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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Comparative analysis of the SVJJ and the Hyperbolic models on the Swedish market

Anisimova, Ekaterina, Lapinski, Tomasz January 2008 (has links)
<p>In this thesis we investigate and compare two recently developed models of the option valuation according to the Swedish market. The first model is the Stochastic Volatility model with jumps in the stock price and the volatility (SVJJ) and the second is the Hyperbolic model. First of all we make brief introduction about the valuation of derivatives and considered models. Then we introduce methods for the estimation of parameters for each model. To solve this problem for the SVJJ model we use the Empirical Characteristic Function Estimation and for the Hyperbolic we use the Maximum Likelihood Method. Before explicit calculations (with estimated parameters) we describe the derivation of the pricing formula which is based on characteristic functions and densities. In conclusion we made numerical valuations of the call option prices for the OMXS30 index on the Swedish Stock Exchange. The main idea of this thesis is to compare 2 different models using numerical methods and the real data sets. To achieve this goal we firstly, compare the empirical characteristic function obtained from the market and the analytical ones for estimated parameters in case of both models. Secondly, we make a comparison of calculated call option prices and produce the summary.</p>
2

Comparative analysis of the SVJJ and the Hyperbolic models on the Swedish market

Anisimova, Ekaterina, Lapinski, Tomasz January 2008 (has links)
In this thesis we investigate and compare two recently developed models of the option valuation according to the Swedish market. The first model is the Stochastic Volatility model with jumps in the stock price and the volatility (SVJJ) and the second is the Hyperbolic model. First of all we make brief introduction about the valuation of derivatives and considered models. Then we introduce methods for the estimation of parameters for each model. To solve this problem for the SVJJ model we use the Empirical Characteristic Function Estimation and for the Hyperbolic we use the Maximum Likelihood Method. Before explicit calculations (with estimated parameters) we describe the derivation of the pricing formula which is based on characteristic functions and densities. In conclusion we made numerical valuations of the call option prices for the OMXS30 index on the Swedish Stock Exchange. The main idea of this thesis is to compare 2 different models using numerical methods and the real data sets. To achieve this goal we firstly, compare the empirical characteristic function obtained from the market and the analytical ones for estimated parameters in case of both models. Secondly, we make a comparison of calculated call option prices and produce the summary.
3

A Framework for Validating Reusable Behavioral Models in Engineering Design

Malak, Richard J., Jr. 28 April 2005 (has links)
Designers commonly use computer-based modeling and simulation methods to predict artifact behavior. Such predictions are central to engineering decision making. As such, determining how well they correspond to actual artifact behavior is a problem of critical importance. A significant aspect of this problem is determining whether the model used to generate the behavioral predictionsi.e., the behavioral modelreflects the relevant physical phenomena. The process of doing this is referred to as behavioral model validation. Prior works take an integrated approach to validation in which model creators and model users interact throughout the modeling and simulation process. Although effective for many problems, this type of approach is not appropriate for model reuse scenarios. Model validation requires knowledge about the model and its use. In model reuse scenarios, model creators and model users operate in independent processes with limited inter-process communication. The core challenge to behavioral model validation in this setting is that, in general, neither model creators nor model users possess the requisite knowledge to perform behavioral model validation. Presented in this thesis is a conceptual framework for validating reusable behavioral models in model reuse scenarios. This framework solves the problem of creator-user separation by defining specific validation responsibilities for each and an interface by which they communicate. This interface consists of a formal description of the models limitations and the domain over which these limitations are known to be true. The framework is illustrated through basic engineering examples.
4

Easy instances for model checking

Frick, Markus. January 2001 (has links) (PDF)
Freiburg (Breisgau), University, Diss., 2001.
5

