Download or read book The Pricing of Jump Propagation written by Du Du and published by . This book was released on 2017 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the joint time series of the S&P500 index and its options with a two-factor Hawkes jump-diffusion model that captures jump propagation (i.e., the phenomenon in which the strike of one jump substantially raises the probability for more to follow). The propagation effect uncovered from the joint data is severe but short-lived. On average, this component takes up more than two-thirds of the total jump risks. Our jump specification proves crucial not only in reconciling the dynamics implied from the joint data but also in explaining the time series of option-implied volatility skew.
Download or read book Asset Pricing Under Uncertainty about Shock Propagation written by and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the equilibrium in a two-tree (sector) economy with two regimes. The output of each tree is driven by a jump-diffusion process, and a downward jump in one sector of the economy can (but need not) trigger a shift to a regime where the likelihood of future jumps is generally higher. Furthermore, the true regime is unobservable, so that the representative Epstein-Zin investor has to extract the probability of being in a certain regime from the data. These two channels help us to match the stylized facts of countercyclical and excessive return volatilities and correlations between sectors. Moreover, the model reproduces the predictability of stock returns in the data without generating consumption growth predictability. The uncertainty about the state also reduces the slope of the term structure of equity. We document that heterogeneity between the two sectors with respect to shock propagation risk can lead to highly persistent aggregate price-dividend ratios. Finally, the possibility of jumps in one sector triggering higher overall jump probabilities boosts jump risk premia while uncertainty about the regime is the reason for sizeable diffusive risk premia.
Download or read book Statistical Inference for Piecewise deterministic Markov Processes written by Romain Azais and published by John Wiley & Sons. This book was released on 2018-07-30 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Piecewise-deterministic Markov processes form a class of stochastic models with a sizeable scope of applications: biology, insurance, neuroscience, networks, finance... Such processes are defined by a deterministic motion punctuated by random jumps at random times, and offer simple yet challenging models to study. Nevertheless, the issue of statistical estimation of the parameters ruling the jump mechanism is far from trivial. Responding to new developments in the field as well as to current research interests and needs, Statistical inference for piecewise-deterministic Markov processes offers a detailed and comprehensive survey of state-of-the-art results. It covers a wide range of general processes as well as applied models. The present book also dwells on statistics in the context of Markov chains, since piecewise-deterministic Markov processes are characterized by an embedded Markov chain corresponding to the position of the process right after the jumps.
Download or read book Proceedings written by and published by . This book was released on 1999 with total page 838 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Molecular Excitation Dynamics and Relaxation written by Leonas Valkunas and published by John Wiley & Sons. This book was released on 2013-10-04 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work brings together quantum theory and spectroscopy to convey excitation processes to advanced students and specialists wishing to conduct research and understand the entire fi eld rather than just single aspects. Written by experienced authors and recognized authorities in the field, this text covers numerous applications and offers examples taken from different disciplines. As a result, spectroscopists, molecular physicists, physical chemists, and biophysicists will all fi nd this a must-have for their research. Also suitable as supplementary reading in graduate level courses.
Download or read book Proceedings of the American Society for Composites 2014 Twenty ninth Technical Conference on Composite Materials written by Hyonny Kim and published by DEStech Publications, Inc. This book was released on 2014-09-17 with total page 3583 pages. Available in PDF, EPUB and Kindle. Book excerpt: New and not previously published U.S. and international research on composite and nanocomposite materialsFocus on health monitoring/diagnosis, multifunctionality, self-healing, crashworthiness, integrated computational materials engineering (ICME), and moreApplications to aircraft, armor, bridges, ships, and civil structures This fully searchable CD-ROM contains 270 original research papers on all phases of composite materials, presented by specialists from universities, NASA and private corporations such as Boeing. The document is divided into the following sections: Aviation Safety and Aircraft Structures; Armor and Protection; Multifunctional Composites; Effects of Defects; Out of Autoclave Processing; Sustainable Processing; Design and Manufacturing; Stability and Postbuckling; Crashworthiness; Impact and Dynamic Response; Natural, Biobased and Green; Integrated Computational Materials Engineering (ICME); Structural Optimization; Uncertainty Quantification; NDE and SHM Monitoring; Progressive Damage Modeling; Molecular Modeling; Marine Composites; Simulation Tools; Interlaminar Properties; Civil Structures; Textiles. The CD-ROM displays figures and illustrations in articles in full color along with a title screen and main menu screen. Each user can link to all papers from the Table of Contents and Author Index and also link to papers and front matter by using the global bookmarks which allow navigation of the entire CD-ROM from every article. Search features on the CD-ROM can be by full text including all key words, article title, author name, and session title. The CD-ROM has Autorun feature for Windows 2000 or higher products and can also be used with Macintosh computers. The CD includes the program for Adobe Acrobat Reader with Search 11.0. One year of technical support is included with your purchase of this product.
