Download or read book The Fine Structure of Variance written by Nicole Branger and published by . This book was released on 2016 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze pricing models for VIX derivatives which account for the theoretical link to stock options, taking Log-VIX models as a benchmark. We focus on up to three risk factors to model variance risk. To assess the performance of the models, we do not only look at the pricing errors, but also at the level and dynamics of the VIX' risk-neutral moments which vary considerably over time. We find that both model classes, consistent- and Log-VIX models, can reproduce the empirical patterns if three risk factors are included. In both approaches, a stochastic central tendency is of first order importance to capture the term structure of VIX futures prices, i.e. the first moment of the risk-neutral distribution. A stochastic vol-of-vol then helps to match the prices of VIX options, i.e. the higher order moments. Finally, variance jumps add the finishing touches to the model performance. All in all, consistency comes at notable costs in-sample, while out-of-sample performances are close. We find that the main difference between both model classes is the ability to capture the second moment of the VIX risk-neutral distribution.
Download or read book Nonparametric Tests for Analyzing the Fine Structure of Price Fluctuations written by Rama Cont and published by . This book was released on 2014 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider a semimartingale model where (the logarithm of) an asset price is modeled as the sum of a Levy process and a general Brownian semimartingale. Using a nonparametric threshold estimator for the continuous component of the quadratic variation (integrated variance), we design a test for the presence of a continuous component in the price process and a test for establishing whether the jump component has finite or infinite variation based on observations on a discrete time grid. Using simulations of stochastic models commonly used in finance, we confirm the performance of our tests and compare them with analogous tests constructed using multipower variation estimators of integrated variance. Finally, we apply our tests to investigate the fine structure of the DM/USD exchange rate process and of SPX futures prices. In both cases, our tests reveal the presence of a non-zero Brownian component, combined with a finite variation jump component.
Download or read book Naval Research Reviews written by and published by . This book was released on 1980 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fourteenth Marcel Grossmann Meeting The On Recent Developments In Theoretical And Experimental General Relativity Astrophysics And Relativistic Field Theories Proceedings Of The Mg14 Meeting On General Relativity In 4 Parts written by Massimo Bianchi and published by World Scientific. This book was released on 2017-10-13 with total page 4784 pages. Available in PDF, EPUB and Kindle. Book excerpt: The four volumes of the proceedings of MG14 give a broad view of all aspects of gravitational physics and astrophysics, from mathematical issues to recent observations and experiments. The scientific program of the meeting included 35 morning plenary talks over 6 days, 6 evening popular talks and 100 parallel sessions on 84 topics over 4 afternoons.Volume A contains plenary and review talks ranging from the mathematical foundations of classical and quantum gravitational theories including recent developments in string theory, to precision tests of general relativity including progress towards the detection of gravitational waves, and from supernova cosmology to relativistic astrophysics, including topics such as gamma ray bursts, black hole physics both in our galaxy and in active galactic nuclei in other galaxies, and neutron star, pulsar and white dwarf astrophysics.The remaining volumes include parallel sessions which touch on dark matter, neutrinos, X-ray sources, astrophysical black holes, neutron stars, white dwarfs, binary systems, radiative transfer, accretion disks, quasars, gamma ray bursts, supernovas, alternative gravitational theories, perturbations of collapsed objects, analog models, black hole thermodynamics, numerical relativity, gravitational lensing, large scale structure, observational cosmology, early universe models and cosmic microwave background anisotropies, inhomogeneous cosmology, inflation, global structure, singularities, chaos, Einstein-Maxwell systems, wormholes, exact solutions of Einstein's equations, gravitational waves, gravitational wave detectors and data analysis, precision gravitational measurements, quantum gravity and loop quantum gravity, quantum cosmology, strings and branes, self-gravitating systems, gamma ray astronomy, cosmic rays and the history of general relativity.
Download or read book The Fine Structure of Velocity and Temperature Measured in the Laboratory and He Atmospheric Marine Boundary Layer written by Steven Olar McConnell and published by . This book was released on 1976 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Ocean Variability Acoustic Propagation written by J. Potter and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 599 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fifteen years ago NATO organised a conference entitled 'Ocean Acoustic Modelling'. Many of its participants were again present at this variability workshop. One such participant. in concluding his 1975 paper, quoted the following from a 1972 literature survey: ' ... history presents a sad lack of communications between acousticians and oceanographers' Have we done any better in the last 15 years? We believe so, but only moderately. There is still a massive underdeveloped potential for acousticians and oceanographers to make significant progress together. Currently, the two camps talk together insufficiently even to avoid simple misun derstandings. such as those in Table 1. Table 1 Ocsanographic and acoustic jargon (from an idea by Pol/ardi Jargon Oceanographic use Acoustic use dbordB decibar (depth in m) decibel (energy level) PE primitive equations parabolic equations convergence zone converging currents converging rays (downwelling water) (high energy density) front thermohaline front wave, ray or time front speed water current speed sound propagation speed 1 The list goes on.
