Search results for: realized volatility

Authors: L. Della Ragione, G. Meccariello

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In recent years the progress of the automobile industry in Italy in the field of reduction of emissions values is very remarkable. Nevertheless, their evaluation and reduction is a key problem, especially in the cities, which account for more than 50% of world population. In this paper we dealt with the problem of describing a quantitative approach for the reconstruction of GPS coordinates and altitude, in the context of correlation study between driving cycles / emission / geographical location, during an experimental campaign realized with some instrumented cars.

Keywords: air pollution, driving cycles, GPS signal, vehicle location

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Authors: Michal Biały, Krzysztof Skiba, Zdzislaw Kaminski

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The research results of the influence of the adjustable mutual position of the propellers for getting optimal lift force on a specially designed bench. The bench consists of frame with electric motors and with attached propellers. Engines were arranged in a matrix of two columns and three rows. The distance between the columns averages from 0 to 20”, while the engine was placed at a height of 8”, 15.5” and 23.6”. By adjusting the tilt of an electric motor, an angle of the propeller in the range of 0° to 60°, by 15° was controlled. Propellers with a diameter of 8" and pitch of 4.5” were driven by brushless model engines Roxxy BL-Outrunner 2827/26 with a power of 110W (each). Rotational speed control of electric motors were realized parallel for all propellers. The speed adjustment was realized using an aggregate of radio-controlled regulators. Electric power supplied to the engines from zero to maximum power, by the setting for every 14W, was controlled by radio system. Measurement system was placed on a laboratory scale. The lift was measured and recorded by an electronic scale. The lift force for different configurations of propellers arrangement was recorded during the test. All propellers were driven in one rotational direction and in different directions when they were in the same pairs. Propellers were driven concurrently and contra-concurrently along one of the columns and along the selected rows. During the tests, except the lift, parameters such as: rotational speed of propellers, voltage and current to the electric engines were recorded. The main aim of the research was to show the influence of aerodynamic interference between the propellers to receive lift force depending on the drive configuration of individual propellers. The research has shown that, this interference exists. The increase of the lift force for a distance between columns above 26.6” was noticed during the driving propellers in different directions. The optimum tilt angle of the propeller was 45°. Furthermore there has been also approx. 12% increase of the lift for propellers driven alternately in column and contra-concurrently in relation to the contra-rotating drive in the row.

Keywords: aerodynamic, interference, lift force, propeller, propulsion system

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Authors: Byl Farney Cunha Junior

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In this work the dynamic three-dimensional analysis of a 47-story building located in Goiania city when subjected to wind loads generated using both the Wind Brazilian code, NBR6123 (ABNT, 1988) and the Synthetic-Wind method is realized. To model the frames three different methodologies are used: the shear building model and both bi and three-dimensional finite element models. To start the analysis, a plane frame is initially studied to validate the shear building model and, in order to compare the results of natural frequencies and displacements at the top of the structure the same plane frame was modeled using the finite element method through the SAP2000 V10 software. The same steps were applied to an idealized 20-story spacial frame that helps in the presentation of the stiffness correction process applied to columns. Based on these models the two methods used to generate the Wind loads are presented: a discrete model proposed in the Wind Brazilian code, NBR6123 (ABNT, 1988) and the Synthetic-Wind method. The method uses the Davenport spectrum which is divided into a variety of frequencies to generate the temporal series of loads. Finally, the 47- story building was analyzed using both the three-dimensional finite element method through the SAP2000 V10 software and the shear building model. The models were loaded with Wind load generated by the Wind code NBR6123 (ABNT, 1988) and by the Synthetic-Wind method considering different wind directions. The displacements and internal forces in columns and beams were compared and a comparative study considering a situation of a full elevated reservoir is realized. As can be observed the displacements obtained by the SAP2000 V10 model are greater when loaded with NBR6123 (ABNT, 1988) wind load related to the permanent phase of the structure’s response.

