1,721,278 research outputs found
Option Pricing in Lévy-driven Stock Models
No full textLAUREA SPECIALISTICAIn questo lavoro presenteremo una particolare classe di processi di Lévy, che possono essere usati per elaborare un'estensione del modello di mercato dato da Black e Scholes attreverso il moto Browniano: i processi alpha-stable e la loro variante con modulazione esponenziale (tempered stable processes). In particolare concentreremo la nostra attenzione sui processi CGMY presentati da Carr, Géman, Madan and Yor. Per questo particolare tipo di processo stocastico studieremo diversi tipi di rappresentazione (rappresentatzione attraverso un processo di tipo compound poisson, rappresentazione in serie and subordinazione Browniana) e useremo queste raperentazioni nell'ambito del pricing di opzioni vanilla e path dependent attraverso simulazioni Monte Carlo.
Infine cercheremo di migliorare i metodi di pricing ottenuti usando l'importance sampling. Utilizando un cambio di misura adatto è possibile utilizzare un modello basato su un processo tempered stable, evitando però di campionare direttamente dalla sua distribuzione, ma piuttosto da quella di un più semplice processo alpha-stable. In questo modo è possibile rendere l'operazione di pricing molto piu veloce a parità di accuratezza.In this work we will present a particular class of Lévy process, which can be
used in nancial modeling as an extension of the Black and Scholes setting based
on the Brownian motion: alpha -stable processes and their variation with exponential
tilting (tempered stable processes). In particular we will focus our attention
on the CGMY processes presented by Carr, Géman, Madan and Yor. For this
particular process we will study di erent kind of representation (compound
poisson representation, series representation and Brownian subordination) and
we will use these to price vanilla and path dependent options via Monte Carlo
simulations. Finally we will try to improve the pricing methods using importance
sampling. Choosing a suitable change of measure, it is possible to use a
tempered stable process, without sampling directly from its distribution, but
from one of an easier stable process. In this way the pricing becomes less time
consuming with the same accuracy
Maximising Product Possibilities While Minimising Process Change: A Case of Introducing Light Weight Material in Automotive Manufacturing
No full textAbstractCompanies are challenged to achieve maximised benefits in time, money and novelty when introducing new products or technologies into their existing manufacturing systems. This paper set the focus on the introduction of new materials into existing products and if the adverse effects on manufacturing will outweigh the benefits. An automotive case was studied where discrete event simulation was used as tool to evaluate process consequences when introducing new material and process technologies into the production system. The question concerned if discrete event simulation can verify production system capabilities even in early conceptual design stages. The case analysis is concluded by three challenge areas concerning early stages of production system design. The difficulties of evaluating operational key performance indicators early in design processes become evident and needed future research efforts within the area are pointed out
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe 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
Full text link“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
Full text linkWe 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
Full text linkWe 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
Performance assessment of assembly systems
No full textThe work detailed in this dissertation relates to earlyconceptual decisions in the development of assembly systems forlarge, high-volume products, such as cars, trucks and homeappliances. Historically, the development of such systems hasexperienced a lack of established working procedures andstandardised set of analysis tools, due to the long timeperiods between re-engineering and the immaturity of theresearch area. The objective of this research was to, bytheoretical and empirical studies, develop a comprehensive,systematic and knowledge-preserving method for early assessingperformance of these large assembly systems.The presentation is founded on a review of earlier researchefforts. The research question and objective were detailed bystarting in the assembly system context; the strategy andvalue-adding processes, passing the assembly system in itself;the products, structure and life cycle, and finally focusing onthe nature and methods in design of assembly systems.Following this review, a method for Performance Assessmentof Assembly Systems (PAAS) was formed by tying earlier researchefforts to empirical studies of assembly system developmentprojects in the Swedish car, home appliance and truck industry.The PAAS method incorporates a framework for specifyingrequirements on a large assembly system; a spreadsheet approachfor calculating system data, physical properties and basiceconomic data; and a working procedure for successive modellingand analysis of the system. The PAAS method is exemplified by adeveloped software prototype.A user benefits of the PAAS-method when alternativesolutions exists to reach specified objectives, either due to anew situation, or in order to enhance todays solution.The method adds value to its users by helping them understandand communicate the different competitive postures a companywill adopt, by choosing one of the great number of conceptualoptions available. The method does this by quantitativeanalysis of the performance, not only cost. Furthermore, thisunderstanding of competitive position early in thedecision-making supports the formation of a manufacturingstrategy.Keywords: </p
- …