Download or read book From Varying Couplings to Fundamental Physics written by Carlos Martins and published by Springer Science & Business Media. This book was released on 2011-05-27 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nature is characterized by a number of physical laws and fundamental dimensionless couplings. These determine the properties of our physical universe, from the size of atoms, cells and mountains to the ultimate fate of the universe as a whole. Yet it is rather remarkable how little we know about them. The constancy of physical laws is one of the cornerstones of the scientific research method, but for fundamental couplings this is an assumption with no other justification than a historical assumption. There is no 'theory of constants' describing their role in the underlying theories and how they relate to one another or how many of them are truly fundamental. Studying the behaviour of these quantities throughout the history of the universe is an effective way to probe fundamental physics. This explains why the ESA and ESO include varying fundamental constants among their key science drivers for the next generation of facilities. This symposium discussed the state-of-the-art in the field, as well as the key developments anticipated for the coming years.
Download or read book Journal of Physical Oceanography written by and published by . This book was released on 1997-05 with total page 1040 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Automatic Nonuniform Random Variate Generation written by Wolfgang Hörmann and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent concept of universal (also called automatic or black-box) random variate generation can only be found dispersed in the literature. Being unique in its overall organization, the book covers not only the mathematical and statistical theory but also deals with the implementation of such methods. All algorithms introduced in the book are designed for practical use in simulation and have been coded and made available by the authors. Examples of possible applications of the presented algorithms (including option pricing, VaR and Bayesian statistics) are presented at the end of the book.
Download or read book Methodological Variance written by G.L. Pandit and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 451 pages. Available in PDF, EPUB and Kindle. Book excerpt: For a philosopher with an abiding interest in the nature of objective knowledge systems in science, what could be more important than trying to think in terms of those very subjects of such knowledge to which men like Galileo, Newton, Max Planck, Einstein and others devoted their entire lifetimes? In certain respects, these systems and their structures may not be beyond the grasp of a linguistic conception of science, and scientific change, which men of science and philosophy have advocated in various forms in recent times. But certainly it is wrong-headed to think that one's conception of science can be based on an identification of its theories with languages in which they may be, my own alternatively, framed. There may be more than one place in book (1983: 87) where they may seem to get confused with each other, quite against my original intentiens. The distinction between the objec tive knowledge systems in science and the dynamic frameworks of the languages of the special individual sciences, in which their growth can be embedded in significant ways, assumes here, therefore, much impor tance. It must be recognized that the problems concerning scientific change, which these systems undergo, are not just problems concerning language change.
Download or read book Ontology Modality and Mind written by Alexander Carruth and published by Oxford University Press. This book was released on 2018-10-04 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores a range of traditional and contemporary metaphysical themes that figure in the writings of E. J. Lowe, whose powerful and influential work was still developing at the time of his death in 2015. During his forty-year career, he established himself as one of the world's leading philosophers, publishing eleven single-authored books and well over two hundred essays. His scholarship was strikingly broad, ranging from early modern philosophy to the interpretation of quantum mechanics. His most important and sustained contributions were to philosophy of mind, philosophical logic, and above all metaphysics. E. J. Lowe was committed to a systematic, realist, and scientifically informed neo-Aristotelean approach to philosophy. This volume presents a set of new essays by philosophers who share this commitment, addressing interrelated themes of his work. In particular, these papers focus upon three closely connected topics central not only to Lowe's work, but to contemporary metaphysics and philosophy of mind in general: ontology and categories of being; essence and modality, and the metaphysics of mental causation.
Download or read book Vogel and Motulsky s Human Genetics written by Michael Speicher and published by Springer Science & Business Media. This book was released on 2009-11-26 with total page 1006 pages. Available in PDF, EPUB and Kindle. Book excerpt: The fourth edition of this classical reference book can once again be relied upon to present a cohesive and up-to-date exposition of all aspects of human and medical genetics. Human genetics has become one of the main basic sciences in medicine, and molecular genetics is increasingly becoming a major part of this field. This new edition integrates a wealth of new information - mainly describing the influence of the "molecular revolution" - including the principles of epigenetic processes which together create the phenotype of a human being. Other revisions are an improved layout, sub-division into a larger number of chapters, as well as two-colour print throughout for ease of reference, and many of the figures are now in full colour. For graduates and those already working in medical genetics.
