CMS swaps in separable one-factor Gaussian LLM and HJM model

An approximation approach to Constant Maturity Swaps (CMS) pricing in the separable one-factor Gaussian LLM and HJM models is presented. The approximation used is a Taylor expansion on the swap rate as a function of a random variable which is intuitively similar to a (short) rate. This approach is different from the standard approach in CMS where the discounting is written as a function of the swap rate. The approximation is very efficient.CMS swap; LLM model; HJM model; one factor; approximation

Of cells and cities: a comparative Econometric and Cellular Automata approach to Urban Growth Modeling

This paper presents a comparative assessment of two distinct urban growth modeling approaches. The first urban model uses a traditional Cellular Automata methodology, based on Markov transition chains to prospect probabilities of future urban change. Drawing forth from non-linear cell dynamics, a multi-criteria evaluation of known variables prospects the weights of variables related to urban planning (road net- works, slope and proximity to urban areas). The latter model, frames a novel approach to urban growth modeling using a linear Logit model (LLM) which can account for region specific variables and path depen- dency of urban growth. Hence, the drivers and constraints for both models are used similarly and the same study area is assessed. Both models are projected in the segment of Faro-Olh ̃ao for 2006 and a comparative assessment to ground truth is held. The calculation of Cohenââ¬â¢s Kappa for both projections in 2006 allows for an assessmentof both models. This instrumental approach illuminates the differ- ences between the traditional model and the new type of urban growth model which is used. Both models behave quite differently: While the Markov Cellular Automata model brings an over classification of ur- ban growth, the LLM responds in the underestimation of urban sprawl for the same period. Both excelled with a Kappa calculation of over 89%, and showed to have fairly good estimations for the study area. One may conclude that the Markov CA Model permits a riper un- derstanding of urban growth, but fails to analyze urban sprawl. The LLM model shares interesting results within the possibility of identi- fying urban sprawl patterns, and is therefore an interesting solution for some locations. Another advantage of the LLM is directly linked to the possibility of establishing probability for urban growth. Thus, while the traditional methodology shared better results, LLM can be also an interesting estimate for urban patterns from an econometric perspective. Hence further research is needed in exploring the utility of spatial econometric approaches to urban growth.

Libor Market Model and Gaussian HJM explicit approaches to option on composition

The twin brothers Libor Market and Gaussian HJM models are investigated. A simple exotic option, floor on composition, is studied. The same explicit approach is used for both models. Using an approximation the LLM price is obtained without Monte Carlo simulation. The results of the approximation are very good, with an error well below the uncertainty due to the simulation. The appendices proves the existence of the (modified) normal and shifted log-normal LLM used in the pricing. The link of the latter with the Ho and Lee continuous time model is described.explicit formula, Libor market model, HJM model, shifted log-normal model, normal model, existence, option on composition

Efficient Scalable Accurate Regression Queries in In-DBMS Analytics

Recent trends aim to incorporate advanced data analytics capabilities within DBMSs. Linear regression queries are fundamental to exploratory analytics and predictive modeling. However, computing their exact answers leaves a lot to be desired in terms of efficiency and scalability. We contribute a novel predictive analytics model and associated regression query processing algorithms, which are efficient, scalable and accurate. We focus on predicting the answers to two key query types that reveal dependencies between the values of different attributes: (i) mean-value queries and (ii) multivariate linear regression queries, both within specific data subspaces defined based on the values of other attributes. Our algorithms achieve many orders of magnitude improvement in query processing efficiency and nearperfect approximations of the underlying relationships among data attributes

Energy Storage Sharing Strategy in Distribution Networks Using Bi-level Optimization Approach

In this paper, we address the energy storage management problem in distribution networks from the perspective of an independent energy storage manager (IESM) who aims to realize optimal energy storage sharing with multi-objective optimization, i.e., optimizing the system peak loads and the electricity purchase costs of the distribution company (DisCo) and its customers. To achieve the goal of the IESM, an energy storage sharing strategy is therefore proposed, which allows DisCo and customers to control the assigned energy storage. The strategy is updated day by day according to the system information change. The problem is formulated as a bi-level mathematical model where the upper level model (ULM) seeks for optimal division of energy storage among Disco and customers, and the lower level models (LLMs) represent the minimizations of the electricity purchase costs of DisCo and customers. Further, in order to enhance the computation efficiency, we transform the bi-level model into a single-level mathematical program with equilibrium constraints (MPEC) model and linearize it. Finally, we validate the effectiveness of the strategy and complement our analysis through case studies