Pricing and Inference with Mixtures of Conditionally Normal Processes.

We consider the problems of derivative pricing and inference when the stochastic discount factor has an exponential-affine form and the geometric return of the underlying asset has a dynamics characterized by a mixture of conditionally Normal processes. We consider both the static case in which the underlying process is a white noise distributed as a mixture of Gaussian distributions (including extreme risks and jump diffusions) and the dynamic case in which the underlying process is conditionally distributed as a mixture of Gaussian laws. Semi-parametric, non parametric and Switching Regime situations are also considered. In all cases, the risk-neutral processes and explicit pricing formulas are obtained.Derivative Pricing ; Stochastic Discount Factor ; Implied Volatility, Mixture of Normal Distributions ; Mixture of Conditionally Normal Processes ; Nonparametric Kernel Estimation ; Mixed-Normal GARCH Processes ; Switching Regime Models.

Hoch- und spätmittelalterlicher Stuck. Material - Technik - Stil - Restaurierung. Kolloquium des Graduiertenkollegs « Kunstwissenschaft - Bauforschung - Denkmalpflege » der Otto-Friedrich- Universität Bamberg und der Technischen Universität Berlin, Bamberg 16-18 März 2000, éd. Martin Hoernes. Ratisbonne, Schnell & Steiner, 2002.

Recension dans les Cahiers de Civilisation Médiévale, 49, n° 193Ce volume rassemble les contributions présentées au colloque de Bamberg, du 16 au 18 mars 2000 intitulé : « Stucs du haut et du bas Moyen Âge : matériau, technique, style, restauration

Poitiers – Hypogée des Dunes

Identifiant de l'opération archéologique : 204770 Date de l'opération : 2009 (SD) L’hypogée des Dunes est un petit édifice semi enterré, situé dans l’enceinte d’une nécropole gallo-romaine, placé le long de la voie romaine reliant Poitiers à Bourges. Sa datation avancée par le Père de la Croix à la fin du XIXe s. correspond au haut Moyen Âge (autour du VIIe s.). Ce site présente une rare richesse archéologique pour cette période, associant inscriptions gravées et peintes, sépultures, peinture..

Optimisation d'une nouvelle machine pour creuser des parois moulées

On décrit dans ce rapport l'amélioration d'une nouvelle machine pour creuser des parois moulées, en particulier l'allègement et la simplification de celle-ci. Après avoir présenté le contexte des projets européen et français qui ont vu l'évolution de cette machine, on propose un nouveau design du module qui contribue principalement à l'alourdir

Towards seamless interfacing between dynamic languages and native code

Existing approaches to interfacing high- and low-level code push considerable burdens onto the programmer, such as wrapper maintenance, explicit code generation, interface re-declaration, and/or signalling to garbage collectors. We note that run-time information on data layout and allocations in native code is available, and may be extended with knowledge of object lifetimes to assist in automating garbage collection. We describe work in progress towards an extension of the CPython virtual machine along these lines. We report initial experience building a first working prototype,and some early performance experiments

Structural characterisation of corrosion products on archaeological iron. An integrated analytical approach to establish corrosion forms

International audienceThe description and identification of corrosion products formed on archaeological iron artefacts needs various approaches at different observation scales. For this study, samples of five different sites were prepared using two techniques. The first one consists in cutting cross sections perpendicular to corrosion layers. This allows local observations and analysis of the corrosion layer stratigraphy at different levels. The second one consists in performing manual grinding or abrading of the corrosion layers starting from the current surface of the excavated artefact to the metal core. It allows the description of the successive layers and is well adapted for the analysis on a larger scale. In addition to these two observation scales, the identification of the iron oxides formed needs the coupling of several complementary techniques. Elementary compositions were determined by SEM-EDX and Electron Micro-Probe Analysis (EMPA). Structural identification was performed by X-ray micro Diffraction under synchrotron radiation (µXRD) and micro Raman spectroscopy. These analyses were performed on the same samples both with X-ray diffraction and Raman spectroscopy in order to ensure a reliable characterisation. In some cases there are some ambiguities or overlapping between signatures of different phases by micro X-rays diffraction (as maghemite/magnetite) or Raman spectroscopy (as goethite/magnetite) which can be raised by the association of the two methods. The final aim is to set up an analytical methodology that will be the best for the study of ancient iron corrosion products. It is the first step of the study of long term mechanisms of iron in soil

Cluny et la couleur

undefine

An AST for Representing Programs with Invariants and Proofs

National audienceDeductive verification enables one to check that a program satisfies its specification. There are mainly two approaches: either the user provides invariants in the form of annotations and use a tool to extract proof obligations, like in, e.g., Why3; or the user verifies the program through interactive proofs, like in, e.g., CFML, by providing invariants during the proof steps. We are interested in expressing in Coq the representation of a program, accompanied with not only its invariants but also its proof terms. Concretely, we present an AST for representing source code and specification in a deep embedding style, and embedded lemmas in shallow embedding style. Such lemmas can be established using the full capabilities of the prover. We develop a way to build these ASTs from source code using CFML-style interactive tactics. We also develop a way to build these ASTs by extracting proof obligations from source code already annotated with its invariants. Besides, we provide a way to validate our ASTs by reifying them as Coq proof terms. This work is a first step towards a long term project to devise a trustworthy, userguided, source-to-source optimization framework. On the one hand, we may need to exploit invariants to justify the correctness of code transformations. On the other hand, to be able to chain transformations, we also need every transformation to update the program annotations

An alternative competing risk model to the Weibull distribution in lifetime data analysis

A simple competing risk distribution as a possible alternative to the Weibull distribution in lifetime analysis is proposed. This distribution corresponds to the minimum between exponential and Weibull distributions. Our motivation is to take account of both accidental and aging failures in lifetime data analysis. First, the main characteristics of this distribution are presented. Then the estimation of its parameters are considered through maximum likelihood and Bayesian inference. Decision tests to choose between an exponential, Weibull and this competing risk distribution are presented. And this alternative model is compared to the Weibull model from numerical experiments on both real and simulated data sets