Download or read book Dynamic Roughness in the Term Structure of Oil Markets Volatility written by Mesias Alfeus and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned stochastic volatility models driven by rough Brownian motions that yield semi-analytical prices for futures options entailing efficient calibration applications. By performing a Monte-Carlo simulation study, we show that the semi-analytical pricing performs well thus establishing its efficiency for calibration applications. Thus, we calibrate option prices written on oil futures and provide empirical evidence of the roughness in oil volatility. Introducing just one additional parameter, the Hurst parameter, indicating the roughness of the volatility improves the calibration by almost a factor of 10. The calibrated option-implied Hurst parameter varies over time, but the entire set of parameters becomes more stable than in the non-rough case corresponding to a fixed Hurst parameter 1/2. These results underscore the importance to model the time dependency of the roughness of oil market volatility.
Download or read book Volatility of Oil Prices written by Mr.Peter Wickham and published by International Monetary Fund. This book was released on 1996-08-01 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the behavior of crude oil prices since 1980, and in particular the volatility of these prices. The empirical analysis covers “spot” prices for one of the key internationally traded crudes, namely Dated Brent Blend. A GARCH (generalized autoregressive conditional heteroscedastic) model, which allows the conditional variance to be time-variant, is estimated for the period which includes the oil price slump of 1986 and the surge in prices in 1990 as a result of the Iraqi invasion of Kuwait. The paper also discusses the growth of futures and derivative markets and the dynamic links between spot and futures markets.
Download or read book An Orthogonal GARCH Model for Crude Oil Volatility Term Structure written by Burc Barin and published by . This book was released on 2003 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Time varying Volatility and the Dynamic Behaviour of the Term Structure written by Robert F. Engle and published by . This book was released on 1991 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Price Dynamic Volatility and Information Flows in the Oil Industry written by Alessandro Mauro and published by . This book was released on 2014 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationships between crude and product prices are crucial throughout oil markets and especially so within the refining industry, where they define the refinery margin between cost of inputs (crudes) and value of outputs (products). The oil market is global but regional factors are also relevant, creating local variations in crude / product relationships. These relationships are often ambiguous, with limited in depth study to date. It is important to test and understand if there are feedback mechanisms from product to crude markets in the short run, investigating, in particular, weather shocks affecting the former also affect the latter. Consequently, the findings of this paper present relevant issues for oil market participants and their management of price risk.
Download or read book Fundamentals of Fluid Film Lubrication written by Bernard J. Hamrock and published by CRC Press. This book was released on 2004-03-15 with total page 794 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specifically focusing on fluid film, hydrodynamic, and elastohydrodynamic lubrication, this edition studies the most important principles of fluid film lubrication for the correct design of bearings, gears, and rolling operations, and for the prevention of friction and wear in engineering designs. It explains various theories, procedures, and equations for improved solutions to machining challenges. Providing more than 1120 display equations and an introductory section in each chapter, Fundamentals of Fluid Film Lubrication, Second Edition facilitates the analysis of any machine element that uses fluid film lubrication and strengthens understanding of critical design concepts.
Download or read book Wavelet Methods for Time Series Analysis written by Donald B. Percival and published by Cambridge University Press. This book was released on 2006-02-27 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction to wavelet analysis 'from the ground level and up', and to wavelet-based statistical analysis of time series focuses on practical discrete time techniques, with detailed descriptions of the theory and algorithms needed to understand and implement the discrete wavelet transforms. Numerous examples illustrate the techniques on actual time series. The many embedded exercises - with complete solutions provided in the Appendix - allow readers to use the book for self-guided study. Additional exercises can be used in a classroom setting. A Web site offers access to the time series and wavelets used in the book, as well as information on accessing software in S-Plus and other languages. Students and researchers wishing to use wavelet methods to analyze time series will find this book essential.