Keywords: finite element method, synthetic wind, tall buildings, shear building

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Authors: S. Korkut, M. S. Kilic, E. Erhan

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In order to detect and quantify the phenolic contents of a wastewater with biosensors, two working electrodes based on modified Poly (Pyrrole) films were fabricated. Enzyme horseradish peroxidase was used as biomolecule of the prepared electrodes. Various phenolics were tested at the biosensor. Phenol detection was realized by electrochemical reduction of quinones produced by enzymatic activity. Analytical parameters were calculated and the results were compared with each other.

Keywords: carbon nanotube, phenol biosensor, polypyrrole, poly (glutaraldehyde)

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Authors: Shashwat Gangwal

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This paper analyses the effect of adding Bitcoin, to the portfolio (stocks, bonds, Baltic index, MXEF, gold, real estate and crude oil) of an international investor by using daily data available from 2^nd of July, 2010 to 2^{nd of} August, 2016. We conclude that adding Bitcoin to portfolio, over the course of the considered period, always yielded a higher Sharpe ratio. This means that Bitcoin’s returns offset its high volatility. This paper, recognizing the fact that Bitcoin is a relatively new asset class, gives the readers a basic idea about the working of the virtual currency, the increasing number developments in the financial industry revolving around it, its unique features and the detailed look into its continuously growing acceptance across different fronts (Banks, Merchants and Countries) globally. We also construct optimal portfolios to reflect the highly lucrative and largely unexplored opportunities associated with investment in Bitcoin.

Keywords: bitcoin, financial instruments, portfolio management, risk adjusted return

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Authors: Hasmayadi Abdul Majid, Yuzman Yusoff, Noor Shelida Salleh

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This paper presents the development of a single-ended 38.5 kS/s 10-bit programmable reference SAR ADC which is realized in MIMOS’s 0.35 µm CMOS process. The design uses a resistive DAC, a dynamic comparator with pre-amplifier and a SAR digital logic to create 10 effective bits ADC. A programmable reference circuitry allows the ADC to operate with different input range from 0.6 V to 2.1 V. A single ended 38.5 kS/s 10-bit programmable reference SAR ADC was proposed and implemented in a 0.35 µm CMOS technology and consumed less than 7.5 mW power with a 3 V supply.

Keywords: successive approximation register analog-to-digital converter, SAR ADC, resistive DAC, programmable reference

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Authors: Gabriella Notarianni Burk

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The present study investigates the Aspect Hypothesis (AH) in Italian child language in the production of frog story narratives from the CHILDES database. The AH is based on the assumption that children initially encode aspectual and lexical distinctions rather than temporal relations. Children from a variety of first languages have been shown to mark past initially with achievements and accomplishments (telic predicates) and in later stages with states and activities (atelic predicates). Aspectual distinctions in Romance languages are obligatorily and overtly encoded in the inflectional morphology. In Italian the perfective viewpoint is realized by the passato prossimo, which expresses a temporal and aspectual meaning of pastness and perfectivity, whereas the imperfective viewpoint in the past tense is realized by the imperfetto. The aim of this study is to assess the role of lexical aspect in the acquisition of tense and aspect morphology and to understand if Italian children’s mapping of aspectual and temporal distinctions follows consistent developmental patterns across languages. The research methodology aligns with the cross-linguistic designs, tasks and coding procedures previously developed in the frog story literature. Results from two-factor ANOVA show that Italian children (age range: 4-6) exhibited a statistically significant distinction between foregrounded perfective and backgrounded imperfective marking. However, a closer examination of the sixty narratives reveals an idiosyncratic production pattern for Italian children, whereby the marking of imperfetto deviates from the tenets of AH and emerges as deictic tense to entail completed and bounded events in foreground clauses. Instances of ‘perfective’ uses of imperfetto were predominantly found in the four-year old narratives (25%). Furthermore, the analysis of the perfective marking suggests that morphological articulation and diatopic variation may influence the child production of formal linguistic devices in discourse.

Keywords: actionality, aspect, grounding, temporal reference

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Authors: Nada Souissi, Mourad Mroua

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The main purpose of this study is to examine the interaction between financial asset volatility, economic factors and investor's behavioral indicators related to both the company's and the markets stocks for the period from January 2000 to January2020. Using multiple linear regression and Bayesian Networks modeling, results show a positive and negative relationship between investor's psychology index, economic factors and predicted stock market return. We reveal that the application of the Bayesian Discrete Network contributes to identify the different cause and effect relationships between all economic, financial variables and psychology index.

