A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and random intensity jumps. Previous studies have focussed primarily on pure jump processes with constant intensity and log-normal jumps or constant jump intensity combined with a one factor stochastic volatility model. We introduce several generalizations which can better accommodate several empirical features of returns data. In their most general form we introduce a class of processes which nests jump-diffusions previously considered in empirical work and includes the affine class of random intensity models studied by Bates (1998) and Duffie, Pan and Singleton (1998) but also allows for non-affine random intensity jump components. We attain the generality of our specification through a generic Lévy process characterization of the jump component. The processes we introduce share the desirable feature with the affine class that they yield analytically tractable and explicit option pricing formula. The non-affine class of processes we study include specifications where the random intensity jump component depends on the size of the previous jump which represent an alternative to affine random intensity jump processes which feature correlation between the stochastic volatility and jump component. We also allow for and experiment with different empirical specifications of the jump size distributions. We use two types of data sets. One involves the S&P500 and the other comprises of 100 years of daily Dow Jones index. The former is a return series often used in the literature and allows us to compare our results with previous studies. The latter has the advantage to provide a long time series and enhances the possibility of estimating the jump component more precisely. The non-affine random intensity jump processes are more parsimonious than the affine class and appear to fit the data much better. Nous présentons une nouvelle classe de processus à sauts avec volatilité stochastique. Cette nouvelle classe généralise les modèles affinés proposés par Duffie, Pan et Singleton (1998). La généralité se manifeste par une représentation générique des sauts par un processus de Lévy. La classe des processus que nous présentons nous fournit également des prix d'options. Une application empirique démontre la présence de sauts dans des séries financières telles le S&P500 et le Dow Jones. De plus, les processus n'ont pas une intensité constante. Nous analysons plusieurs spécifications empiriques.Efficient method of moments, Poisson processes, jump processes, stochastic volatility models, filtering, Processus à sauts, mesures de Lévy, modèles à volatilité stochastique

Multifocal Basal‐Cell Carcinomas in a Nevus Sebaceus of Jadassohn

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/98829/1/j.1524-4725.1981.tb00668.x.pd

Benchmarking Hashing Algorithms for Load Balancing in a Distributed Database Environment

Modern high load applications store data using multiple database instances. Such an architecture requires data consistency, and it is important to ensure even distribution of data among nodes. Load balancing is used to achieve these goals. Hashing is the backbone of virtually all load balancing systems. Since the introduction of classic Consistent Hashing, many algorithms have been devised for this purpose. One of the purposes of the load balancer is to ensure storage cluster scalability. It is crucial for the performance of the whole system to transfer as few data records as possible during node addition or removal. The load balancer hashing algorithm has the greatest impact on this process. In this paper we experimentally evaluate several hashing algorithms used for load balancing, conducting both simulated and real system experiments. To evaluate algorithm performance, we have developed a benchmark suite based on Unidata MDM~ -- a scalable toolkit for various Master Data Management (MDM) applications. For assessment, we have employed three criteria~ -- uniformity of the produced distribution, the number of moved records, and computation speed. Following the results of our experiments, we have created a table, in which each algorithm is given an assessment according to the abovementioned criteria

Thermal Stabilization of Permafrost Using Thermal Coils Inside Foundation Piles

The article deals with the issue of thermal stabilization of soils to preserve the stability of pile foundations in permafrost conditions. The purpose of the work is to develop a technology for year-round freezing of soils by supplying coolant cooled by a refrigeration machine to thermal elements placed inside piles. In this work, the temperature regime of the system "pile foundation – soil" in the stationary formulation of the problem was simulated, and the influence of the depth of placement of thermal elements inside the piles on the soil temperature was investigated. The simulation was performed in the COMSOL software environment, taking into account the heat transfer due to thermal conduction and convection. In the presented model, a platform is fixed on piles, and a heat source is placed on the platform. It is found that an area of thawed soil has formed on the leeward side of the pile foundation. It is concluded that, under certain conditions, deep thermal elements for freezing or keeping the soil frozen should be placed at different depths. Thus, under given conditions, a greater depth of the thermal element placement in the pile, closest to the soil thawing zone, allows to reduce the surface temperature of the pile below ground level and, therefore, increase its bearing capacity. The authors also propose an original unit for soil thermostabilization based on the absorption cooling machine, which can operate at the expense of thermal energy generated by technological sources located on the platform. Doi: 10.28991/CEJ-2023-09-04-013 Full Text: PD

The Photographs of Baluev : capturing the "socialist transformation” of the Krasnoyarsk northern frontier, 1938-1939

Peer reviewedPublisher PD