Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar.

This research paper presents statistical comparisons between two methods that are commonly used to estimate option implied Risk-Neutral Densities (RND). These are: 1) mixture of lognormals (MXL); and, 2) volatility function technique (VFT). The former is a parametric method whilst the latter is a non-parametric approach. The RNDs are extracted from over-thecounter European-style options on the Mexican Peso–US Dollar exchange rate. The non-parametric method was the superior one for out-of-sample evaluations. The implied mean, median and mode were, in general, statistically different between the competing approaches. It is recommended to apply the VFT instead of the MXL given that the former has superior accuracy and it can be estimated when there is a relatively short crosssection of option exercise price range. The results have implications for financial investors and policy makers given that they could use the information content in options to analyze market’s perceptions about the future expected variability of the financial asset under study.currency option implied volatility, exchange rate, parametric methods, non-parametric methods, risk-neutral densities

An improved fitting algorithm for parametric macromodeling from tabulated data

This paper introduces a new scheme for the identification of multivariate behavioral maeromodels from tabulated frequencydomain data. The method produces closed-form parametric expressions that reproduce with excellent accuracy the external port behavior of the structure, both as function of frequency and one or more external parmeters. The numerical robustness of the main algorithm is demonstrated on two significant examples

Efficient parametric amplification in high and very high frequency piezoelectric nanoelectromechanical systems

Parametric amplification in nanomechanical structures is demonstrated by modulating a purely intrinsic mechanical parameter of the system—the stress—via piezoelectric electromechanical coupling. Large resonance amplitude and quality factor enhancement due to parametric pumping are observed under both vacuum and ambient pressure conditions. Exploration of the region of parametric instability yields results that agree with parametric amplification theory

Parametric pitch instability investigation of Deep Draft Semi-submersible platform in irregular waves

Parametric pitch instability of a Deep Draft Semi-submersible platform (DDS) is investigated in irregular waves. Parametric pitch is a form of parametric instability, which occurs when parameters of a system vary with time and the variation satisfies a certain condition. In previous studies, analyzing of parametric instability is mainly limited to regular waves, whereas the realistic sea conditions are irregular waves. Besides, parametric instability also occurs in irregular waves in some experiments. This study predicts parametric pitch of a Deep Draft Semi-submersible platform in irregular waves. Heave motion of DDS is simulated by wave spectrum and response amplitude operator (RAO). Then Hill equation for DDS pitch motion in irregular waves is derived based on linear-wave theory. By using Bubnov-Galerkin approach to solve Hill equation, the corresponding stability chart is obtained. The differences between regular-waves stability chart and irregular-waves stability chart are compared. Then the sensitivity of wave parameters on DDS parametric pitch in irregular waves is discussed. Based on the discussion, some suggestions for the DDS design are proposed to avoid parametric pitch by choosing appropriate parameters. The results indicate that it's important and necessary to predict DDS parametric pitch in irregular waves during design process