1,720,958 research outputs found
Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes
Get PDFWe study the barrier that gives the optimal time to exercise an American
option written on a time-dependent Ornstein--Uhlenbeck process, a diffusion
often adopted by practitioners to model commodity prices and interest rates. By
framing the optimal exercise of the American option as a problem of optimal
stopping and relying on probabilistic arguments, we provide a non-linear
Volterra-type integral equation characterizing the exercise boundary, develop a
novel comparison argument to derive upper and lower bounds for such a boundary,
and prove its Lipschitz continuity in any closed interval that excludes the
expiration date and, thus, its differentiability almost everywhere. We
implement a Picard iteration algorithm to solve the Volterra integral equation
and show illustrative examples that shed light on the boundary's dependence on
the process's drift and volatility.Comment: 25 pages, 3 figure
Modelling a storage system of a wind farm with a ramp-rate limitation: a semi-Markov modulated Brownian bridge approach
Get PDFWe propose a new methodology to simulate the discounted penalty applied to a wind-farm operator by violating ramp-rate limitation policies. It is assumed that the operator manages a wind turbine plugged into a battery, which either provides or stores energy on demand to avoid ramp-up and ramp-down events. The battery stages, namely charging, discharging, or neutral, are modeled as a semi-Markov process. During each charging/discharging period, the energy stored/supplied is assumed to follow a modified Brownian bridge that depends on three parameters. We prove the validity of our methodology by testing the model on 10 years of real wind-power data and comparing real versus simulated results
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
Optimal Stopping of Gauss-Markov processes
Get PDFMención Internacional en el título de doctorIn this thesis we contribute to the optimal stopping theory literature, in the time-inhomogeneous
framework, by solving Optimal Stopping Problems (OSPs) related to Gauss–Markov (GM)
processes, both when they are non-degenerated, and when they are pinned to a deterministic
value at a terminal time. For pinned processes, we bypassed the challenge of their explosive
drifts by equating them to a time-space-transformed Brownian Motion (BM). For each OSP, we
characterized the free-boundary equation as the unique solution of a type-two Volterra integral
equation. The value functions were, then, expressed as an integral of the OSBs.
We used a solution methodology in the spirit of Peskir (2005). That is, a direct, probabilistic
approach that harvests sufficient smoothness of the value function and the Optimal Stopping
Boundary (OSB) to solve the associated free-boundary problem by using an extended Itô’s
lemma. In doing so, we proved the Lipschitz continuity of the OSB away from the horizon. This
result extends the technique in De Angelis and Stabile (2019) and blueprints a methodology to
obtain similar smoothness on other OSPs. Another highly customizable technique was the one
we employed to obtain the OSB’s boundedness. By comparing the non-degenerated GM process
and the Gauss Markov Bridge (GMB) with a BM and a Brownian Bridge (BB), respectively, we
found bounds for the OSBs of the former two processes from those of the latter two.
Two different fixed-point algorithms were presented and implemented to solve the freeboundary
equation. One based on backward induction (see Section 3.4) and one based on
the Picard iteration method (see Sections 2.5, 4.6, and 5.6). With the aid of these algorithms,
we illustrated the geometry of the OSB for different forms of the processes’ drift and volatility
(see Figures 2.1, 3.1, 4.1–4.3, and 5.2).
It is worth mentioning the statistical inference study we perform on the OSB in the BB
case (see Section 3.4), as this is not a typical subject addressed in optimal stopping theory,
and it is potentially extensible to tackle more general settings where likelihood theory is worked
out. Indeed, the methodology consists in using the asymptotic normality of the BB volatility’s
maximum-likelihood estimate to extend, by using the delta method, such property to the OSB
plugin estimator. This allowed us to provide (point-wise) confidence curves for the OSB.
We also offer a financial perspective of our work in Chapters 2 and 3, by linking the OSPs to
the problem of optimally exercising American options. Remarkably, in Section 3.5, we show the
competitiveness of the BB model against the geometric BM in this regard, when the option is
written on IBM’s and Apple’s stocks, and in the presence of the pinning-at-the-strike effect. In addition, the confidence curves computed in Section 3.4 provide traders with a mechanism to introduce
a risk-preference element.Programa de Doctorado en Ingeniería Matemática por la Universidad Carlos III de MadridPresidente: Franciso de Asís Torres Ruiz.- Secretaria: Rosa Elvira Lillo Rodríguez.- Vocal: Tiziano De Angeli
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