419 research outputs found
Calibration of FX hybrid model with time-dependent parameters
No full textThis thesis captures the calibration of a FX hybrid model: The FX Black-Scholes Hull-White model. The main focus is on the calibration of the parameters in the Hull-White process: The mean reversion and the volatility parameter. The latter is commonly calibrated as a time-dependent parameter, whilst the mean reversion parameter is not. This thesis covers the calibration of the mean reversion as a time-dependent parameter. A known method from the Literature is researched, where we calibrate the mean reversion independently from the volatility parameter to the ratio of two swaptions with the same expiry but different tenor. In our research this method is extended to the negative interest rate environment by assuming that the swap rate follows a shifted lognormal distribution instead of a lognormal distribution. We show that a specific set of swaptions can be chosen, so that the calibration problem is simplified. This choice leads to sequential calibration of convex optimization problems. Numerical results of calibration to artificial and market data are presented, where we compare our method to picking the mean reversion parameter arbitrarily. The findings suggest that the choice of mean reversion parameter affects the calibration procedure. Therefore, we argue that a calibration method for the mean reversion would be appropriate. Besides the focus on the Hull-White process, the calibration of the volatility parameter in the FX Black-Scholes process of the hybrid model is investigated. For the calibration of the FX volatility parameter ATM options on FX rates are used. Numerical results of calibration to artificial and market data are shown. A typical problem of calibration in the industry is discussed: Precision for late maturities. The results in this thesis suggest that this problem could be solved. For research on homogeneity constraints on the time-dependent parameters, the performance of delta-hedging is investigated. The delta-hedging is performed in a simple Black-Scholes world with time-dependent volatility. We show that given a fixed amount hedges beforehand and interest rate zero, there exists an optimal distribution of time points that will lead to equal variance on the profit and loss for every volatility function that has equal implied volatility from t0 to maturity T. Using this strategy, the homogeneity of the volatility parameter has no impact on the performance of delta-hedging. Therefore, in this thesis no homogeneity constraints are used for the calibration of the time-dependent parameters.Applied Mathematic
FX: An RNA-seq analysis tool on the cloud
No full textSummary: FX is an RNA-Seq analysis tool, which runs in parallel on cloud computing infrastructure, for the estimation of gene expression levels and genomic variant calling. In the mapping of short RNA-Seq reads, FX uses a transcriptome-based reference primarily, generated from ~160 000 mRNA sequences from RefSeq, UCSC and Ensembl databases. This approach reduces the misalignment of reads originating from splicing junctions. Unmapped reads not aligned on known transcripts are then mapped on the human genome reference. FX allows analysis of RNA-Seq data on cloud computing infrastructures, supporting access through a user-friendly web interface. © The Author 2012. Published by Oxford University Press. All rights reserved
A Combined Design-Time/Test-Time Study of the Vulnerability of Sub-Threshold Devices to Low Voltage Fault Attacks
No full textThe continuous scaling of VLSI technology and the possibility to run circuits in subthreshold voltage range make it possible to implement standard cryptographic primitives within the very limited circuit and power budget of RFID devices. However, such cryptographic implementations raise concerns regarding their vulnerability to both active and passive side-channel attacks. In particular, when focusing on RFID targeted designs, it is important to evaluate their resistance against low cost physical attacks. A low cost fault injection attack can be mounted, for example, by lowering the supply voltage of the chip with the goal of causing setup time violations. In this paper, we provide an in-depth characterization of a chip implementation of the AES cipher. The chip has been designed using a 65nm low power standard cell library and operates in a subthreshold voltage range. We first show that it is possible to inject faults (through lowering the supply voltage) compliant with the fault models required to perform attacks against the AES cipher. We then investigate the possibility of predicting, at design time, which parts of the chip are more likely to be sensitive to such fault injection attacks and produce the desirable (from the point of view of the attacker) faulty behavior. Identifying such sensitive logic signals allows us to suggest to the designer a tailored countermeasure strategy for thwarting these attacks, with a minimal impact on the circuit’s performance
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FX Law and Regulations in Korea ::Problems and Prospects /
No full textIn FX Law and Regulations in Korea: Problems and Prospects , Min-woo Kang offers a comprehensive and thorough discussion of the FX regulatory system in Korea, with a special focus on its chronic problems and possible remedies under the overhauled legal system. The author has provided technical analysis on each provision of the complex Korean law, which is commonly accepted as too convoluted, even for legal professionals. Fully utilising a host of legal materials as well as documents in the relevant economic theory, Min-woo Kang convincingly provides the rationale for FX regulation and a robust argument for amending the current Korean law in a significant way. This piece sheds a light on the path Korean lawmakers and regulatory authorities will take. Academics and practitioners interested in the Korean FX law will find this a good reference
A brief history of the NPS Field Experimentation program: Spanning STAN, TNT and JIFX
No full textThe NPS Field Experimentation Program was initiated in FY02 to provide an opportunity for NPS faculty and students to evaluate new technologies from their research in a field environment. These efforts were continued and integrated to create a formal decade long cooperative field experimental effort with USSOCOM (S&T /J9 and SORDAC) that began in FY03 as STAN (Surveillance and Targeting Acquisition Network) and culminated as TNT (Tactical Network Topology) in 2013. After TNT, sponsorship of NPS FX transitioned to OSD (AT&L) and the Department of Homeland Security (DHS). The NPS Joint Interagency Field Experimentation (JIFX) program exists today to support the S&T needs of all of the COCOMs, interagency, and first responders. This technical report serves to briefly document the history of the NPS FX program from STAN through current day JIFX. This document reflects the opinions of the author and does not represent the official policy or position of the Naval Postgraduate School, the United States Navy, or any other government organization.Approved for public release; distribution is unlimited.Naval Postgraduate School, Monterey, CA 93943-500