Model Validation in Fire Protection Engineering

Lantz, Renee Vaillancourt 24 August 2001 (has links)
"In the prediction of phenomenon behavior there is a presupposition that a similarity exists between model and phenomenon. Success of application is derived from that similarity. An example of this approach is the use of similarity conditions such as Reynolds number in flow problems or Fourier number in heat transfer problems. The advent of performance-based codes has opened up opportunities for many diverse avenues of fire model implementation. The reliability of models depends upon model correspondence uncertainty. Model correspondence uncertainty is incomplete and distorted information introduced into a simulation by a modeling scheme. It manifests itself as 1) the uncertainty associated with the mathematical relationships hypothesized for a particular model, and 2) the uncertainty of the predictions obtained from the model. Improving model implementation by providing a method for rank-ordering models is the goal of the Model Validity Criterion (MVC) method. MVC values can be useful as a tool to objectively and quantitatively choose a model for an application or as part of a model improvement program. The MVC method calculates the amount of model correspondence uncertainty introduced by a modeling scheme. Model choice is based upon the strategy of minimizing correspondence uncertainty and therefore provides the model that best corresponds to the phenomenon. The MVC value for a model is quantified as the sum of the length of two files. These files are individual measures of model structure correspondence uncertainty and model behavior correspondence uncertainty. The combination of the two uncertainty components gives an objective and structured evaluation of the relative validity of each model from a set of likely candidate models. The model with the smallest uncertainty files has the lowest MVC value and is the model with the most validity. Ultimately the value of such a method is only realized from its utility. Example applications of the MVC method are demonstrated. Examples evaluate the rank-ordering of plume physics options used within the computer zone model WPI-Fire when validated against upper layer temperature data from compartment-fire test scenarios. The results show how candidate models of a set may be discriminated against based on validity. These results are powerful in that they allow the user to establish a quantitative measure for level of model performance and/or choose the most valid model for an application."
6

Study of phase separation in strongly correlated systems. / 強关联电子系統中相分离的研究 / Study of phase separation in strongly correlated systems. / Qiang guan lian dian zi xi tong zhong xiang fen li de yan jiu

January 2004 (has links)
Yu Min = 強关联电子系統中相分离的研究 / 俞敏. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 90-91). / Text in English; abstracts in English and Chinese. / Yu Min = Qiang guan lian dian zi xi tong zhong xiang fen li de yan jiu / Yu Min. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Motivation --- p.1 / Chapter 1.2 --- The Hubbard Model --- p.3 / Chapter 1.3 --- The extended Hubbard Model --- p.4 / Chapter 1.4 --- This project --- p.5 / Chapter 2 --- Methodology --- p.6 / Chapter 2.1 --- Hartree-Fock approximation --- p.6 / Chapter 2.2 --- The unrestricted Hartree-Fock method --- p.7 / Chapter 2.3 --- The restricted Hartree-Fock method --- p.10 / Chapter 2.3.1 --- "Paramagnetic phase, wave vector q = (0,0), r = 1" --- p.13 / Chapter 2.3.2 --- "Ferromagnetic phase, wave vector q = (0,0), r ≠ 1" --- p.13 / Chapter 2.3.3 --- "Wave vector g =(π,π),m ≠ 0; r = 1 antiferromagnetic phase; r≠1 ferrimagnetic phase" --- p.14 / Chapter 2.3.4 --- "Charge-density wave(CDW), wave vector q = (π, π), r≠ 1, m1≠m2" --- p.17 / Chapter 2.3.5 --- "Charge-density wave, wave vector q = (±4, ±4), r ≠1, 1,m1≠m2" --- p.19 / Chapter 2.4 --- Finite size effect in the restricted Hartree-Fock method --- p.23 / Chapter 3 --- Study of the two-dimensional Hubbard model --- p.26 / Chapter 3.1 --- Phase separation in the two-dimensional Hubbard model --- p.26 / Chapter 3.2 --- The existence of stripe phase depends on three aspects --- p.31 / Chapter 3.2.1 --- Dependence of the geometry of the lattice --- p.31 / Chapter 3.2.2 --- Dependence of the Coulomb interaction U --- p.33 / Chapter 3.2.3 --- Dependence of band filling n --- p.35 / Chapter 3.3 --- Fourier transformation of the charge distribution --- p.36 / Chapter 4 --- Study of the two-dimensional asymmetric Hubbard model --- p.40 / Chapter 4.1 --- Phase separation in the two-dimensional asymmetric Hubbard model --- p.41 / Chapter 4.2 --- The influence of t↑ on the existence of stripe phase --- p.42 / Chapter 4.3 --- Fourier transformation of the charge distribution --- p.44 / Chapter 5 --- Study of the one-dimensional Hubbard model --- p.46 / Chapter 5.1 --- The influence of U on the charge distribution --- p.46 / Chapter 5.2 --- The influence of t↑ on the charge distribution --- p.48 / Chapter 5.3 --- Conclusion --- p.50 / Chapter 6 --- Study of the extended Hubbard Model --- p.51 / Chapter 6.1 --- The influence of changing parameter V on the charge distribution --- p.52 / Chapter 6.2 --- The competing of parameter and parameter V on the charge distribution --- p.53 / Chapter 6.3 --- Conclusion --- p.59 / Chapter 7 --- Conclusions --- p.60 / Chapter A --- Program for the unrestricted Hartree-Fock method --- p.61 / Chapter B --- Program for the restricted Hartree-Fock method --- p.73
7

