VAR FOR QUADRATIC PORTFOLIO'S WITH GENERALIZED LAPLACE DISTRIBUTED RETURNS

This paper is concerned with the e±cient analytical computation of Value-at-Risk (VaR) for portfolios of assets depending quadratically on a large number of joint risk factors that follows a multivariate Generalized Laplace Distribution. Our approach is designed to supplement the usual Monte-Carlo techniques, by providing an asymptotic formula for the quadratic portfolio's cumulative distribution function, together with explicit error-estimates. The application of these methods is demonstrated using some financial applications examples.

International Conference on Continuous Optimization (ICCOPT) 2019 Conference Book

The Sixth International Conference on Continuous Optimization took place on the campus of the Technical University of Berlin, August 3-8, 2019. The ICCOPT is a flagship conference of the Mathematical Optimization Society (MOS), organized every three years. ICCOPT 2019 was hosted by the Weierstrass Institute for Applied Analysis and Stochastics (WIAS) Berlin. It included a Summer School and a Conference with a series of plenary and semi-plenary talks, organized and contributed sessions, and poster sessions. This book comprises the full conference program. It contains, in particular, the scientific program in survey style as well as with all details, and information on the social program, the venue, special meetings, and more

Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options

We consider an application involving a financial quadratic portfolio of options, when the joint underlying log-returns changes with multivariate elliptic distribution. This motivates the needs for methods for the approximation of multiple integrals over hyperboloids. A transformation is used to reduce the hyperboloid integrals to a product of two radial integrals and two spherical surface integrals. Numerical approximation methods for the transformed integrals are constructed. The application of these methods is demonstrated using some financial applications examples.

Bridging Course: Why, How, and First Impressions

The knowledge gap between high school and university level mathematics is a persistent issue that hinders students in their academic career. Freshman Civil Engineering students at the University of Twente, Netherlands struggle with passing entry level Calculus courses. In 2022, the programme introduced a workshop to help students put their prerequisite knowledge to the test; still, many students could not pass these courses. Capitalising on the idea behind this workshop, a fully digital course was introduced in 2023. In this research we dive into the design of the contents of this course. Furthermore, we investigate its impact on student performance with respect to previous years using a qualitative approach: interviews with second year students provide, to this avail, a valuable comparison

Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options

An application involving a financial quadratic portfolio, where the joint underlying log-returns follow a multivariate elliptic distribution, is considered. This motivates the need for methods for the approximation of multiple integrals over hyperboloids. Transformations are used to reduce the hyperboloid integrals to products of integrals which can be approximated with appropriate numerical methods. The application of these methods is demonstrated using some financial applications examples.

Association of Christians in the Mathematical Sciences Proceedings 2017

The conference proceedings of the Association of Christians in the Mathematical Sciences biannual conference, May 31-June 2, 2017 at Charleson Southern University

Energy: A continuing bibliography with indexes, supplement 16, January 1978

This bibliography lists 1287 reports, articles, and other documents introduced into the NASA scientific and technical information system from October 1, 1977 through December 31, 1977

Työeläkelaitosten vakaavaraisuussäätelyn laaja uudistaminen

Yksityisten alojen työeläkejärjestelmän sijoitustoimintaan liittyvää riskinottoa säädellään vakavaraisuus- ja katesäännöksin. Voimassa oleva laki eläkelaitoksen vakavaraisuusrajan laskemisesta ja vastuuvelan kattamisesta (114/2006) on tullut voimaan vuoden 2007 alusta. Tämän jälkeen vakavaraisuussääntelyä on uudistettu useassa vaiheessa. Ensin finanssikriisin seurauksena vuonna 2008 säädettiin määräaikaislaki (853/2008), jolla tehtiin väliaikaisia muutoksia työeläkelaitosten sijoitustoimintaa ja vakavaraisuutta koskeviin säännöksiin

Geotechnical Engineering for the Preservation of Monuments and Historic Sites III

The conservation of monuments and historic sites is one of the most challenging problems facing modern civilization. It involves, in inextricable patterns, factors belonging to different fields (cultural, humanistic, social, technical, economical, administrative) and the requirements of safety and use appear to be (or often are) in conflict with the respect of the integrity of the monuments. The complexity of the topic is such that a shared framework of reference is still lacking among art historians, architects, structural and geotechnical engineers. The complexity of the subject is such that a shared frame of reference is still lacking among art historians, architects, architectural and geotechnical engineers. And while there are exemplary cases of an integral approach to each building element with its static and architectural function, as a material witness to the culture and construction techniques of the original historical period, there are still examples of uncritical reliance on modern technology leading to the substitution from earlier structures to new ones, preserving only the iconic look of the original monument. Geotechnical Engineering for the Preservation of Monuments and Historic Sites III collects the contributions to the eponymous 3rd International ISSMGE TC301 Symposium (Naples, Italy, 22-24 June 2022). The papers cover a wide range of topics, which include: 　 - Principles of conservation, maintenance strategies, case histories - The knowledge: investigations and monitoring - Seismic risk, site effects, soil structure interaction - Effects of urban development and tunnelling on built heritage - Preservation of diffuse heritage: soil instability, subsidence, environmental damages The present volume aims at geotechnical engineers and academics involved in the preservation of monuments and historic sites worldwide