Download or read book World Development Report 2009 written by World Bank and published by World Bank Publications. This book was released on 2008-11-04 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Rising densities of human settlements, migration and transport to reduce distances to market, and specialization and trade facilitated by fewer international divisions are central to economic development. The transformations along these three dimensions density, distance, and division are most noticeable in North America, Western Europe, and Japan, but countries in Asia and Eastern Europe are changing in ways similar in scope and speed. 'World Development Report 2009: Reshaping Economic Geography' concludes that these spatial transformations are essential, and should be encouraged. The conclusion is not without controversy. Slum-dwellers now number a billion, but the rush to cities continues. Globalization is believed to benefit many, but not the billion people living in lagging areas of developing nations. High poverty and mortality persist among the world's 'bottom billion', while others grow wealthier and live longer lives. Concern for these three billion often comes with the prescription that growth must be made spatially balanced. The WDR has a different message: economic growth is seldom balanced, and efforts to spread it out prematurely will jeopardize progress. The Report: documents how production becomes more concentrated spatially as economies grow. proposes economic integration as the principle for promoting successful spatial transformations. revisits the debates on urbanization, territorial development, and regional integration and shows how today's developers can reshape economic geography.
Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Download or read book Louis Bachelier s Theory of Speculation written by Louis Bachelier and published by Princeton University Press. This book was released on 2011-12-12 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: March 29, 1900, is considered by many to be the day mathematical finance was born. On that day a French doctoral student, Louis Bachelier, successfully defended his thesis Théorie de la Spéculation at the Sorbonne. The jury, while noting that the topic was "far away from those usually considered by our candidates," appreciated its high degree of originality. This book provides a new translation, with commentary and background, of Bachelier's seminal work. Bachelier's thesis is a remarkable document on two counts. In mathematical terms Bachelier's achievement was to introduce many of the concepts of what is now known as stochastic analysis. His purpose, however, was to give a theory for the valuation of financial options. He came up with a formula that is both correct on its own terms and surprisingly close to the Nobel Prize-winning solution to the option pricing problem by Fischer Black, Myron Scholes, and Robert Merton in 1973, the first decisive advance since 1900. Aside from providing an accurate and accessible translation, this book traces the twin-track intellectual history of stochastic analysis and financial economics, starting with Bachelier in 1900 and ending in the 1980s when the theory of option pricing was substantially complete. The story is a curious one. The economic side of Bachelier's work was ignored until its rediscovery by financial economists more than fifty years later. The results were spectacular: within twenty-five years the whole theory was worked out, and a multibillion-dollar global industry of option trading had emerged.
Download or read book Bayesian Networks in R written by Radhakrishnan Nagarajan and published by Springer Science & Business Media. This book was released on 2014-07-08 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian Networks in R with Applications in Systems Biology is unique as it introduces the reader to the essential concepts in Bayesian network modeling and inference in conjunction with examples in the open-source statistical environment R. The level of sophistication is also gradually increased across the chapters with exercises and solutions for enhanced understanding for hands-on experimentation of the theory and concepts. The application focuses on systems biology with emphasis on modeling pathways and signaling mechanisms from high-throughput molecular data. Bayesian networks have proven to be especially useful abstractions in this regard. Their usefulness is especially exemplified by their ability to discover new associations in addition to validating known ones across the molecules of interest. It is also expected that the prevalence of publicly available high-throughput biological data sets may encourage the audience to explore investigating novel paradigms using the approaches presented in the book.
Download or read book The Mis Behaviour of Markets written by Benoit B. Mandelbrot and published by Profile Books. This book was released on 2010-10-01 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This international bestseller, which foreshadowed a market crash, explains why it could happen again if we don't act now. Fractal geometry is the mathematics of roughness: how to reduce the outline of a jagged leaf or static in a computer connection to a few simple mathematical properties. With his fractal tools, Mandelbrot has got to the bottom of how financial markets really work. He finds they have a shifting sense of time and wild behaviour that makes them volatile, dangerous - and beautiful. In his models, the complex gyrations of the FTSE 100 and exchange rates can be reduced to straightforward formulae that yield a much more accurate description of the risks involved.
Download or read book Recommendations on the Transport of Dangerous Goods written by United Nations and published by . This book was released on 2020-01-06 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Manual of Tests and Criteria contains criteria, test methods and procedures to be used for classification of dangerous goods according to the provisions of Parts 2 and 3 of the United Nations Recommendations on the Transport of Dangerous Goods, Model Regulations, as well as of chemicals presenting physical hazards according to the Globally Harmonized System of Classification and Labelling of Chemicals (GHS). As a consequence, it supplements also national or international regulations which are derived from the United Nations Recommendations on the Transport of Dangerous Goods or the GHS. At its ninth session (7 December 2018), the Committee adopted a set of amendments to the sixth revised edition of the Manual as amended by Amendment 1. This seventh revised edition takes account of these amendments. In addition, noting that the work to facilitate the use of the Manual in the context of the GHS had been completed, the Committee considered that the reference to the "Recommendations on the Transport of Dangerous Goods" in the title of the Manual was no longer appropriate, and decided that from now on, the Manual should be entitled "Manual of Tests and Criteria".