Download or read book Handbook of Behavioral Medicine written by Andrew Steptoe and published by Springer Science & Business Media. This book was released on 2010-09-27 with total page 1054 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavioral medicine emerged in the 1970s as the interdisciplinary field concerned with the integration of behavioral, psychosocial, and biomedical science knowledge relevant to the understanding of health and illness, and the application of this knowledge to prevention, diagnosis, treatment, and rehabilitation. Recent years have witnessed an enormous diversification of behavioral medicine, with new sciences (such as genetics, life course epidemiology) and new technologies (such as neuroimaging) coming into play. This book brings together such new developments by providing an up-to-date compendium of methods and applications drawn from the broad range of behavioral medicine research and practice. The book is divided into 10 sections that address key fields in behavioral medicine. Each section begins with one or two methodological or conceptual chapters, followed by contributions that address substantive topics within that field. Major health problems such as cardiovascular disease, cancer, HIV/AIDs, and obesity are explored from multiple perspectives. The aim is to present behavioral medicine as an integrative discipline, involving diverse methodologies and paradigms that converge on health and well being.
Download or read book Spectral Distributions in Nuclei and Statistical Spectroscopy written by V. K. B. Kota and published by World Scientific. This book was released on 2010 with total page 716 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book a first comprehensive review on statistical spectroscopy deals with two related yet distinct topics a" averages and fluctuations. While fluctuations have been dealt with in considerable detail in Porter's book entitled Statistical Theories of Spectra: Fluctuations and subsequent reviews and books there does not exist at present a similar treatise on averages. This unique volume is designed to fill this significant gap.The book begins with an introductory review and overview of the subject of spectral distributions initiated by J Bruce French in the 60's followed by a collection of original papers which continue to give new insight on average properties of spectra. The purpose is to highlight the considerable advancements made in the application of statistical spectroscopy to nuclear structure and to encourage new directions in random matrix theory many-body chaos and statistical mechanics of finite quantum systems such as nuclei atoms molecules quantum dots etc.Along with Wong's book entitled Nuclear Statistical Spectroscopy this volume would be useful to a reader looking for a thorough introduction to the subject as well as to the specialist contemplating new applications. Finally with most of the material available in one place this book would be ideal in the design of graduate courses in statistical spectroscopy suited to specific needs.
Download or read book The Fine Structure of Algal Cells written by John D. Dodge and published by Elsevier. This book was released on 2012-12-02 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Fine Structure of Algal Cells is a hybrid between a review and a comprehensive descriptive work on fine structure of algae. Such fine structural data are important for any consideration of the classification of algae and for attempting to analyze their phylogenetic relationships. Fine-structure has provided many vital keys to the understanding of the interrelationships and phylogeny of the algae. Notably, the trend in algal fine structure work is toward use of electron microscopy to try to understand the functions of cells and organelles under both normal and experimental conditions. This book brings together information which has been gathered by electron microscopists. It considers 13 classes of algae: Chlorophyceae, Haptophyceae, Prasinophyceae, Bacillariophyceae, Chloromonadophyceae, Phaeophyceae, Euglenophyceae, Dinophyceae, Eustigmatophyceae, Cryptophyceae, Xanthophyceae, Rhodophyceae, and Chrysophyceae. It covers the main structural features of the various classes and the organelles present in typical cells. The book also describes the algal cell covering, flagella, pyrenoid, eyespot, nucleus, and ejectile organelles,as well as membranes, envelope, and stroma of algal chloroplasts. Lastly, it also explains the algal cell division. This book will help students visualize and compare algal structure, and at the same time provide enough references so that research workers can enter the literature to find out more precise details from the original sources.
Download or read book The Fine Structure of Asset Returns Jumps and Stochastic Volatility written by . Jung-Suk Yu and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: The various models have been built upon pioneering work of Robert F. Engle (2003) and Robert C. Merton (1997) for methods of analyzing economic time series with time-varying volatility and a new method to determine the value of derivatives, respectively. This book fills the gaps which Harry M. Markowitz's (1990) mean-variance analysis fails to capture. Especially, this book investigates dynamic processes of asset returns, volatility, and jumps which are time-varying and stochastic in discrete- and continuous-time settings. I demonstrate that these additional computational and modeling efforts provide us with significant benefits to better capture actual financial time-series data and to reduce option pricing errors. If we only consider mean and variance as in Markowitz, most likely we may not fully appreciate recent advances in risk managements, investments, and derivatives pricing since many researchers recognize the importance of economic and statistical roles of skewness and kurtosis. To better explain well-known skewness and excess kurtosis of financial time-series returns, I employ asymmetric fat-tailed distributions such as Hansen's skewed t-distribution and Levy jump models.
Download or read book Publications Abstracts written by Environmental Research Laboratories (U.S.) and published by . This book was released on 1991 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