Keywords: Financial asset return predictability, Economic factors, Investor's psychology index, Bayesian approach, Probabilistic networks, Parametric learning

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Authors: Akhentoolove Corbin, Leta De Jonge, Charmaine De Jonge

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Introduction: Various writers have promoted the adoption of the 4th R in the education curricula (relationships, respect, reasoning, religion, computing, science, art, conflict management, music) and the 5th R (responsibility). They argue that the traditional 3 Rs are not adequate for the modern environment and the requirements for students to become functional citizens in society. In particular, the developing countries of the anglophone Caribbean (most of which are tiny islands) are susceptible to the dangers and complexities of climate change and global economic volatility. These proposed additions to the 3Rs do have some justification, but this research considers Resilience as even more important and relevant in a world that is faced with the negative prospects of climate change, poverty, discrimination, and economic volatility. It is argued that the foundation for resilient citizens, workers, and workplaces, must be built in the elementary and secondary/middle schools and then through the tertiary level, to achieve an outcome of more resilient students. Government, business, and society require widespread resilience to be capable of ‘bouncing back’ and be more adaptable, transformational, and sustainable. Methodology: The paper utilises a mixed-methods approach incorporating a questionnaire and interviews to determine participants’ opinions on the importance and relevance of resilience in the schools’ curricula and to government, business, and society. The target groups are as follows: educators at all levels, education administrators, members of the business sector, public sector, and 3rd sector. The research specifically targets the anglophone Caribbean developing countries (Barbados, Guyana, Jamaica, Trinidad, St. Lucia, and St Vincent, and the Grenadines). The research utilises SPSS for data analysis. Major Findings: The preliminary findings suggest that the majority of participants support the adoption of resilience as a 4th R in the curricula of the elementary, secondary/middle schools, and tertiary level in the anglophone Caribbean. The final results will allow the researchers to reveal more specific details on any variations among the islands in the sample andto engage in an in-depth discussion of the relevance and importance of resilience as the 4th R. Conclusion: Results seem to suggest that the education system should adopt the 4th R of resilience so that educators working in collaboration with the family and community/village can develop young citizens who are more resilient and capable of manifesting the behaviours and attitudes associated with ‘bouncing back,’ adaptability, transformation, and sustainability. These findings may be useful for education decision-makers and governments in these Caribbean islands, who have the authority and responsibility for the development of education policy, laws, and regulations.

Keywords: education, resilient students, adaptable, transformational, resilient citizens, workplaces, government

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Authors: Obioma Uche

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Due to the recent volatility in oil & gas prices as well as increased development of non-conventional resources, it has become even more essential to critically evaluate the profitability of petroleum prospects prior to making any investment decisions. Traditionally, simple Monte Carlo (MC) algorithms have been used to randomly sample probability distributions of economic and geological factors (e.g. price, OPEX, CAPEX, reserves, productive life, etc.) in order to obtain probability distributions for profitability metrics such as Net Present Value (NPV). In recent years, second-order MC algorithms have been shown to offer an advantage over simple MC techniques due to the added consideration of uncertainties associated with the probability distributions of the relevant variables. Here, a strategy for the application of the second-order MC technique to a case study is demonstrated to analyze its effectiveness as a tool for portfolio management.

Keywords: Monte Carlo algorithms, portfolio management, profitability, risk analysis

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Authors: Dong Won Kim, Hye Ji Kim, Hyun Young Jung

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Improved energy storage is inevitably needed to improve energy efficiency and to be environmentally friendly to chemical processes. Ionic liquids (ILs) can play a crucial role in addressing these needs due to inherent adjustable properties including low volatility, low flammability, inherent conductivity, wide liquid range, broad electrochemical window, high thermal stability, and recyclability. Here, binary mixtures of ILs were prepared with fumed silica nanoparticles and characterized to obtain ILs with conductivity and electrochemical properties optimized for use in energy storage devices. The solutes were prepared by varying the size and the weight percent concentration of the nanoparticles and made up 10 % of the binary mixture by weight. We report on the physical and electrochemical properties of the individual ILs and their binary mixtures.

