114,145 research outputs found

    Hybrid optimisation electromagnetic interference shielding effectiveness:mechanical and physical performance of plaster mortar containing palm oil fuel ash using taguchi grey and taguchi-flower pollination algorithm methods

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    The rapid development of wireless telecommunications has revolutionarily modernized the global society, whereas it has created serious concerns on harmful effects of the electromagnetic interference (EMI) on human health and performance of electronic devices. The purpose of this research was to use palm oil fuel ash (POFA) as cement filler in plastering mortar to overcome the EMI issue. This research adopted Taguchi method with mix level design (L16 (44 22)) to examined the EMI shielding effectiveness (SE), mechanical properties and physical properties of the mortar. Six factors namely POFA admixture percentage, topcoat powder /binder ratio (TP/B), water/binder ratio (W/B), latex agent content (LA), the particle size of POFA and curing condition are used to control the nine responses. Pre-experiment data is optimized based on Taguchi-grey and Flower Pollination Algorithm (FPA) methods. The feasibility of the optimization was evaluated by repeating the experiments. Initially, the POFA was refined and segregated into 4 different layers. Layer 1 POFA performed highest SE with 25.76 dB at 1 GHz where the SE was decreased in accordance with the sequence of POFA layers. The SEM image of POFA showed the existence of cenosphere particles and it has potential in EMI SE due to the hollow spherical shape. Regression and ANOVA analysis demonstrated the optimal mixture from Taguchi-grey method is able to give additional 6 dB of SE compare to plaster mortar without POFA. Meanwhile, the optimal mixture from Taguchi-FPA able to give additional 5 dB of SE. It’s found that this does not affect its mechanical and physical properties because the confirmation results proved that all responses are within the range that specified in the standards. Finally, this research successfully employed POFA as cement filler for plastering mortar which can mitigate the EMI. The increase in the SE is due to the carbon content and spherical cenosphere particle in the POFA that promote multiple reflections. The implementation of Taguchi-grey and Taguchi-FPA methods successfully obtained optimal factors in order to improve SE and remaining protection of mechanical and physical properties in plaster mortar

    Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes

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    We analyze the specifications of option pricing models based on time- changed Levy processes. We classify option pricing models based on the structure of the jump component in the underlying return process, the source of stochastic volatility, and the specification of the volatility process itself. Our estimation of a variety of model specifications indicates that to better capture the behavior of the S&P 500 index options, we need to incorporate a high frequency jump component in the return process and generate stochastic volatilities from two different sources, the jump component and the diffusion component.Option pricing; Levy processes; time change; jumps; Diffusion; stochastic volatility; finite activity; infinite activity; infinite variation.

    Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes

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    This article analyzes the specifications of option pricing models based on time-changed Levy processes. We classify option pricing models based on (i) the structure of the jump component in the underlying return process, (ii) the source of stochastic volatility, and (iii) the specification of the volatility process itself. We then consider a variety of model specifications within this framework, and investigate empirically what type of jump structure best describe the underlying price movement and whether stochastic volatility comes from jump or diffusion. We find that, to capture the behavior of the S&P 500 index options, one needs to incorporate an infinite activity jump component in the underlying asset return process, and also to include stochastic volatilities from two separate sources: both the jump and the diffusion componentsOption pricing, Levy processes, time change, jumps, diffusion, stochastic volatility

    Maturity, indebtedness, and default risk

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    In this paper, the authors present a new approach to incorporating long-term debt into equilibrium models of unsecured debt and default. They make three sets of contributions. First, the authors advance the theory of sovereign debt begun in Eaton and Gersovitz (1981) by proving the existence of an equilibrium price function with the property that the interest rate on debt is increasing in the amount borrowed. Second, using Argentina as a test case, they show that unlike a one-period debt model, their model of long-term debt is capable of accounting for the average external debt-to-output ratio, average spread on external debt, and the standard deviation of spreads for the 1993-2001 period, without any deterioration in the model's ability to account for Argentina's other cyclical facts. Third, the authors propose a new and very accurate method for solving the model.Debt ; Default (Finance) ; Econometric models

