Approximation solutions for indifference pricing under general utility functions

With the aid of Taylor-based approximations, this paper presents results for pricing insurance contracts by using indifference pricing under general utility functions. We discuss the connection between the resulting "theoretical" indifference prices and the pricing rule-of-thumb that practitioners use: Best Estimate plus a "Market Value Margin". Furthermore, we compare our approximations to known analytical results for exponential and power utility

Stationarity and geometric ergodicity of a class of nonlinear ARCH models

A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and $\beta$-mixing solution is established under a mild assumption on the density of the underlying independent process. We give sufficient conditions for the existence of moments. The analysis relies on Markov chain theory. The model generalizes some important features of standard ARCH models and is amenable to further analysis.Comment: Published at http://dx.doi.org/10.1214/105051606000000565 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Monte Carlo simulations to understand 'breathing' phenomenon of metal organic frameworks

Metal Organic Frameworks (MOFs) are a new class of porous materials synthesized from metal clusters connected by organic linkers. One of the promising applications of MOFs is carbon capture from fuel gasses, where CO2 is adsorbed in the pores of the material. In this presentation, we explore framework flexibility as a possible mechanism for selective and reversible CO2 adsorption by means of Monte Carlo simulations. Most MOFs are fairly rigid structures, in the sense that they undergo small changes in volume when external stress is applied. Typical volume changes are of the order of a few percent only. Nevertheless, some MOF materials have an unexpectedly high flexibility and impressively shrink or swell under pressure, temperature or adsorption changes. A well-known example is MIL-53, a structure that shows volume changes of over 40%. In an adsorption experiment, the gas pressure is gradually increased while the amount of adsorbed material in the pores is measured. For MIL-53, the measured adsorption isotherm shows interesting features: when MIL-53 is brought into contact with a gas at increasing pressure, the framework's pores constrict, while at even higher pressures, the pores return to their original geometry. The process, referred to as "breathing", is reversible and shows hysteresis. Based on Monte Carlo runs, we have constructed a mean-field model to gain insight in the thermodynamics of the breathing. The model shows that the behavior is the result of the different factors at play in a (Nmof,μ,P,T) ensemble (constant amount of MOF material, constant gas chemical potential, constant gas pressure, constant temperature), i.e. the entropy, the pressure and the resistance given by the adsorbed particles. We further investigate how the MOFs' flexibility could be exploited to design an efficient pressure swing setup

Adolescents’ perceptions of digital media’s potential to elicit jealousy, conflict and monitoring behaviors within romantic relationships

Understanding the role of digital media in adolescents’ romantic relationships is essential to the prevention of digital dating violence. This study focuses on adolescents’ perceptions of the impact of digital media on jealousy, conflict, and control within their romantic relationships. Twelve focus group interviews were conducted, among 55 secondary school students (ngirls = 28; 51% girls) between the ages of 15 and 18 years (Mage = 16.60 years; SD age = 1.21), in the Dutch-speaking community of Belgium. The respondents identified several sources of jealousy within their romantic relationships, such as online pictures of the romantic partner with others and online messaging with others. Adolescents identified several ways in which romantic partners would react when experiencing feelings of jealousy, such as contacting the person they saw as a threat or looking up the other person’s social media profiles. Along with feelings of jealousy, respondents described several monitoring behaviors, such as reading each other’s e-mails or accessing each other’s social media accounts. Adolescents also articulated several ways that they curated their social media to avoid conflict and jealousy within their romantic relationships. For instance, they adapted their social media behavior by avoiding the posting of certain pictures, or by ceasing to comment on certain content of others. The discussion section includes suggestions for future research and implications for practice, such as the need to incorporate information about e-safety into sexual and relational education and the need to have discussions with adolescents, about healthy boundaries for communication within their friendships and romantic relationships.</jats:p

An efficient approach for the calculation of frequencies in macromolecules

I. INTRODUCTION. Conformational changes of macromolecules are essential in the understanding of e.g. proteins and drug design. The theoretical prediction is far from trivial, especially for large molecules. In many cases, collective motions are present which occur on a timescale (~ms) that is too long to be accessible through molecular dynamics simulations. Normal mode analysis (NMA) has been proven succesful in exploring the potential energy surface (PES) within the harmonic oscillator approximation. The lowest frequency modes contribute the most to a conformational change. This paper presents a computationally attractive method that selects modes from the lower spectrum

