Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion

This paper demonstrates the efficiency of using Edgeworth and Gram-Charlier expansions in the calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion (DD-SV-LMM). Our approach brings together two research areas; first, the results regarding the SV-LMM since the work of Wu and Zhang (2006), especially on the moment generating function, and second the approximation of density distributions based on Edgeworth or Gram-Charlier expansions. By exploring the analytical tractability of moments up to fourth order, we are able to perform an adjustment of the reference Bachelier model with normal volatilities for skewness and kurtosis, and as a by-product to derive a smile formula relating the volatility to the moneyness with interpretable parameters. As a main conclusion, our numerical results show a 98% reduction in computational time for the DD-SV-LMM calibration process compared to the classical numerical integration method developed by Heston (1993)

A simple geometrical method to minimise crosstalk during clinical gait analysis

XV International Symposium on 3-D Analysis of Human Movement, MANCHESTER, ROYAUME-UNI, 03-/07/2018 - 06/07/2018Stereophotogrammetry has been widely used for measuring gait. Conventional gait analysis systems tend to be based on the Davis marker-set [1]. This marker-set is dependent on the position of a wand on the thigh to define medial-lateral thigh axis. This wand is supposed to lie in the frontal plane of the thigh and can be difficult to position properly. A poor positioning leads to axis misorientation which can cause errors known as crosstalk. Crosstalk corresponds to an unphysiological knee Abduction Adduction (AA) amplitude correlated with knee Flexion-Extension (FE) [2]. This phenomenon also affects hip Internal External Rotation (IER) which is a parameter of high interest in clinical gait analysis (CGA). Several methods have been proposed previously to better define the medial-lateral axis of the thigh and improve the quality of both hip and knee kinematics. However, the corrections were not always satisfying or difficult to implement [2-3]

Correcting lower limb segment axis misalignment in gait analysis: A simple geometrical method

Background Obtaining precise and repeatable measurements is essential to clinical gait analysis. However, defining the thigh medial-lateral axis segment remains a challenge, with particular implications for the hip rotation profile. Thigh medial-lateral axis misalignment modifies the hip rotation profile and can result in a phenomenon called crosstalk, which increases knee adduction-abduction amplitude artificially. Research question This study proposes an a posteriori geometrical method based solely on segment anatomy that aims to correct the thigh medial-lateral axis definition and crosstalk-related error. Methods The proposed method considers the thigh medial-lateral axis as the normal to the mean sagittal plane of the lower limb defined by hip, knee and ankle joint centres during one gait cycle. Its performance was compared to that of an optimisation method which repositions the axis to reduce knee abduction-adduction variance. An existing dataset was used: 75 patients with a knee prosthesis undergoing gait analysis three months and one-year post-surgery. Three-dimensional hip and knee angles were computed for two gait analysis sessions. Crosstalk was quantified using both the coefficient of determination (r²) between knee flexion-extension and adduction-abduction and the amplitude of knee adduction-abduction. The reproducibility of hip internal-external rotation was also quantified using the inter-trial, inter-session and inter-subject standard deviations and the intraclass coefficient (ICC). Results Crosstalk was significantly reduced from r²?=?0.67 to r²?=?0.51 by the geometrical method but remained significantly higher than with the optimisation method with a r²

Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient

We propose to take advantage of the common knowledge of the characteristic function of the swap rate process as modelled in the LIBOR Market Model with Stochastic Volatility and Displaced Diffusion (DDSVLMM) to derive analytical expressions of the gradient of swaptions prices with respect to the model parameters. We use this result to derive an efficient calibration method for the DDSVLMM using gradient-based optimization algorithms. Our study relies on and extends the work by (Cui et al., 2017) that developed the analytical gradient for fast calibration of the Heston model, based on an alternative formulation of the Heston moment generating function proposed by (del Ba{\~n}o et al., 2010). Our main conclusion is that the analytical gradient-based calibration is highly competitive for the DDSVLMM, as it significantly limits the number of steps in the optimization algorithm while improving its accuracy. The efficiency of this novel approach is compared to classical standard optimization procedures

Changes on wood powder morphology and flowability due to thermal pretreatment,

National audienceTorrefaction is a thermal pretreatment of lignocellulosic biomass before gasification. This mild form of pyrolysis, carried out at temperatures between 200 and 300 °C, changes the physical and chemical properties of the material. In particular, it improves the feedstocks homogenisation, enhances the aeration ability and makes the grinding easier. Our project deals with the study of the effects of the combined torrefaction and grinding processes on (i) the major particle behaviour: grindability, surface state, particle size, shape distribution (ii) and the major powder behaviour: bulk density, compressibility, aerability. In this article, the studied parameter is the torrefaction temperature. The characterisation of the particles and powders is performed using the following techniques: optical microscopy, Flodex® methodology and powder rheometry. The rheological behaviours of spruce torrefied at different temperatures then ground in the same apparatus (a knife mill with a sieving grid of 500 µm) are compared. It is shown that spruce torrefied at 240 °C (S240) has similar rheological properties compared to natural spruce (NS) after being ground, while the one torrefied at 300 °C exhibits a different rheological behaviour. The results are correlated to reproduce the coupled effect of the torrefaction and grinding conditions on the powder rheological behaviour

