stochastic Ising model in an external field under helicoidal boundary conditions. At sufficiently low temperatures and fields, the dynamics of the interface is described by an exactly solvable high-spin asymmetric quantum Hamiltonian that is the infinitesimal generator of the zero range process. Generally, the critical dynamics of the interface fluctuations is in the Kardar-Parisi-Zhang universality class of critical behavior. We remark that a whole family of RSOS interface models similar to the Ising interface model investigated here can be described by exactly solvable restricted high-spin quantum XXZ-type Hamiltonians. (C) 2012 Elsevier B.V. All rights reserved.

The Feynman-Kac formula and applications to PDEs

The thesis presents a probabilistic approach to the theory of semigroups of operators, with particular attention to the Markov and Feller semigroups. The first goal of this work is the proof of the fundamental Feynman-Kac formula, which gives the solution of certain parabolic Cauchy problems, in terms of the expected value of the initial condition computed at the associated stochastic diffusion processes. The second target is the characterization of the principal eigenvalue of the generator of a semigroup with Markov transition probability function and of second order elliptic operators with real coefficients not necessarily self-adjoint. The thesis is divided into three chapters. In the first chapter we study the Brownian motion and some of its main properties, the stochastic processes, the stochastic integral and the Itô formula in order to finally arrive, in the last section, at the proof of the Feynman-Kac formula. The second chapter is devoted to the probabilistic approach to the semigroups theory and it is here that we introduce Markov and Feller semigroups. Special emphasis is given to the Feller semigroup associated with the Brownian motion. The third and last chapter is divided into two sections. In the first one we present the abstract characterization of the principal eigenvalue of the infinitesimal generator of a semigroup of operators acting on continuous functions over a compact metric space. In the second section this approach is used to study the principal eigenvalue of elliptic partial differential operators with real coefficients. At the end, in the appendix, we gather some of the technical results used in the thesis in more details. Appendix A is devoted to the Sion minimax theorem, while in appendix B we prove the Chernoff product formula for not necessarily self-adjoint operators.

On the approximation by convolution operators in homogeneous Banach spaces on R^d

AMS Subject Classification 2010: 41A25, 41A35, 41A40, 41A63, 41A65, 42A38, 42A85, 42B10, 42B20

Bias in the nonlinear filter generator output sequence

Nonlinear filter generators are common components used in the keystream generators for stream ciphers and more recently for authentication mechanisms. They consist of a Linear Feedback Shift Register (LFSR) and a nonlinear Boolean function to mask the linearity of the LFSR output. Properties of the output of a nonlinear filter are not well studied. Anderson noted that the m-tuple output of a nonlinear filter with consecutive taps to the filter function is unevenly distributed. Current designs use taps which are not consecutive. We examine m-tuple outputs from nonlinear filter generators constructed using various LFSRs and Boolean functions for both consecutive and uneven (full positive difference sets where possible) tap positions. The investigation reveals that in both cases, the m-tuple output is not uniform. However, consecutive tap positions result in a more biased distribution than uneven tap positions, with some m-tuples not occurring at all. These biased distributions indicate a potential flaw that could be exploited for cryptanalysis.

A new family of Marx generator based on resonant converter

This paper presents a novel topology to generate high voltage with utilization of slow and fast power switches. New concepts used in this topology include numbers of diode-capacitor units in parallel with resonant circuits which are connected to a positive buck-boost converter. The resonant circuit reverses the voltage polarity of the capacitors. This configuration has capability of generating a flexible high voltage with certain number of capacitors. The advantage of this topology is to use slow switches, less number of diodes and capacitors compare to Marx generator. Simulations have been performed to verify the proposed topology.

A resonant based Marx generator

The configuration proposed in this paper aims to generate high voltage for pulsed power applications. The main idea is to charge two groups of capacitors in parallel through an inductor and take the advantage of resonant phenomena in charging each capacitor up to a double input voltage level. In each resonant half a cycle, one of those capacitor groups are charged, and finally the charged capacitors will be connected together in series and the summation of the capacitor voltages can be appeared at the output of the topology. This topology can be considered as a modified Marx generator which works based on the resonant concept. Simulation models of this converter have been investigated in Matlab/SIMULINK platform and the attained results fully satisfy the proper operation of the converter.

Bias in the nonlinear filter generator output sequence

Nonlinear filter generators are common components used in the keystream generators for stream ciphers and more recently for authentication mechanisms. They consist of a Linear Feedback Shift Register (LFSR) and a nonlinear Boolean function to mask the linearity of the LFSR output. Properties of the output of a nonlinear filter are not well studied. Anderson noted that the m-tuple output of a nonlinear filter with consecutive taps to the filter function is unevenly distributed. Current designs use taps which are not consecutive. We examine m-tuple outputs from nonlinear filter generators constructed using various LFSRs and Boolean functions for both consecutive and uneven (full positive difference sets where possible) tap positions. The investigation reveals that in both cases, the m-tuple output is not uniform. However, consecutive tap positions result in a more biased distribution than uneven tap positions, with some m-tuples not occurring at all. These biased distributions indicate a potential flaw that could be exploited for cryptanalysis

A solid state Marx generator with a novel configuration

The new configuration proposed in this paper for Marx Generator (MG) aims to generate high voltage for pulsed power applications through reduced number of semiconductor components with a more efficient load supplying process. The main idea is to charge two groups of capacitors in parallel through an inductor and take advantage of resonant phenomenon in charging each capacitor up to a double input voltage level. In each resonant half a cycle, one of those capacitor groups are charged, and eventually the charged capacitors will be connected in series and the summation of the capacitor voltages can be appeared at the output of the topology. This topology can be considered as a modified Marx generator which works based on the resonant concept. Simulated models of this converter have been investigated in Matlab/SIMULINK platform and a prototype set up has been implemented in laboratory. The acquired results of either fully satisfy the anticipations in proper operation of the converter.

A solid state Marx generator with a novel configuration

The new configuration proposed in this paper for Marx Generator (MG.) aims to generate high voltage for pulsed power applications through reduced number of semiconductor components with a more efficient load supplying process. The main idea is to charge two groups of capacitors in parallel through an inductor and take the advantage of resonant phenomenon in charging each capacitor up to a double input voltage level. In each resonant half a cycle, one of those capacitor groups are charged, and eventually the charged capacitors will be connected in series and the summation of the capacitor voltages can be appeared at the output of the topology. This topology can be considered as a modified Marx generator which works based on the resonant concept. Simulated models of this converter have been investigated in Matlab/SIMULINK platform and the acquired results fully satisfy the anticipations in proper operation of the converter.