Download or read book Zero Waste Biorefinery written by Yogalakshmi Kadapakkam Nandabalan and published by Springer Nature. This book was released on 2022-01-12 with total page 595 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a compilation of process, technologies and value added products such as high value biochemicals and biofuels produced from different waste biorefineries. The book is sectioned into four categories providing a comprehensive outlook about zero waste biorefinery and technologies associated with it. The emerging technologies that potentially put back the lignocellulosic waste, municipal solid waste and food waste into intrinsic recycling for production of high value biochemicals and bioenergy, along with associated challenges and opportunities are also included. The content also focuses on algal biorefineries leading to sustainable circular economy through production of broad spectrum of bioactive compounds, bioethanol, biobutanol, biohydrogen, biodiesel through integrated biorefinery approach. The volume also includes chapters on conversion technologies and mathematical models applied for process optimization. A sound foundation about the underlying principles of biorefineries and a up-to-date state-of-the-art based overview on the latest advances in terms of scientific knowledge, techno-economic developments and life cycle assessment methodologies of integrated waste biorefinery is provided. This volume will be of great interest to professionals, post-graduate students and policy makers involved in waste management, biorefineries, circular economy and sustainable development.
Download or read book Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Download or read book Advances in Communication Networking written by Thomas Bauschert and published by Springer. This book was released on 2013-08-28 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 19th EUNICE/IFIP WG 6.2, 6.6 workshop on Advances in Communication Networking, EUNICE 2013, held in Chemnitz, Germany, in August 2013. The 23 oral papers demonstrated together with 9 poster presentations were carefully reviewed and selected from 40 submissions. The papers are organized in topical sections on network modeling and design, traffic analysis, network and traffic management, services over mobile networks, monitoring and measurement, security concepts, application of ICT in smart grid and smart home environments, data dissemination in ad-hoc and sensor networks, and services and applications.
Download or read book Basket Options Pricing for Jump Diffusion Models written by Guoping Xu and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Some Aspects of the Structure and Evolution of Oceanic Spreading Centers written by David William Caress and published by . This book was released on 1989 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Biological Psychology written by Stephen B. Klein and published by Macmillan. This book was released on 2006-10-03 with total page 728 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a comprehensive and up-to-date presentation of the processes by which biological systems, most notably the nervous system, affect behaviour. A fantastic art program, an applauded accessible writing style and a host of pedagogical features make the text relevant to the lives of the students taking biological psychology.
Download or read book Nuclear Science Abstracts written by and published by . This book was released on 1973 with total page 1256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Supercomputing written by Vladimir Voevodin and published by Springer. This book was released on 2017-11-14 with total page 543 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the Third Russian Supercomputing Days, RuSCDays 2017, held in Moscow, Russia, in September 2017. The 41 revised full papers and one revised short paper presented were carefully reviewed and selected from 120 submissions. The papers are organized in topical sections on parallel algorithms; supercomputer simulation; high performance architectures, tools and technologies.
Download or read book Essential Medical Physiology written by Leonard R. Johnson and published by Academic Press. This book was released on 2003-09-18 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: Textbook covering the principal subjects in a modern medical school physiology course.
Download or read book Biomechanical Aspects of Soft Tissues written by Benjamin Loret and published by CRC Press. This book was released on 2017-05-08 with total page 875 pages. Available in PDF, EPUB and Kindle. Book excerpt: Biomechanics applies the laws and techniques of mechanics in the study of biological systems and related phenomena. Biomechanics uses mathematical and computational tools such as model construction of musclo-skeletal system, body fluid circulation, to aid medical diagnosis, therapeutics and surgery planning, designing of prostheses and implants or in tissue engineering. Present book targets specific topics pertaining to the biomechanics of soft tissues. Subjects addressed includes solids and multi-species mixtures as open systems: a continuum mechanics perspective; electro-chemo-mechanical couplings: tissues with a fixed electric charge and growth of biological tissues.
Download or read book Numerical Simulation and Experimental Investigation of the Fracture Behaviour of an Electron Beam Welded Steel Joint written by Haoyun Tu and published by Springer. This book was released on 2017-10-12 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, the author investigates experimentally and numericallythe fracture behavior of an electron beam welded joint made fromtwo butt S355 plates. The 2D Rousselier model, the Gurson-Tvergaard-Needleman (GTN) model and the cohesive zone model (CZM) wereadopted to predict the crack propagation of thick compact tension (CT)specimens. Advantages and disadvantages of the three mentioned modelsare discussed. The cohesive zone model is suggested as it is easy to usefor scientists & engineers because the CZM has less model parametersand can be used to simulate arbitrary crack propagation. The resultsshown in this thesis help to evaluate the fracture behavior of a metallicmaterial. A 3D optical deformation measurement system (ARAMIS) andthe synchrotron radiation-computed laminography (SRCL) techniquereveal for the first time the damage evolution on the surface of the sampleand inside a thin sheet specimen obtained from steel S355. Damageevolution by void initiation, growth and coalescence are visualized in2D and 3D laminographic images. Two fracture types, i.e., a flat crackpropagation originated from void initiation, growth and coalescenceand a shear coalescence mechanism are visualized in 2D and 3D imagesof laminographic data, showing the complexity of real fracture. Inthe dissertation, the 3D Rousselier model is applied for the first timesuccessfully to predict different microcrack shapes before shear cracksarise by defining the finite elements in front of the initial notch withinhomogeneous f0-values. The influence of the distribution of inclusionson the fracture shape is also discussed. For the analyzed material, ahomogeneous distribution of particles in the material provides thehighest resistance to fracture.
