A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse

We present a method for calculating the extreme tail quantiles, over arbitrary holding periods, of a continuous-time stochastic volatility model of the form proposed by Scott (1987) with correlation between the processes for volatility and price. The fat tails of this model enable a consistent, tuneable, stylised representation of non-normality in extreme moves of prices across diering markets. Because the model is analytically intractable, four moments are derived by numeric integration and matched to a one-period version of the model, whose quantiles are then found by further numeric integration. We also present a novel Monte-Carlo simulation scheme, which we have used to confirm the accuracy of the moment-matching approximation for quantiles as extreme as one-millionth. Two methods for calibrating the model to market data are also proposed. The model is used in production stress testing at nabCapital to define consistent real-world probabilities for extreme shocks over heterogeneous holding periods.

Designing Statistical Language Learners: Experiments on Noun Compounds

The goal of this thesis is to advance the exploration of the statistical language learning design space. In pursuit of that goal, the thesis makes two main theoretical contributions: (i) it identifies a new class of designs by specifying an architecture for natural language analysis in which probabilities are given to semantic forms rather than to more superficial linguistic elements; and (ii) it explores the development of a mathematical theory to predict the expected accuracy of statistical language learning systems in terms of the volume of data used to train them. The theoretical work is illustrated by applying statistical language learning designs to the analysis of noun compounds. Both syntactic and semantic analysis of noun compounds are attempted using the proposed architecture. Empirical comparisons demonstrate that the proposed syntactic model is significantly better than those previously suggested, approaching the performance of human judges on the same task, and that the proposed semantic model, the first statistical approach to this problem, exhibits significantly better accuracy than the baseline strategy. These results suggest that the new class of designs identified is a promising one. The experiments also serve to highlight the need for a widely applicable theory of data requirements.Comment: PhD thesis (Macquarie University, Sydney; December 1995), LaTeX source, xii+214 page

The Universal Oxygen Connector

Abstract The purpose of this paper is to describe the benefits of using the Universal Oxyge

The performing arts in second language acquisition

This paper is a report on the experience of dramatizing Hans Peter Richter’s novel Damals war es Friedrich (1961). Subsequent to the discussion of the novel in an upper division German class, students and I worked on a dramatized version of the text. The play was performed in the Black Box Theater at Georgetown University, Washington D.C., on April 11, 2006. The first part of the report will illustrate how the work on the play was embedded within the context of a literacy approach towards teaching German as a foreign language. In addition to outlining the benefits of including a theater performance in language education, as experienced during the rehearsals and the performance of the play, the second part of the report will discuss how the project was carried out. This paper is a report on the experience of dramatizing Hans Peter Richter’s novel Damals war es Friedrich (1961). Subsequent to the discussion of the novel in an upper division German class, students and I worked on a dramatized version of the text. The play was performed in the Black Box Theater at Georgetown University, Washington D.C., on April 11, 2006. The first part of the report will illustrate how the work on the play was embedded within the context of a literacy approach towards teaching German as a foreign language. In addition to outlining the benefits of including a theater performance in language education, as experienced during the rehearsals and the performance of the play, the second part of the report will discuss how the project was carried out

Adjusting for inflation and currency changes within health economic studies

Objectives: Within health economic studies, it is often necessary to adjust costs obtained from different time periods for inflation. Nevertheless, many studies do not report the methods used for this in sufficient detail. In this article, we outline the principal methods used to adjust for inflation, with a focus on studies relating to healthcare interventions in low- and middle-income countries. We also discuss issues relating to converting local currencies to international dollars and US$and adjusting cost data collected from other countries or previous studies. Methods: We outlined the 3 main methods used to adjust for inflation for studies in these settings: exchanging the local currency to US$ or international dollars and then inflating using US inflation rates (method 1); inflating the local currency using local inflation rates and then exchanging to US$or international dollars (method 2); splitting the costs into tradable and nontradable resources and using method 1 on the tradable resources and method 2 on the nontradable resources (method 3). Results: In a hypothetical example of adjusting a cost of US$100 incurred in Vietnam from 2006 to 2016 prices, the adjusted cost from the 3 methods were US$116.84, US$172.09, and US$161.04, respectively. Conclusions: The different methods for adjusting for inflation can yield substantially different results. We make recommendations regarding the most appropriate method for various scenarios. Moving forward, it is vital that studies report the methodology they use to adjust for inflation more transparently

Primary Dendrite Arm Spacings in Al-7Si Alloy Directionally Solidified on the International Space Station

Samples from directionally solidified Al- 7 wt. % Si have been analyzed for primary dendrite arm spacing (lambda) and radial macrosegregation. The alloy was directionally solidified (DS) aboard the ISS to determine the effect of mitigating convection on lambda and macrosegregation. Samples from terrestrial DS-experiments thermal histories are discussed for comparison. In some experiments, lambda was measured in microstructures that developed during the transition from one speed to another. To represent DS in the presence of no convection, the Hunt-Lu model was used to represent diffusion controlled growth under steady-state conditions. By sectioning cross-sections throughout the entire length of a solidified sample, lambda was measured and calculated using the model. During steady-state, there was reasonable agreement between the measured and calculated lambda's in the space-grown samples. In terrestrial samples, the differences between measured and calculated lambda's indicated that the dendritic growth was influenced by convection