120 research outputs found
Pricing of call options on foreign exchange
Get PDFThesis (M.S.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1994.Includes bibliographical references (leaves [1]-2).by Alireza Javaheri.M.S
Temperature affects the silicate morphology in a diatom
No full textTemperature affects the silicate morphology in a diatom Javaheri, N.; Dries, R.M.; Burson, A.M.; Stal, L.J.; Sloot, P.M.A.; Kaandorp, J.A. Published in: Scientific Reports DOI: 10.1038/srep11652 Link to publication Citation for published version (APA): Javaheri, N., Dries, R., Burson, A., Stal, L. J., Sloot, P. M. A., & Kaandorp, J. A. (2015). Temperature affects the silicate morphology in a diatom. Scientific Reports, 5, [11652]. https://doi.org/10.1038/srep11652 General rights It is not permitted to download or to forward/distribute the text or part of it without the consent of the author(s) and/or copyright holder(s), other than for strictly personal, individual use, unless the work is under an open content license (like Creative Commons). Disclaimer/Complaints regulations If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library: https://uba.uva.nl/en/contact, or a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible. , and 23 °C ). We observed three distinct temperature-dependent growth phases. The morphology of silica was investigated using scanning electron microscopy followed by image analysis and supervised learning. The silica in the valves of the same species showed different structures: a mesh-like pattern in silicon-rich cultures and a treelike pattern in silicon-limited cultures. Moreover, temperature affected this silica pattern, especially in silicon-limited cultures. We conclude that cells grown at 14 °C and 18 °C divide more successfully in Si-limited conditions by developing a tree-like pattern (lower silicification)
Filtering in Finance.
Get PDFIn this article we present an introduction to various Filtering algorithms and some of their applications to the world of Quantitative Finance. We shall first mention the fundamental case of Gaussian noises where we obtain the well-known Kalman Filter. Because of common nonlinearities, we will be discussing the Extended Kalman Filter.Commodity Prices; Term Structure; Stock Prices; Kalman Filter;
Le processus de volatilité : une étude de la dynamique des marchés financiers via des modèles stochastiques paramétriques de volatilité et une comparaison de l'information portée par les prix d'options
No full textIt is widely accepted today that an assumption of a constant standard-deviation for the stock-return is not realistic. Indeed the traditional Samuelson-Black-Scholes framework of a lognormal distribution fails to explain the existence of leptokurticity (fat tails) as well as the asymmetry (negative skew) observed in the stock-return distribution.Many different theories have been recently suggested to deal with this phenomenon, but they could all be classified under the title of Stochastic Volatility (SV). Popular SV models include GARCH, Jump-Diffusion, Heston and the Variance-Gamma models. Most of them use either Gaussian innovations with Poisson jumps or other Levy distributions such as Gamma or Ornstein-Uhlenbeck.One of the main difficulties while working with an SV model is that the actual instantaneous volatility is not observable in the market and therefore needs to be modeled as a hidden state.This means that in order to calibrate a model to the stock market, one needs to use a usually nonlinear and/ or non-Gaussian Filter. An alternative would be to use a Bayesian Markov-Chain Monte-Carlo approach. This calibration will then provide us with an estimation of the statistical (or real-world) distribution of the stock-return.This thesis focuses on Nonlinear and Non-Gaussian Filtering as well as the comparison between the Statistical and Risk-Neutral distributions.Il est bien connu que l'hypothèse d'une volatilité constante pour le rendement des prix d'actions est insuffisante. En effet le cadre traditionnel de Samuelson-Black-Scholes ne pourrait pas expliquer l'asymétrie de la distribution ou sa leptokurticité. Plusieurs théories ont été proposées pour expliquer ces phénomènes, mais elles pourraient toutes être considérées comme faisant partie de la théorie de la volatilité stochastique. Ces modèles incluent Heston, GARCH, Variance-Gamma et utilisent des mouvements Browniens ainsi que des sauts de Poisson ou Lévy.Une des difficultés principales de la volatilité est qu'elle n'est pas directement observable. Par conséquent, pour estimer les paramètres du modèle, on a besoin du filtrage non-linéaire. On pourrait également utiliser des méthodes Bayesiennes comme les Chaînes de Markov Monte-Carlo.Cette thèse est centrée sur les filtrages non-Gaussiens de même que sur la comparaison des distributions obtenues dans le monde réel avec celles obtenues dans le cadre risque-neutre