Keywords: ionic liquid, silica nanoparticle, energy storage, electrochemical properties

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Authors: Thomas Chinwe Urama, Patrick Oseloka Ezepue, Peters Chimezie Nnanwa

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This paper investigates the universal financial dynamics in two dominant stock markets in Sub-Saharan Africa, through an in-depth analysis of the cross-correlation matrix of price returns in Nigerian Stock Market (NSM) and Johannesburg Stock Exchange (JSE), for the period 2009 to 2013. The strength of correlations between stocks is known to be higher in JSE than that of the NSM. Particularly important for modelling Nigerian derivatives in the future, the interactions of other stocks with the oil sector are weak, whereas the banking sector has strong positive interactions with the other sectors in the stock exchange. For the JSE, it is the oil sector and beverages that have greater sectorial correlations, instead of the banks which have the weaker correlation with other sectors in the stock exchange.

Keywords: random matrix theory, cross-correlations, emerging markets, option pricing, eigenvalues eigenvectors, inverse participation ratios and implied volatility

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Authors: Rasha Alhendawi

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This research will give the introductory ideas for cultural adaption of B2C E-Service design in Germany. By the intense competition of E-Service development, many companies have realized the importance of understanding the emotional and cultural characteristics of their customers. Ignoring customers’ needs and requirements throughout the E-Service design can lead to faults, mistakes, and gaps. The term of E-Service usability now is changed not only to develop high quality E-Services, but also to be extended to include customer satisfaction and provide for them to feel local.

Keywords: human computer interaction (HCI), usability, cultural usability, E-Services, business-to-consumer (B2C), e-services

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Authors: Mahoud Alfama, Meloud Yones, Abdelbaset Zroga, Abdelati Elalem

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Electrospinning has been recognized as an efficient technique for the fabrication of polymer nanofibers. Various polymers have been successfully electrospun into ultrafine fibers in recent years mostly in solvent solution and some in melt form. Potential applications based on such fibers specifically their use as reinforcement in nanocomposite development have been realized. In this paper we examine -electrospinning by providing a brief description of the theory behind the process examining the effect of changing the process parameters on fiber morphology, and discussing the potential applications and impacts of electrospinning on the field of tissue engineering.

Keywords: nanotechnology, electro spinning, reinforced materials

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Authors: M. G. Mattos, J. E. Pécora Jr, T. A. Briso

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Today's challenging business environment, with unpredictable demand and volatility, requires a supply chain strategy that handles uncertainty and risks in the right way. Even though inventory models have been previously explored, this paper seeks to apply these concepts on a practical situation. This study involves the inventory replenishment problem, applying techniques that are mainly based on mathematical assumptions and modeling. The primary goal is to improve the retailer’s supply chain processes taking store differences when setting the various target stock levels. Through inventory review policy, picking piece implementation and minimum exposure definition, we were able not only to promote the inventory reduction as well as improve sales results. The inventory management theory from literature review was then tested on a single case study regarding a particular department in one of the largest Latam retail chains.

Keywords: inventory, distribution, retail, risk, safety stock, sales, uncertainty

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Authors: Kozo Tanigawa, Tappei Yotsumoto, Kenichi Takahashi, Takao Kawamura, Kazunori Sugahara

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An automatic human tracking system using mobile agent technology is realized because a mobile agent moves in accordance with a migration of a target person. In this paper, we propose a method for determining the neighbor node in consideration of the imaging range of cameras.

Keywords: human tracking, mobile agent, Pan/Tilt/Zoom, neighbor relation

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Authors: Lenka Jesonkova, Frantisek Bozek

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Trihalogenmethanes (THMs) are disinfection byproducts with non-carcinogenic and genotoxic effects. The contamination of 6 sites close to the water treatment plant has been monitored in second largest city of the Czech Republic. Health risk assessment including both non-carcinogenic and genotoxic risk for long term exposition was realized using the critical concentrations. Concentrations of trihalogenmethanes met national standards in all samples. Risk assessment proved that health risks from trihalogenmethanes are acceptable on each site.