    Business process management tools as a measure of customer-centric maturity

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    In application of business process management (BPM) tools in European commercial sectors, this paper examines current maturity of customer centricity construct (CC) as an emerging dimension of competition and as a potential strategic management direction for the future of business. Processes are one of the key components of transformation in the CC roadmap. Particular departments are more customer orientated than others, and processes, customer-centric expertise, and approach can be built and utilized starting from them. Positive items within a current business process that only involve minor modification could be the basis for that. The evidence of movement on the customer-centric roadmap is found. BPM in European telecommunications, banking, utility and retail sector supports roadmap towards customer-centricity in process view, process alignment and process optimization. However, the movement is partial and not flawless, as BPM hasn’t been inquired for supporting many of customer-centric dimensions

    Управління міжнародним бізнесом: Agility Journey для високотехнологічних компаній

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    The purpose of the article is the development of recommendations for the business maturity determination and measurement in the implementation of the agile approach for high-tech companies. Methods of analysis of documents, observation, personal and in-depth interviews, case studies have been used in the research. The findings of the research: Business Agility Journey has been suggested for defining the state of the maturity of the company and conducting express diagnostics of agility. Agile Project Management Journey has been developed for the identification of weaknesses by the companies in the path to agility, as well as for the determination of events for the transition from the traditional to the agile approach. Personal Agility Checklist has been designed for testing the soft skills of employees for the presence of the agile mindset. Research limitations include the study of the maturity of companies in the IT industry. Practical implications are based on the use of suggested Agility Journeys in defining the state of maturity and main problems on the transition path. Also, Personal Agility Checklist will help to check the agility of the future employees. The originality of the article is based on the uniqueness of the Agility Journey that has been developed for the first time. Further research on this topic should be focused on the development of an agile mindset as a prerequisite for the provision of agility in the company.Метою статті є розробка рекомендацій щодо визначення та вимірювання зрілості бізнесу при впровадженні еджайл-підходу для високотехнологічних компаній. У дослідженні використовуються методи аналізу документів, спостереження, особистого та глибинного інтерв’ю та кейс-стаді. Розроблено Business Agility Journey для визначення стану зрілості компанії та проведення експрес-діагностики еджайльності. Agile Project Management Journey було розроблено для визначення компаніями своїх слабких сторін, а також заходів для переходу від традиційного до еджайльного підходу. Personal Agility Checklist був створений для перевірки «гнучких навичок» (soft skills) співробітників на наявність гнучкого мислення (agile mindset). Обмеження досліджень включають вивчення зрілості компаній ІТ-галузі. Практична значущість ґрунтується на використанні запропонованих Agility Journeys для визначення стану зрілості та основних проблем на шляху переходу. Також Personal Agility Checklist допоможе перевірити еджайльність майбутніх працівників. Оригінальність статті базується на унікальності Agility Journey, яка була розроблена вперше. Подальші дослідження на цю тему доцільно зосередити на розвитку гнучкого мислення як передумови забезпечення еджайльності в компанії

    Why Do Borrowers Choose Adjustable-Rate Mortgages over Fixed-Rate Mortgages? : A Behavioral Investigation

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    A considerable number of U.S. borrowers still choose adjustable rate mortgages (ARMs) over fixed rate mortgages (FRMs) even when interest rates are historically very low. This study examines the psychological reasons for the popularity of ARMs by testing the Prospect theory’s reflection hypothesis. Experiments are conducted using business professionals. The results suggest that psychological factors may explain why ARM borrowers tend to ignore the associated risk factors, focusing heavily upon pricing factors when choosing mortgage type. The results also indicate that borrowers may be viewing mortgage selection as part of a positive choice; namely, acquiring a home.Adjustable-rate mortgage; Fixed-rate mortgage; Prospect theory; Reflection hypothesis; Experiment

    Dynamic option adjusted spread and the value of mortgage backed securities

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    We extend a reduced form model for pricing mortgage-backed securities (MBS) pass through and provide a novel hedging tool for investors in this market. To calculate the price of an MBS traders use what is known as option-adjusted spread (OAS). The resulting OAS value represents the required basis points adjustment to reference curve discounting rates needed to match an observed market price. The OAS suffers from some drawbacks. For example, it remains constant until the maturity of the bond (thirty years in mortgage-backed securities), and does not incorporate interest rate volatility. We suggest instead what we call dynamic option adjusted spread (DOAS). The latter allows investors in the mortgage market to account for both prepayment risk and changes of the slope of the yield curve
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