Spontaneous Imbibition and Imbibition Oil Recovery in Tight Rocks
Get PDFAdvances in the development of unconventional resources have led to a surge in North American oil production. For example, tight oil production has pushed the U.S. crude supply to over 9% of world total production. Therefore, petrophysical characterization of such low-permeability rocks, has become increasingly important for petroleum engineers. Properties such as porosity, permeability, pore throat size, and wettability are of high importance for evaluating production from tight oil formations. This study has two parts. In first part, we measure and analyze spontaneous imbibition of water and oil into five twin core plugs drilled from the cores of a well drilled in the Montney Formation, an unconventional oil and gas play in Western Canadian Sedimentary Basin (WCSB). We characterize the samples by measuring the mineralogy using XRD (x-ray diffraction), total organic carbon content, porosity, and permeability. In order to quantify wettability of the core plugs, we define two wettability indices for the oil phase based on the slope and equilibrium values of water and oil imbibition curves. We observe that the two indices decrease by increasing neutron porosity and gamma ray parameters measured by wireline logging tools. Our results demonstrate that porosity is a key parameter controlling the fluid uptake of tight rock core samples from the Montney formation. Furthermore, we propose a decoupling scheme for pore-network characterization of core plugs based on their porosity and permeability
Prevalence and etiologies of macrosomia and low birth weight in 1000 neonates at Javaheri hospital in Tehran
No full textBackground and aimLow birth weight is one of the important problems in many societies especially developing ones. The survival rate of infants has a direct relationship with their birth weight. The aim of This cross-sectional study was to determine the prevalence and etiologies of Prevalence and etiologies of macrosomia and low birth weight in 1000 neonates of low birth weight (LBW) as well as macrosomia and their possible etiologies. Materials and methods1000 neonates were sequentially selected by nonrandom sampling method over 6 months in 2006 at Javaheri hospital in Tehran. By reviewing their medical records, the birth weight of the subjects and other variables of the study were assessed. Independent T and Qui-square tests were used for data analysis. FindingsIn this study cross sectional- study mean weigh of the neonates was 2957±910 gr. 7% of the subjects suffered from low birth weight (mean=2371±260) and 3% had macrosomia (mean=4247±240). A significant relationship was found between birth weight and gestational age of the neonates. 10% of mothers having neonates with macrosomia had gestational diabetes. The etiology of macrosomia was not known in most cases. The most common causes of low birth weight included premature rupture of membranes, twin gestation, fetal distress and maternal conditions. ConclusionAppropriate gestational care, risk factor detection before pregnancy and improvement of quantity as well as quality of maternal child health services can reduce the number of low- birth-weight infants. Keywords: Macrosomia, Low birth weight, Prevalence, Etiology. *Corresponding Author: Dr. Masoomeh, Hematyar. Islamic Azad University, College of Medicine, Tehran, Iran. E-mail: [email protected]
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS
No full textWe derive a partial integro differential equation (PIDE) which relates the price of a calendar spread to the prices of butterfly spreads and the functions describing the evolution of the process. These evolution functions are the forward local variance rate and a new concept called the forward local default arrival rate. We then specialize to the case where the only jump which can occur reduces the underlying stock price by a fixed fraction of its pre-jump value. This is a standard assumption when valuing an option written on a stock which can default. We discuss novel strategies for calibrating to a term and strike structure of European options prices. In particular using a few calendar dates, we derive closed form expressions for both the local variance and the local default arrival rate.Credit risk, default risk, forward equations, jump diffusion
Slow-moving Landslide Detection in Lombardy: Integration of InSAR-derived EGMS and Geomorphological Surface Parameters