Download or read book Responding to Oil Spills in the U S Arctic Marine Environment written by National Research Council and published by National Academies Press. This book was released on 2014-08-01 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: U.S. Arctic waters north of the Bering Strait and west of the Canadian border encompass a vast area that is usually ice covered for much of the year, but is increasingly experiencing longer periods and larger areas of open water due to climate change. Sparsely inhabited with a wide variety of ecosystems found nowhere else, this region is vulnerable to damage from human activities. As oil and gas, shipping, and tourism activities increase, the possibilities of an oil spill also increase. How can we best prepare to respond to such an event in this challenging environment? Responding to Oil Spills in the U.S. Arctic Marine Environment reviews the current state of the science regarding oil spill response and environmental assessment in the Arctic region north of the Bering Strait, with emphasis on the potential impacts in U.S. waters. This report describes the unique ecosystems and environment of the Arctic and makes recommendations to provide an effective response effort in these challenging conditions. According to Responding to Oil Spills in the U.S. Arctic Marine Environment, a full range of proven oil spill response technologies is needed in order to minimize the impacts on people and sensitive ecosystems. This report identifies key oil spill research priorities, critical data and monitoring needs, mitigation strategies, and important operational and logistical issues. The Arctic acts as an integrating, regulating, and mediating component of the physical, atmospheric and cryospheric systems that govern life on Earth. Not only does the Arctic serve as regulator of many of the Earth's large-scale systems and processes, but it is also an area where choices made have substantial impact on life and choices everywhere on planet Earth. This report's recommendations will assist environmentalists, industry, state and local policymakers, and anyone interested in the future of this special region to preserve and protect it from damaging oil spills.
Download or read book Processing of Heavy Crude Oils written by Ramasamy Marappa Gounder and published by . This book was released on 2019-12-18 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book From Catastrophe to Chaos A General Theory of Economic Discontinuities written by J. Barkley Rosser and published by Springer Science & Business Media. This book was released on 2000-06-30 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: From Catastrophe to Chaos: A General Theory of Economic Discontinuities presents and unusual perspective on economics and economic analysis. Current economic theory largely depends upon assuming that the world is fundamentally continuous. However, an increasing amount of economic research has been done using approaches that allow for discontinuities such as catastrophe theory, chaos theory, synergetics, and fractal geometry. The spread of such approaches across a variety of disciplines of thought has constituted a virtual intellectual revolution in recent years. This book reviews the applications of these approaches in various subdisciplines of economics and draws upon past economic thinkers to develop an integrated view of economics as a whole from the perspective of inherent discontinuity.
Download or read book The Spell of the Sensuous written by David Abram and published by Vintage. This book was released on 2012-10-17 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the International Lannan Literary Award for Nonfiction Animal tracks, word magic, the speech of stones, the power of letters, and the taste of the wind all figure prominently in this intellectual tour de force that returns us to our senses and to the sensuous terrain that sustains us. This major work of ecological philosophy startles the senses out of habitual ways of perception. For a thousand generations, human beings viewed themselves as part of the wider community of nature, and they carried on active relationships not only with other people with other animals, plants, and natural objects (including mountains, rivers, winds, and weather patters) that we have only lately come to think of as "inanimate." How, then, did humans come to sever their ancient reciprocity with the natural world? What will it take for us to recover a sustaining relation with the breathing earth? In The Spell of the Sensuous David Abram draws on sources as diverse as the philosophy of Merleau-Ponty, Balinese shamanism, Apache storytelling, and his own experience as an accomplished sleight-of-hand of magician to reveal the subtle dependence of human cognition on the natural environment. He explores the character of perception and excavates the sensual foundations of language, which--even at its most abstract--echoes the calls and cries of the earth. On every page of this lyrical work, Abram weaves his arguments with a passion, a precision, and an intellectual daring that recall such writers as Loren Eisleley, Annie Dillard, and Barry Lopez.