WMR prediction using recurrent neural networks on FX limit order book data
No full textThis thesis investigates the application of machine learning models on foreign exchange data around the WM/R 4pm Closing Spot Rate (colloquially known as the WMR Fix). Due to the nature of the market dynamics around the WMR Fix, inefficiencies can occur and therefore some predictability might be expected. We aim to find these inefficiencies. This is done by applying machine learning models, specifically recurrent neural networks, on limit order book data of foreign exchange (FX). The focus will be on the Euro - US dollar exchange rate.Applied Mathematics | Financial Engineerin
Exponential convergence of coupled diffusion processes
No full textThe coupled diffusion process, which describes Brownian motors, is an important model in the physics related to biophenomena. We address the exponential convergence of the Markov semigroup of a coupled diffusion process, and show the spectral gap inequality and Log-Sobolev inequality by comparing them with those of related diffusion processes. At the end of the paper, we provide sufficient conditions for a coupled diffusion process to converge exponentially. (C) 2005 American Institute of Physics.http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000229749100036&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=8e1609b174ce4e31116a60747a720701Physics, MathematicalSCI(E)1ARTICLE6null4
PERANAN FRONT OFFICE DEPARTMENT DALAM MELAYANI TAMU DI HOTEL HARRIS SUITE FX SUDIRMAN
No full textFront Office department merupakan pemeran penting dalam kelancaran operasional hotel. Ialah tenaga kerja yang berada dibarisan paling depan dalam melayani dan menjamu tamu, peran seorang front office ialah sebagai wakil dari manajeman, pusat informasi sampai dengan pemecah masalah, memberikan pelayanan yang memuaskan kepada tamu menjadi tujuan utamanya. Tujuan dari tugas akhir ini dibuat adalah untuk mengetahui contoh nyata peranan bagian kantor depan dalam melayani tamu ketika ingin menginap,mengetahui kendala yang dihadapi dan juga cara penanganan masalah di Hotel Harris Suites Fx Sudirman. Penulis menggunakan metode deskriptif kualitatif untuk menjelaskan peranan bagian kantor depan khususnya di Hotel Harris Suites Fx Sudirman. Dengan teknik pengambilan data berupa observasi langsung di lapangan, wawancara dengan pihak manajer front office dan juga studi literatur berupa buku,jurnal dan website terkait.
Hasil dari tugas akhir ini disimpulkan bahwa peranan kantor bagian depan di Hotel Harris Suites Fx Sudirman ialah sebagai perwakilan dari manajemen hotel, menjadi sumber informsi seputar hotel dan juga yang terpenting dapat menjadi pemecah masalah yang baik, diiringi dengan memberikan pelayanan dengan konsep “Friendly” namun tetap mengedepankan keprofesionalan hotel untuk membangun citra yang positif.
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Front Office is an important role in operation of the hotel. Workers who are in the front row in serving and entertaining guests, the role of a front office is as a representative from management, information centers until as a problem solvers, providing satisfactory service to guests is the main goal. The purpose of this final project is to find out a real example of the role of the front office in serving guests when they want to stay, to know the obstacles faced, and also how to handle problems at the Harris Suites Hotel Fx Sudirman.The author uses a qualitative descriptive method to explain the role of the front office, especially at the Harris Suites Fx Sudirman Hotel. With data collection techniques in the form of direct observation in the field, interviews with front office managers, and also literature studies form books, journals, and related websites.The results of this final project concluded that the role of the front office at the Harris Suites Fx Sudirman Hotel is as a representative of hotel management, be a source of information about the hotel, and also most importantly as a good problem solver, accompanied by providing services with the concept of "Friendly" but still stronger prioritize the professionalism of the hotel to build a positive brand image
Fx Regimes, Fx Policies and Fx Risks: emerging markets perspective
No full textParlak, Deniz (Dogus Author)Due to increased capital movements and the development of information technologies, economics and finance have recently become an area of interest for everyone. This book provides information on selected topics related to economics and finance for anyone who is interested in economics and finance. In addition, theoretical knowledge is provided for the different subjects in academic studies. For this reason, this study, which consists of 22 chapters, has selected different topics on the agenda
Fucoxanthin promotes translocation and induction of glucose transporter 4 in skeletal muscles of diabetic/obese KK-Ay mice
No full textFucoxanthin (Fx) isolated from Undaria pinnatifida suppresses the development of hyperglycemia and hyperinsulinemia of diabetic/obese KK-Ay mice after two weeks of feeding 0.2% Fx-containing diet. In the soleus muscle of KK-Ay mice that were fed Fx, glucose transporter 4 (GLUT4) translocation to plasma membranes from cytosol was promoted. On the other hand, Fx increased GLUT4 expression levels in the extensor digitorum longus (EDL) muscle, although GLUT4 translocation tended to increase. The expression levels of insulin receptor (IR) mRNA and phosphorylation of Akt, which are in upstream of the insulin signaling pathway regulating GLUT4 translocation, were also enhanced in the soleus and EDL muscles of the mice fed Fx. Furthermore, Fx induced peroxisome proliferator activated receptor γ coactivator-1α (PGC-1α), which has been reported to increase GLUT4 expression, in both soleus and EDL muscles. These results suggest that in diabetic/obese KK-Ay mice, Fx improves hyperglycemia by activating the insulin signaling pathway, including GLUT4 translocation, and inducing GLUT4 expression in the soleus and EDL muscles, respectively, of diabetic/obese KK-Ay mice
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