Calibrating a market model with stochastic volatility to commodity and interest rate risk

© 2016 Informa UK Limited, trading as Taylor & Francis Group. Based on the multi-currency LIBOR Market Model, this paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function allowing the model to simultaneously fit the implied volatility surfaces of commodity and interest rate options. Since liquid market prices are only available for options on commodity futures, rather than forwards, a convexity correction formula for the model is derived to account for the difference between forward and futures prices. A procedure for efficiently calibrating the model to interest rate and commodity volatility smiles is constructed. Finally, the model is fitted to an exogenously given correlation structure between forward interest rates and commodity prices (cross-correlation). When calibrating to options on forwards (rather than futures), the fitting of cross-correlation preserves the (separate) calibration in the two markets (interest rate and commodity options), while in the case of futures a (rapidly converging) iterative fitting procedure is presented. The fitting of cross-correlation is reduced to finding an optimal rotation of volatility vectors, which is shown to be an appropriately modified version of the ‘orthonormal Procrustes’ problem in linear algebra. The calibration approach is demonstrated in an application to market data for oil futures

Identification of the resonant-grounded system parameters by evaluating fault measurement records

Copyright © 2004 IEEEThe operation of a resonant-grounded network during an earth-fault condition depends on the three basic parameters: damping, detuning, and unbalance factor. These parameters are influenced by the environmental conditions (e.g. humidity, temperature, and pollution), and the network topology. Accurate values of these parameters during an earth-fault condition are required to examine the operation of the compensation system. The fault records could be used for that purpose. The recorded neutral-to-ground voltage signals have been parameterized (using damping and detuning as parameters) according to the mathematical model of the transient process. Iteratively reweighted least squares algorithm has been used to fit the model. This algorithm is the major improvement over the classical least squares approach. It is able to filter out noise more efficiently. As a direct result, very accurate parameter identification has been achieved. This paper concludes with the practical examples.Rastko Zivanovic´, Peter Schegner, Olaf Seifert, and Georg Pil

Flip Distance Between Triangulations of a Simple Polygon is NP-Complete

Let T be a triangulation of a simple polygon. A flip in T is the operation of removing one diagonal of T and adding a different one such that the resulting graph is again a triangulation. The flip distance between two triangulations is the smallest number of flips required to transform one triangulation into the other. For the special case of convex polygons, the problem of determining the shortest flip distance between two triangulations is equivalent to determining the rotation distance between two binary trees, a central problem which is still open after over 25 years of intensive study. We show that computing the flip distance between two triangulations of a simple polygon is NP-complete. This complements a recent result that shows APX-hardness of determining the flip distance between two triangulations of a planar point set.Comment: Accepted versio

történeti dráma 5 felvonásban - irta: Sardou Viktor - francziából forditotta: Paulay Ede és Szerdahelyi Kálmán

Debreczeni Szinház. Kedd, 1881. évi november hó 15-kán. Krecsányi Ignácz igazgatása alatti dráma-, vigjáték-, népszinmű- és operette-szintársulat által, Abonyi Gyula jutalomjátékaul.Debreceni Egyetem Egyetemi és Nemzeti Könyvtá

Management impacts on the ectomycorrhizal associations of Pseudotsuga menziesii var. menziesii seedlings : field and greenhouse bioassays

Field and greenhouse bioassays were used to compare the mycorrhizal associations of Douglas-fir seedlings from undisturbed forests, and nonburned and burned portions of clearcuts on three Sites in the west-central Cascades of Oregon. Field soil transfers and greenhouse soil pasteurization and reinoculation were used to investigate soil biology and inoculum potential. Similar mycorrhizal associations developed in soils from the three regeneration treatments in both field and greenhouse. Regarciless of soil origin, proportionately snore mycorrflizae developed in clearcuts (especially on site 2); the Brown mycorrhiza type was more frequent in nonburned clearcuts than in other treatments, and the most Cenococcum mycorrhizae formed in burned clearcuts. Rhizopogon species occurred in the clay-silt soil of the low-elevation site only when that soil was loosened and aerated in the soil transfer. The greatest numbers of Cenococcum mycorrhizae were found at the high-elevation site, and the greatest number of Brown mycorrhizae on the mid-elevation site. Major field mycorrhiza types iere also observed in the greenhouse. Rilizopogon and Brown types constituted the same proportion of total mycorrhizae on both greenhouse and field seedlings from sites 2 and 3, but not site 1. Greenhouse proportions of Cenococcum and other infrequent mycorrhiza types did not reflect field proportions. Seedling growth, as well as nonrnycorrhizal and total root tip numbers were increased in pasteurized soil. Reinoculation of pasteurized soils reduced nonmycorrhizal and total root tip numbers, albeit not to original levels. A reinoculation ratio of 1 (nonpasteurized soil): 9 (pasteurized soil) produced as many mycorrhizae as entirely nonpasteurized soil. For these sites, fungal propagule availability or alterations of soil biology and chemistry by timber harvest and slash burning are less important as determinants of first year mycorrhizal associations than above-ground alterations in the seedling environment. Mycorrhiza formation may be impaired by dense or clayey soils. Some soil microbiological factors limit seedling growth. Silvicultural management of the above-ground environment to ensure prompt regeneration and inoculation of nursery stock with several species of site-specific mycosymbionts snould optimize rnycorrhizal symioses of outplanted seedlings

