Piston-ring lubricant failure in diesel engines

Imperial Users onl

Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market

This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump assets or moment swaps. In the case of European options or baskets of European options, static hedging is implemented. It is shown that perfect hedging can be achieved. Delta and gamma hedging strategies are extended to higher moment hedging by investing in other traded derivatives depending on the same underlying asset. This development is of practical importance as such other derivatives might be readily available. Moment swaps or power jump assets are not typically liquidly traded. It is shown how minimal variance portfolios can be used to hedge the higher order terms in a Taylor expansion of the pricing function, investing only in a risk-free bank account, the underlying asset and potentially variance swaps. The numerical algorithms and performance of the hedging strategies are presented, showing the practical utility of the derived results.Comment: 32 pages, 6 figure

Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market

This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump assets or moment swaps. In the case of European options or baskets of European options, static hedging is implemented. It is shown that perfect hedging can be achieved. Delta and gamma hedging strategies are extended to higher moment hedging by investing in other traded derivatives depending on the same underlying asset. This development is of practical importance as such other derivatives might be readily available. Moment swaps or power jump assets are not typically liquidly traded. It is shown how minimal variance portfolios can be used to hedge the higher order terms in a Taylor expansion of the pricing function, investing only in a risk-free bank account, the underlying asset and potentially variance swaps. The numerical algorithms and performance of the hedging strategies are presented, showing the practical utility of the derived results.Hedging Strategies; Levy processes; Variance Gamma; Choatic Representation Property; Power Jump Processs; Variance Swaps; Moment Swaps

Performance Basis for Airborne Separation

Emerging applications of Airborne Separation Assistance System (ASAS) technologies make possible new and powerful methods in Air Traffic Management (ATM) that may significantly improve the system-level performance of operations in the future ATM system. These applications typically involve the aircraft managing certain components of its Four Dimensional (4D) trajectory within the degrees of freedom defined by a set of operational constraints negotiated with the Air Navigation Service Provider. It is hypothesized that reliable individual performance by many aircraft will translate into higher total system-level performance. To actually realize this improvement, the new capabilities must be attracted to high demand and complexity regions where high ATM performance is critical. Operational approval for use in such environments will require participating aircraft to be certified to rigorous and appropriate performance standards. Currently, no formal basis exists for defining these standards. This paper provides a context for defining the performance basis for 4D-ASAS operations. The trajectory constraints to be met by the aircraft are defined, categorized, and assessed for performance requirements. A proposed extension of the existing Required Navigation Performance (RNP) construct into a dynamic standard (Dynamic RNP) is outlined. Sample data is presented from an ongoing high-fidelity batch simulation series that is characterizing the performance of an advanced 4D-ASAS application. Data of this type will contribute to the evaluation and validation of the proposed performance basis

Achieving TASAR Operational Readiness

NASA has been developing and testing the Traffic Aware Strategic Aircrew Requests (TASAR) concept for aircraft operations featuring a NASA-developed cockpit automation tool, the Traffic Aware Planner (TAP), which computes traffic/hazard-compatible route changes to improve flight efficiency. The TAP technology is anticipated to save fuel and flight time and thereby provide immediate and pervasive benefits to the aircraft operator, as well as improving flight schedule compliance, passenger comfort, and pilot and controller workload. Previous work has indicated the potential for significant benefits for TASAR-equipped aircraft, and a flight trial of the TAP software application in the National Airspace System has demonstrated its technical viability. This paper reviews previous and ongoing activities to prepare TASAR for operational use

Productivity measurement and resource allocation in the operation of an electric utility

The simplest and, perhaps, most traditional definition of productivity, output divided by input, is still unchallengeable. This study deals with the productivity of an electric utility at the firm level, using the economic production function theory to construct multi-factor productivity (MFP) indexes. These MFP indexes, together with the partial factor productivity (PFP) indexes, can be used as managerial tools to identify the possible inefficient utilization of input resources. They also provide a rough overview of how well these input resources are being managed;In this study, output is defined as the sales of electricity to the ultimate customers and sales for resale. The input resources are capital, labor, fuel, purchased power and miscellaneous materials, which were aggregated by means of the methodology developed using their cost shares as weights. A case study of this productivity model was carried out for the period 1974-1979;A goal programming model, a technique of operations research, was also developed to allocate the input resources in an efficient and effective manner so that a certain percentage growth in productivity can be satisfied and the other objectives (goals) of the electric power system also be fully met. The productivity measures coupled with the goal programming technique are shown to be a very useful tool to assist management in making crucial decisions with respect to input resources in any electric utility company