Influence of torrefaction treatment on wood powder properties

International audienceTorrefaction is a thermal pretreatment of lignocellulosic biomass before gazification. This mild form of pyrolysis, carried out at temperatures between 200 and 300 °C, changes the physical and chemical properties of the material. In particular, it improves the feedstocks homogenization, enhances the fluidization ability and makes the grinding easier. Our project deals with the study of the effects of the combined torrefaction and grinding processes on (i) the main particle behavior: anhydrous weight loss (AWL), grindability, particle size distribution (ii) and the main powder behavior: bulk densities, flowability and compressibility. The studied parameters are (i) the species of the biomass (spruce and beech) (ii) the torrefaction temperature (iii) and the sieving grid size of the used knife mill (0.12 and 0.5 mm). The characterization of the particles and powders is performed using the following techniques: optical microscope and powder rheometer. The rheological behaviours of spruce torrefied at different temperatures and ground at different grid sizes are compared. It is shown that spruce torrefied at 240 °C and ground at 0.5 mm (S240/0.5) has rheological properties not as good as S240/0.12 and S300/0.5 that seem to have similar characteristics. Finally, further experiments are necessary to obtain a better morphological and rheological particle characterization

Experimental study of self-heating phenomena during torrefaction of spherical wood particles

WasteENG : 6th International Conference on Engineering for Waste and Biomass Valorisation and 2nd WasteEng Summer SchoolInternational audienceTorrefaction is a thermal degradation process undertaken in the absence - or with a very low concentration - of oxygen. Generally, temperature is between 250 and 300°C and residence time from 10 to 60 minutes. It is seen as a promising pretreatment in the biomass energetic valorization scheme. Meanwhile torrefaction technology is developed at industrial scale, the market is still in development. Nevertheless, depending on process conditions, a subcritical self-heating might happen during biomass torrefaction due to the presence of exothermic reactions. Yet, this reactivity is not well understood but, as the temperature is a key parameter to control both quality and quantity of torrefied materials, this phenomenon is critical for industrial implementation and process reliability.Torrefaction experiments are carried out with spherical beech wood particles of different diameters - 2, 3, 5 and 9 cm - and at three temperatures: 250, 275 and 300°C. Five thermocouples are set in the spheres at various depths and positions to consider wood anisotropy. The experiments are conducted in an electrically heated oven. Nitrogen is used as sweeping gas. The 30 L/min stream is pre-heated before being introduced in the reactor. After torrefaction, the particles are cut in the middle and Raman analysis is carried out along the radius. A subcritical self-heating is systematically observed for the biggest particles (d≥5cm), whatever the torrefaction temperature. Raman analysis emphasizes a concentration gradient of oxygen, along fiber direction exclusively, when a self-heating has occured. This finding supports the idea that oxygenated volatile matters react with the solid materials undergoing torrefaction. The crossing point method is currently applied to determine the activation energy of the torrefaction reaction, which is a critical parameter for process modeling

HARMONI at ELT: project status and instrument overview

International audienceHARMONI is the first light visible and near-IR integral field spectrograph for the ELT. It covers a large spectral range from 450 nm to 2450 nm with resolving powers from 3500 to 18000 and spatial sampling from 60 mas to 4 mas. It can operate in two Adaptive Optics modes - SCAO (including a High Contrast capability) and LTAO - or with NOAO. The project is preparing for Final Design Reviews. HARMONI is a work-horse instrument that provides efficient, spatially resolved spectroscopy of extended objects or crowded fields of view. The gigantic leap in sensitivity and spatial resolution that HARMONI at the ELT will enable promises to transform the landscape in observational astrophysics in the coming decade. The project has undergone some key changes to the leadership and management structure over the last two years. We present the salient elements of the project restructuring, and modifications to the technical specifications. The instrument design is very mature in the lead up to the final design review. In this paper, we provide an overview of the instrument's capabilities, details of recent technical changes during the red flag period, and an update of sensitivities

Interspecies sexual behaviour between a male Japanese macaque and female sika deer

International audienceInterspecies sexual behaviour or ‘reproductiveinterference’ has been reported across a wide range ofanimal taxa. However, most of these occurrences wereobserved in phylogenetically close species and weremainly discussed in terms of their effect on fitness,hybridization and species survival. The few cases ofheterospecific mating in distant species occurred betweenanimals that were bred and maintained in captivity. Onlyone scientific study has reported this phenomenon,describing sexual harassment of king penguins by anAntarctic fur seal. This is the first article to report matingbehaviour between a male Japanese macaque (Macacafuscata yakui) and female sika deer (Cervus nipponyakushimae) on Yakushima Island, Japan. Although Japanesemacaques are known to ride deer, this individualshowed clearly sexual behaviour towards several femaledeer, some of which tried to escape whilst others acceptedthe mount. This male seems to belong to a group ofperipheral males. Although this phenomenon may beexplained as copulation learning, this is highly unlikely.The most realistic hypothesis would be that of matedeprivation, which states that males with limited access tofemales are more likely to display this behaviour. Whateverthe cause for this event may be, the observation ofhighly unusual animal behaviour may be a key to understandingthe evolution of heterospecific mating behaviourin the animal kingdom