Adverse drug reactions associated with amitriptyline - protocol for a systematic multiple-indication review and meta-analysis

Background: Unwanted anticholinergic effects are both underestimated and frequently overlooked. Failure to identify adverse drug reactions (ADRs) can lead to prescribing cascades and the unnecessary use of over-thecounter products. The objective of this systematic review and meta-analysis is to explore and quantify the frequency and severity of ADRs associated with amitriptyline vs. placebo in randomized controlled trials (RCTs) involving adults with any indication, as well as healthy individuals. Methods: A systematic search in six electronic databases, forward/backward searches, manual searches, and searches for Food and Drug Administration (FDA) and European Medicines Agency (EMA) approval studies, will be performed. Placebo-controlled RCTs evaluating amitriptyline in any dosage, regardless of indication and without restrictions on the time and language of publication, will be included, as will healthy individuals. Studies of topical amitriptyline, combination therapies, or including <100 participants, will be excluded. Two investigators will screen the studies independently, assess methodological quality, and extract data on design, population, intervention, and outcomes ((non-)anticholinergic ADRs, e.g., symptoms, test results, and adverse drug events (ADEs) such as falls). The primary outcome will be the frequency of anticholinergic ADRs as a binary outcome (absolute number of patients with/without anticholinergic ADRs) in amitriptyline vs. placebo groups. Anticholinergic ADRs will be defined by an experienced clinical pharmacologist, based on literature and data from Martindale: The Complete Drug Reference. Secondary outcomes will be frequency and severity of (non-)anticholinergic ADRs and ADEs. The information will be synthesized in meta-analyses and narratives. We intend to assess heterogeneity using metaregression (for indication, outcome, and time points) and I2 statistics. Binary outcomes will be expressed as odds ratios, and continuous outcomes as standardized mean differences. Effect measures will be provided using 95% confidence intervals. We plan sensitivity analyses to assess methodological quality, outcome reporting etc., and subgroup analyses on age, dosage, and duration of treatment. Discussion: We will quantify the frequency of anticholinergic and other ADRs/ADEs in adults taking amitriptyline for any indication by comparing rates for amitriptyline vs. placebo, hence, preventing bias from disease symptoms and nocebo effects. As no standardized instrument exists to measure it, our overall estimate of anticholinergic ADRs may have limitations

Investigation of constitutive relationship and dynamic recrystallization behavior of 22MnB5 during hot deformation

In order to analyze the softening behavior of 22MnB5 steel and further predict the constitutive relationship during hot sheet metal forming, a series of isothermal hot compression tests were conducted at the temperature range of 800–950 °C and strain rate range of 0.01–0.8 s−1 on BAEHR 805 A/D thermo-mechanical simulator system. Based on the friction corrected flow curves, the characteristic strain and stress of dynamic recrystallization (DRX) were derived from the Kocks-Mecking plots and expressed as a function of Zener-Hollomon parameter. Moreover, a physical constitutive model considering work hardening (WH), dynamic recovery (DRV) and DRX as well as corresponding JMAK-type DRX kinetics were developed. The results showed that the established physical equations can accurately predict the flow behavior with a correlation coefficient of 0.997 and average absolute relative error of 3.89%. Optical observation of the microstructure after hot compression revealed that the established DRX kinetics accurately reflects the reality, and then a Zener-Hollomon parameter dependent dynamic recrystallized grain size model was developed. Furthermore, EBSD analysis was carried out to study the effect of deformation conditions on martensite morphology and the results show that a lower temperature and higher strain rate lead to a finer martensite packet while the martensite block width becomes larger under the higher strain rate

Uncertainty of biomass contributions from agriculture and forestry to renewable energy resources under climate change

In the future, Germany's land-use policies and the impacts of climate change on yields will affect the amount of biomass available for energy production. We used recent published data on biomass potentials in the federal states of Germany to assess the uncertainty caused by climate change effects in the potential supply of biomass available for energy production. In this study we selected three climate scenarios representing the maximum, mean and minimum temperature increase for Germany out of 21 CMIP5-projections driven by the Representative Concentration Pathways (RCP) 8.5 scenario. Each of the three selected projections was downscaled using the regional statistical climate model STARS. We analysed the yield changes of four biomass feedstock crops (forest, short-rotation coppices (SRC), cereal straw (winter wheat) and energy maize) for the period 2031–2060 in comparison to 1981–2010. The mean annual yield changes of energy wood from forest and short-rotation coppices were modelled using the process-based forest growth model 4C. The yield changes of winter wheat and energy maize from agricultural production were simulated with the statistical yield model IRMA. Germany's annual biomass potential of 1500 PJ varies between minus 5 % and plus 8 % depending on the climate scenario realisation. Assuming that 1500 PJ of biomass utilisation can be achieved, climate change effects of minus 75 (5 %) PJ or plus 120 (8 %) PJ do not impede overall bioenergy targets of 1287 PJ in 2020 and 1534 PJ in 2050. In five federal states the climate scenarios lead to decreasing yields of energy maize and winter wheat. Impacts of climate scenarios on forest yields are mainly positive and show both positive and negative effects on yields of SRC