Recovering the real-world density and liquidity premia from option data

© 2016 Informa UK Limited, trading as Taylor & Francis Group. In this paper, we develop a methodology for simultaneous recovery of the real-world probability density and liquidity premia from observed S&P 500 index option prices. Assuming the existence of a numéraire portfolio for the US equity market, fair prices of derivatives under the benchmark approach can be obtained directly under the real-world measure. Under this modelling framework, there exists a direct link between observed call option prices on the index and the real-world density for the underlying index. We use a novel method for the estimation of option-implied volatility surfaces of high quality, which enables the subsequent analysis. We show that the real-world density that we recover is consistent with the observed realized dynamics of the underlying index. This admits the identification of liquidity premia embedded in option price data. We identify and estimate two separate liquidity premia embedded in S&P 500 index options that are consistent with previous findings in the literature

Exploiting structure in parallel implementation of interior point methods for optimization

Interior point methods, Parallelism, Optimization, Structure exploitation, Object-oriented,

Fast linear control for maximum energy efficiency of wireless power transfer systems

3rd IEEE International Future Energy Electronics Conference and ECCE Asia, IFEEC - ECCE Asia 2017, Kaohsiung, Taiwan, 3-7 June 2017Inductive power transfer (IPT) converters are resonant converters that optimize energy efficiencies at some loads. To achieve maximum efficiency, it is common to cascade the IPT converter with front-side and load-side dc-dc converters. The two dc-dc converters are normally controlled cooperatively in order to meet the requirements of output regulation and maximum efficiency tracking using a control technique based on perturbation and observation, which is inevitably slow in response. In this paper, a decoupled control technique is developed. The load-side dc-dc converter is solely responsible for output regulation while the front-side converter is responsible for impedance-matching of the IPT converter by controlling its input-to-output voltage ratio. The controls are linear and therefore fast. DC and small-signal transfer functions are derived for designing the control parameters. The performances of fast regulation and high efficiency of the IPT converter system are verified using a prototype system.Department of Electronic and Information Engineering2016-2017 > Academic research: refereed > Refereed conference paperbcw