Get PDFLAUREA MAGISTRALEIl territorio italiano è fortemente colpito da fenomeni di instabilità del suolo, in particolare la regione Lombardia nel nord Italia è altamente suscettibile a frane indotte dalla gravità, dove sono attualmente registrate oltre 144.000 frane per un'area di circa 4.000 km2. Le grandi frane e le deformazioni gravitative dei pendii profondi rappresentano un significativo rischio geologico per la distorsione di strutture principali e infrastrutture, insieme al potenziale per frane successive. Pertanto, lo studio dei modelli di movimento delle frane in questa regione è cruciale per approfondire la comprensione dei meccanismi delle frane e ridurre i rischi associati. L'area di studio di questa ricerca è la regione Lombardia, con un focus su alcuni settori critici e comuni all'interno di questa regione. L'obiettivo di questo studio è sviluppare un approccio utilizzando i dati del servizio europeo per i movimenti del terreno (EGMS), che forniscono informazioni sulle deformazioni del terreno acquisite mediante elaborazione radar satellitare interferometrica sintetica a multi-tempo (MT-InSAR) delle immagini SAR Sentinel-1, accompagnati da parametri geomorfologici di superficie quali pendenza ed esposizione, al fine di individuare instabilità del pendio inclini a trasformarsi in frane, insieme all'aggiornamento dello stato di attività di quelle già riconosciute in anticipo secondo la mappa degli eventi franosi fornita da ISPRA, come nel progetto IFFI. Questa metodologia è stata sviluppata basandosi sulla correlazione di tutte le velocità medie di spostamento dei punti di misura EGMS posizionati all'interno dei poligoni di DGPV attivi e un indice ottenuto mediante la moltiplicazione dei due elementi geometrici di superficie; ovvero pendenza ed esposizione. L'applicazione di questa analisi su differenti casi ha portato all'identificazione di alcune porzioni di aree DGPV come possibili frane attive e all'aggiornamento dei loro stati di attività, è importante menzionare che in questo lavoro sono state individuate alcune piccole ed estese porzioni che probabilmente diventeranno frane, dove non erano state identificate da IFFI. Inoltre, è stata introdotta una zonizzazione generale in termini di suscettibilità sia per lo spostamento orizzontale che verticale, portando alla generazione di una mappa di suscettibilità alle frane caratterizzata da zone sicure, moderate e critiche per un'area estesa, fornendo una visione d'insieme dell'intera area in termini di suscettibilità, che svolge un ruolo chiave nelle attività di prevenzione e mitigazione dei rischi.The Italian territory is strongly affected by ground instability phenomena particularly the Lombardy region in northern Italy which is highly susceptible to gravity-induced landslides where over 144,000 landslides are currently registered for an area of approximately 4,000 km2. Large landslides and deep-seated gravitational slope deformations (DSGSD) pose a significant geohazard concerning the distortion of major structures and infrastructure, alongside the potential for subsequent landslides. Therefore, studying the movement patterns of landslides in this region is crucial for gaining a deeper understanding of landslide mechanisms and reducing associated risks. The study area in this research is the Lombardy region along with focusing on some critical sectors and municipalities within this region. The aim of this study is to develop an approach using European Ground Motion Service (EGMS) datasets providing information on ground deformations acquired by Multi-Temporal Interferometric Synthetic Aperture Radar (MT-InSAR) processing of Sentinel-1 SAR images accompanied by geomorphological surface parameters which in this case are slope and aspect in order to detect slope instabilities prone to turn into landslide along with updating the state of activities of those which are recognized in advance according to the landslide inventory map provided by ISPRA as in the IFFI project. This methodology is developed based on the correlation of all mean displacement velocity of EGMS measurement points which are placed within the active DSGSD polygons and an index obtained through the multiplication of the two geometrical surface elements; i.e. slope and aspect. The application of this analysis over different cases resulted in the identification of some portions of DSGSD areas as possible active landslide and updating their states of activity and it is worth mentioning that some small and extensive portions which are likely to become landslide have been detected in this work where they were not identified in IFFI. In addition, a general zonation in terms of susceptibility has been introduced both for horizontal and vertical displacement leading to the generation of landslide susceptibility map which is characterized as safe, moderate and critical zones for an extensive area which provides an overlook of the whole area in terms of susceptibility which plays a key role in risk prevention and mitigation activities
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