Keywords: drinking water, health risk assessment, trihalogenmethanes, water pollution

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Authors: Benzegaou Ali, Brani Benabderrahmane

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This work describes a numerical study of the TOX–clinching process using diffuse elements. A computer code baptized SEMA "Static Explicit Method Analysis" is developed to simulate the clinch joining process. The FE code is based on an Updated Lagrangian scheme. The used resolution method is based on an explicit static approach. The integration of the elasto-plastic behavior law is realized with an algorithm of Simo and Taylor. The tools are represented by plane facets.

Keywords: diffuse elements, numerical simulation, clinching, contact, large deformation

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Authors: Walid Chkili

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This paper investigates the dynamic relationship between gold and stock markets using data for BRICS counties. For this purpose, we estimate three multivariate GARCH models (namely CCC, DCC and BEKK) for weekly stock and gold data. Our main objective is to examine time variations in conditional correlations between the two assets and to check the effectiveness use of gold as a hedge for equity markets. Empirical results reveal that dynamic conditional correlations switch between positive and negative values over the period under study. This correlation is negative during the major financial crises suggesting that gold can act as a safe haven during the major stress period of stock markets. We also evaluate the implications for portfolio diversification and hedging effectiveness for the pair gold/stock. Our findings suggest that adding gold in the stock portfolio enhance its risk-adjusted return.

Keywords: gold, financial markets, hedge, multivariate GARCH

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Authors: John Knight, Fuchun Li, Yan Xu

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Based on a new method of the nonparametric estimator of the drift function, we propose a consistent test for the parametric specification of the drift function in the short rate diffusion process using observations from a panel of yields. The test statistic is shown to follow an asymptotic normal distribution under the null hypothesis that the parametric drift function is correctly specified, and converges to infinity under the alternative. Taking the daily 7-day European rates as a proxy of the short rate, we use our test to examine whether the drift of the short rate diffusion process is linear or nonlinear, which is an unresolved important issue in the short rate modeling literature. The testing results indicate that none of the drift functions in this literature adequately captures the dynamics of the drift, but nonlinear specification performs better than the linear specification.

Keywords: diffusion process, nonparametric estimation, derivative security price, drift function and volatility function

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Authors: Daniel Mokatsanyane, Johnny Jansen Van Rensburg

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This paper is a concise introduction of the risk management on the water derivatives market. Water, a new commodity in the market, is one of the most important commodity on earth. As important to life and planet as crops, metals, and energy, none of them matters without water. This paper presents a brief overview of water as a tradable commodity via a new first of its kind futures contract on the Nasdaq Veles California Water Index (NQH2O) derivative instrument, TheGeneralised Autoregressive Conditional Heteroscedasticity (GARCH) statistical model will be the used to measure the water price volatility of the instrument and its performance since it’s been traded. describe the main products and illustrate their usage in risk management and also discuss key challenges with modeling and valuation of water as a traded commodity and finally discuss how water derivatives may be taken as an alternative asset investment class.

Keywords: water derivatives, commodity market, nasdaq veles california water Index (NQH2O, water price, risk management

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Authors: Ogbu Harry Omilonye

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This paper examines feminism as a literary ideology which attempts to win for women a status of recognition and parity in a male-dominated society like Nigeria. This article deals essentially with the emergence of the ideology and literary personalities behind it. It focuses sharply on Zaynab Alkali’s brand of feminism as demonstrated in the delineation of her female characters vis-à-vis her male characters. The woman’s destiny, this paper believes, lies in her hand, and that true emancipation of women can only be realized through education and hard work.

Keywords: feminism, stillborn, literary ideology, literature

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Authors: Sugiono, Wuwus Ardiatna, Himma Firdaus, Nanang Kusnandar, Bayu Utomo, Jimmy Abdel Kadar

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This study was aimed to explore the best design of single-used hot food packaging through various package designs. It examined how designed packages keep some local hot food reasonably longer than standard packages. The food packages were realized to consist of the outer and the inner layers of food-grade materials. The packages were evaluated to keep the hot food decreased to the minimum temperature of safe food. This study revealed a significant finding that the transparent plastic box with thin film aluminum foil is the best package.

