170,035 research outputs found
Dean O. Morton, March 21, 1932 - February 16, 2025
No full textDean O. Morton died peacefully with loved ones at his side in Palo Alto, CA on February 16, 2025. He was 92. Dean had worked at Hewlett-Packard in Palo Alto until his retirement in October 1992
A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models
No full textResearch on the Heath-Jarrow-Morton (1992) term structure models so far has focused on the class having time-deterministic instantaneous forward rate volatility. In this case the forward rate is Markovian, even if the spot rate process is not. However, this Markovian feature can only be used under the historical measure, involving two unsatisfactory assumptions: one on market price risk, usually made for pure mathematical tractability, the other to use futures yields as a proxy for the instantaneous forward rate, which may result in estimation bias. This paper circumvents both of these assumptions. First, the bias is quantified and shown to be non-negligible. Then futures contracts are treated as derivative instruments written on forward rates to derive the full information maximum likelihood estimator for observable futures prices, using both time series and cross-sectional data, without the need to assume and estimate any functional forms for the market price of interest rate risk. The derivation involves the likelihood transformation method of Duan (1994). The method is then applied to the estimation of a humped forward rate volatility model for Eurodollar futures series traded on the Chicago Mercantile Exchange.term structure; heath-jarrow-morton; time-deterministic forward volatility; humped forward volatility model; full information maximum likelihood
Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model
No full textIn this paper, a class of forward rate dependent Markovian transformations of the Heth-Jarrow-Morton [HJM92] term structure model are obtained by considering volatility processes that are solutions of linear ordinary differential equations. These transformations generalise the Markovian system obtained by Carverhill [Car94], Ritchken and Sankarasubramanian [RS95], Bhar and Chiarella [BC97], and Inui and Kijima [IK98], and also generalise the bond price formulae obtained therin.
Minimizing associativity conflicts in Morton layout
No full textHierarchically-blocked non-linear storage layouts, such as the Morton ordering, have been shown to be a potentially attractive compromise between row-major and column-major for two-dimensional arrays. When combined with appropriate optimizations, Morton layout offers some spatial locality whether traversed row- or column-wise. However, for linear algebra routines with larger problem sizes, the layout shows diminishing returns. It is our hypothesis that associativity conflicts between Morton blocks cause this behavior and we show that carefully arranging the Morton blocks can minimize this effect. We explore one such arrangement and report our preliminary results
A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility
No full textThis paper considers a class of Heath-Jarrow-Morton term structure models with stochastic volatility. These models admit transformations to Markovian systems, and consequently lend themselves to well-established solution techniques for the bond and bond option prices. Solutions for certain special cases are obtained, and compared against their non-stochastic counterparts.
Is Morton layout competitive for large two-dimensional arrays yet
No full textTwo-dimensional arrays are generally arranged in memory in row-major order or column-major order. Traversing a row-major array in column-major order, or vice versa, leads to poor spatial locality. With large arrays the performance loss can be a factor of 10 or more. This paper explores the Morton storage layout, which has substantial spatial locality whether traversed in row-major or column-major order. Using a small suite of dense kernels working on two-dimensional arrays, we have carried out an extensive study of the impact of poor array layout and of whether Morton layout can offer an attractive compromise. We show that Morton layout can lead to better performance than the worse of the two canonical layouts; however, the performance of Morton layout compared to the better choice of canonical layout is often disappointing. We further study one simple improvement of the basic Morton scheme: we show that choosing the correct alignment for the base address of an array in Morton layout can sometimes significantly improve the competitiveness of this layout
Morton, O P, 409727
No full textThis record was harvested from a previous catalogue system and will be withdrawn in 2025. Information in this record may be superseded or incomplete. Visit this record in UMA's new catalogue at: https://archives.library.unimelb.edu.au/nodes/view/406361Surname: MORTON. Given Name(s) or Initials: O P. Military Service Number or Last Known Location: 409727. Missing, Wounded and Prisoner of War Enquiry Card Index Number: 49309.247541
Item: [2016.0049.38638] "Morton, O P, 409727
Entrevista com o Filósofo Timothy Morton
No full textHoje tenho o prazer de receber aqui o filósofo Timothy Morton. Timothy Morton é professor na Rice University em Houston, EUA. Ele escreveu mais de quinze livros, como por exemplo: "Hyperobjects: philosophy and ecology after the end of the world”, “Dark ecology”, “Being ecological”, “Ecology without nature” e muitos outros ótimos livros. Ele escreveu mais de 200 ensaios sobre filosofia, ecologia, literatura, música, arte, arquitetura, design e alimentação. Além disso, a obra de Morton foi traduzida em 10 idiomas. Hoje vamos discutir muitas coisas, especialmente a interessante relação entre a Filosofia e a Ecologia. Professor Morton, muito obrigado por aceitar meu convite
Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines
No full textWe consider the pricing of American bond options in a Heath-Jarrow-Morton framework in which the forward rate volatility is a function of time to maturity and the instantaneous spot rate of interest. We have shown in Chiarella and El-Hassan (1996) that the resulting pricing partial differential operators are two dimensional in the spatial variables. In this paper we investigate an efficientnumerical method to solve there partial differential equations for American option prices and the corresponding free exercise surface. We consider in particular the method of lines which other investigators (eg Carr and Faguet (1994) and Van der Hoek and Meyer (1997)) have found to be efficient for American option pricing when there is one spatial variable. In extending this method for the two dimensional case, we solve the pricing equation by discretising the time variable and one state varialbe and using the spot rate of interest as a continuous variable. We compare our method with the lattice method of Li, Ritchken and Sankarasubramanian (1995).
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