Simultaneous capacitive probe and planar laser-induced fluorescence measurements in downwards gas-liquid annular flow

Various experimental techniques are available to analyse two-phase flows. The measurement concept and the applicability can however vary greatly. Prime examples from the opposite spectrum are planar laser-induced measurements (PLIF) versus capacitive probes. PLIF is an optical technique, it is non-intrusive but optical access is necessary. PLIF based measurements are known for their high temporal and spatial resolution but require a costly set-up. In contrast, the capacitive probe is another non-intrusive technique but doesn’t require optical access. It is fairly easy to set up, robust, and is cheap to construct. To rigorously compare both techniques, simultaneous PLIF and capacitive probe measurements are made in this work. As the void fraction is one of the key parameters to classify flow regimes, both techniques are compared on the determination of the void fraction. This is done for a limited set of six annular flows. The experiments were performed in a downward annular-flow facility with demineralized water - air as working medium. The first results indicate that both techniques give similar volume averaged void fractions. The mean absolute percentage error and the maximum relative error between both techniques are 0.30% and 0.54%, respectively. The PLIF measurements confirm however to have a better spatial resolution

Normal mode analysis of macromolecular systems with the Mobile Block Hessian method

Until recently, normal mode analysis (NMA) was limited to small proteins, not only because the required energy minimization is a computationally exhausting task, but also because NMA requires the expensive diagonalization of a 3Na 3Na matrix with Na the number of atoms. A series of simplified models has been proposed, in particular the Rotation-Translation Blocks (RTB) method by Tama et al. for the simulation of proteins. It makes use of the concept that a peptide chain or protein can be seen as a subsequent set of rigid components, i.e. the peptide units. A peptide chain is thus divided into rigid blocks with six degrees of freedom each. Recently we developed the Mobile Block Hessian (MBH) method, which in a sense has similar features as the RTB method. The main difference is that MBH was developed to deal with partially optimized systems. The position/orientation of each block is optimized while the internal geometry is kept fixed at a plausible – but not necessarily optimized – geometry. This reduces the computational cost of the energy minimization. Applying the standard NMA on a partially optimized structure however results in spurious imaginary frequencies and unwanted coordinate dependence. The MBH avoids these unphysical effects by taking into account energy gradient corrections. Moreover the number of variables is reduced, which facilitates the diagonalization of the Hessian. In the original implementation of MBH, atoms could only be part of one rigid block. The MBH is now extended to the case where atoms can be part of two or more blocks. Two basic linkages can be realized: (1) blocks connected by one link atom, or (2) by two link atoms, where the latter is referred to as the hinge type connection. In this work we present the MBH concept and illustrate its performance with the crambin protein as an example

A theoretical and experimental spectroscopy study on methanol and ethanol conversion over H-SAPO-34

The elucidation of the structure-activity relation of zeolites or zeotype materials remains very challenging. Recent advances in both theoretical and experimental techniques provide new opportunities to study these complex materials and any catalytic reaction occurring inside. In order to establish new active reaction routes, the knowledge of formed intermediates is crucial. The characterization of such intermediates can be done using a variety of spectroscopic techniques. In this contribution, methanol and ethanol conversion over H-SAPO-34 is investigated using IR and UV-VIS measurements. Calculated adsorption enthalpies of methanol and ethanol in a large SAPO 44T finite cluster show the stronger adsorption of the larger alcohol by 14 kJ mol-1. Dispersion contributions are found to be crucial. IR spectra are calculated for the clusters containing the adsorbed alcohols and matched with experimental data. In addition, the cluster is also loaded with singly methylated cationic hydrocarbons as these are representative reaction intermediates. A detailed normal mode analysis is performed, enabling to separate the framework-guest contributions. Based on the computed data in situ DRIFT experimental peaks could be assigned. Finally, contemporary DFT functionals such as CAM-B3LYP seem promising to compute gas phase UV-VIS spectra