Keywords: hot food, local food, one used, packaging, aluminum foil

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Authors: Y. Bhatt, N. Ghosh, N. Tiwari

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Acreage response function are modeled taking account of expected harvest prices, weather related variables and other non-price variables allowing for partial adjustment possibility. At the outset, based on the literature on price expectation formation, we explored suitable formulations for estimating the farmer’s expected prices. Assuming that farmers form expectations rationally, the prices of food and biofuel crops are modeled using time-series methods for possible ARCH/GARCH effects to account for volatility. The prices projected on the basis of the models are then inserted to proxy for the expected prices in the acreage response functions. Food crop acreages in different growing states are found sensitive to their prices relative to those of one or more of the biofuel crops considered. The required percentage improvement in food crop yields is worked to offset the acreage loss.

Keywords: acreage response function, biofuel, food security, sustainable development

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Authors: Gladie Lui

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The global credit crisis of 2008 aroused renewed interest in the effectiveness of corporate governance mechanisms to safeguard investor interests. In this paper, we measure the effect of the crisis from 2008 to 2009 on the stock performance of 976 Hong Kong-listed companies and examine its link to corporate governance mechanisms. It is evident that the crisis and the economic downturn affected different industries. Empirical results show that firms with an independent board and a high concentration of ownership and management ownership had lower abnormal stock returns, but a lower price volatility during the global financial crisis. These results highlight that no single corporate governance mechanism is fit for all types of financial crises and time frames. To strengthen investors’ confidence in the ability of companies to deal with such swift financial catastrophes, companies should enhance the dynamism and responsiveness of their governance mechanisms in times of turbulence.

Keywords: board of directors, capital market, corporate governance, financial crisis

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Authors: Dany Ng Cheong Vee, Preethee Nunkoo Gonpot, Noor Sookia

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In this paper, we consider the application of Extreme Value Theory as a risk measurement tool. The Value at Risk, for a set of indices, from six Stock Exchanges of Frontier markets is calculated using the Peaks over Threshold method and the performance of the model index-wise is evaluated using coverage tests and loss functions. Our results show that 'fat-tailedness' alone of the data is not enough to justify the use of EVT as a VaR approach. The structure of the returns dynamics is also a determining factor. This approach works fine in markets which have had extremes occurring in the past thus making the model capable of coping with extremes coming up (Colombo, Tunisia and Zagreb Stock Exchanges). On the other hand, we find that indices with lower past than present volatility fail to adequately deal with future extremes (Mauritius and Kazakhstan). We also conclude that using EVT alone produces quite static VaR figures not reflecting the actual dynamics of the data.

Keywords: extreme value theory, financial crisis 2008, value at risk, frontier markets

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Authors: Raoudane Bouziyan, Kawser Mohammad Tawhid

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Microstrip antennas are low in profile, light in weight, conformable in structure and are now developed for many applications. The main difficulty of the microstrip antenna is its narrow bandwidth. Several modern applications like satellite communications, remote sensing, and multi-function radar systems will find it useful if there is dual-band antenna operating from a single aperture. Some applications require covering both transmitting and receiving frequency bands which are spaced apart. Providing multiple antennas to handle multiple frequencies and polarizations becomes especially difficult if the available space is limited as with airborne platforms and submarine periscopes. Dual band operation can be realized from a single feed using slot loaded or stacked microstrip antenna or two separately fed antennas sharing a common aperture. The former design, when used in arrays, has certain limitations like complicated beam forming or diplexing network and difficulty to realize good radiation patterns at both the bands. The second technique provides more flexibility with separate feed system as beams in each frequency band can be controlled independently. Another desirable feature of a dual band antenna is easy adjustability of upper and lower frequency bands. This thesis presents investigation of a new dual-band antenna, which is a hybrid of microstrip and waveguide radiating elements. The low band radiator is a Shorted Annular Ring (SAR) microstrip antenna and the high band radiator is an aperture antenna. The hybrid antenna is realized by forming a waveguide radiator in the shorted region of the SAR microstrip antenna. It is shown that the upper to lower frequency ratio can be controlled by the proper choice of various dimensions and dielectric material. Operation in both linear and circular polarization is possible in either band. Moreover, both broadside and conical beams can be generated in either band from this antenna element. Finite Element Method based software, HFSS and Method of Moments based software, FEKO were employed to perform parametric studies of the proposed dual-band antenna. The antenna was not tested physically. Therefore, in most cases, both HFSS and FEKO were employed to corroborate the simulation results.

Keywords: FEKO, HFSS, dual band, shorted annular ring patch

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Authors: Shih-Kuei Lin

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The characterization of the arbitrage-free dynamics of interest rates is developed in this study under the presence of Markov jump risks, when the term structure of the interest rates is modeled through simple forward rates. We consider Markov jump risks by allowing randomness in jump sizes, independence between jump sizes and jump times. The Markov jump diffusion model is used to capture empirical phenomena and to accurately describe interest jump risks in a financial market. We derive the arbitrage-free model of simple forward rates under the spot measure. Moreover, the analytical pricing formulas for a cap and a floor are derived under the forward measure when the jump size follows a lognormal distribution. In our empirical analysis, we find that the LIBOR market model with Markov jump risk better accounts for changes from/to different states and different rates.

Keywords: arbitrage-free, cap and floor, Markov jump diffusion model, simple forward rate model, volatility smile, EM algorithm

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Authors: Rachid Belhachemi, Pierre Rostan, Alexandra Rostan

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This paper develops a discrete-time option pricing model for index options. The model consists of two key ingredients. First, daily stock return innovations are driven by a continuous hidden threshold mixed skew-normal (HTSN) distribution which generates conditional non-normality that is needed to fit daily index return. The most important feature of the HTSN is the inclusion of a latent state variable with a continuum of states, unlike the traditional mixture distributions where the state variable is discrete with little number of states. The HTSN distribution belongs to the class of univariate probability distributions where parameters of the distribution capture the dependence between the variable of interest and the continuous latent state variable (the regime). The distribution has an interpretation in terms of a mixture distribution with time-varying mixing probabilities. It has been shown empirically that this distribution outperforms its main competitor, the mixed normal (MN) distribution, in terms of capturing the stylized facts known for stock returns, namely, volatility clustering, leverage effect, skewness, kurtosis and regime dependence. Second, heteroscedasticity in the model is captured by a threeexogenous-factor GARCH model (GARCHX), where the factors are taken from the principal components analysis of various world indices and presents an application to option pricing. The factors of the GARCHX model are extracted from a matrix of world indices applying principal component analysis (PCA). The empirically determined factors are uncorrelated and represent truly different common components driving the returns. Both factors and the eight parameters inherent to the HTSN distribution aim at capturing the impact of the state of the economy on price levels since distribution parameters have economic interpretations in terms of conditional volatilities and correlations of the returns with the hidden continuous state. The PCA identifies statistically independent factors affecting the random evolution of a given pool of assets -in our paper a pool of international stock indices- and sorting them by order of relative importance. The PCA computes a historical cross asset covariance matrix and identifies principal components representing independent factors. In our paper, factors are used to calibrate the HTSN-GARCHX model and are ultimately responsible for the nature of the distribution of random variables being generated. We benchmark our model to the MN-GARCHX model following the same PCA methodology and the standard Black-Scholes model. We show that our model outperforms the benchmark in terms of RMSE in dollar losses for put and call options, which in turn outperforms the analytical Black-Scholes by capturing the stylized facts known for index returns, namely, volatility clustering, leverage effect, skewness, kurtosis and regime dependence.

Keywords: continuous hidden threshold, factor models, GARCHX models, option pricing, risk-premium

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Authors: I.J. Kim, B.C. Kim, J.H. Kim, C.-Y. Yi

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Heat transfer in a graphite calorimeter is analyzed by using the finite elements method. The calorimeter is modeled in 3D geometry. Quasi-adiabatic mode operation is realized in the simulation and the temperature rise by different sources of the ionizing radiation and electric heaters is compared, directly. The temperature distribution caused by the electric power was much different from that by the ionizing radiation because of its point-like localized heating. However, the temperature rise which was finally read by sensing thermistors agreed well to each other within 0.02 %.

Keywords: graphite calorimeter, finite element analysis, heat transfer, quasi-adiabatic mode

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