Quantifying Uncertainty in a Mathematical Model of the Transmission of Chikungunya in the Caribbean

January 2019 (has links)
archives@tulane.edu / 1 / Erin Stafford
8

A perturbational approach to the Time-Department Ising model

White, Neil John January 1978 (has links)
113 leaves : diags ; 30 cm. / Title page, contents and abstract only. The complete thesis in print form is available from the University Library. / Thesis (Ph.D.)--University of Adelaide, Dept. of Mathematical Physics, 1979
9

An Investigation of the Electrical Short Circuit Characteristics of Tin Whiskers

Courey, Karim Joseph 18 March 2008 (has links)
Existing risk simulations make the assumption that when a free tin whisker has bridged two adjacent exposed electrical conductors, the result is an electrical short circuit. This conservative assumption is made because shorting is a random event that has a currently unknown probability associated with it. Due to contact resistance electrical shorts may not occur at lower voltage levels. In these experiments, the effect of varying voltage on the breakdown of the contact resistance which leads to a short circuit was studied. From this data, the probability of an electrical short was estimated, as a function of voltage, given that a free tin whisker has bridged two adjacent exposed electrical conductors. Also, three tin whiskers grown from the same Space Shuttle Orbiter card guide used in the aforementioned experiment were cross-sectioned and studied using a focused ion beam (FIB). The rare polycrystalline structure seen in the FIB cross section was confirmed using transmission electron microscopy (TEM). The FIB was also used to cross section two card guides to facilitate the measurement of the grain size of each card guide's tin plating to determine its finish.
10

An evaluation of computational fluid dynamics for spillway modeling

Chanel, Paul Guy 15 January 2009 (has links)
As a part of the design process for hydro-electric generating stations, hydraulic engineers typically conduct some form of model testing. The desired outcome from the testing can vary considerably depending on the specific situation, but often characteristics such as velocity patterns, discharge rating curves, water surface profiles, and pressures at various locations are measured. Due to recent advances in computational power and numerical techniques, it is now possible to obtain much of this information through numerical modeling. Computational fluid dynamics (CFD) is a type of numerical modeling that is used to solve problems involving fluid flow. Since CFD can provide a faster and more economical solution than physical modeling, hydraulic engineers are interested in verifying the capability of CFD software. Although some literature shows successful comparisons between CFD and physical modeling, a more comprehensive study would provide the required confidence to use numerical modeling for design purposes. This study has examined the ability of the commercial CFD software Flow-3D to model a variety of spillway configurations by making data comparisons to both new and old physical model experimental data. In general, the two types of modeling have been in agreement with the provision that discharge comparisons appear to be dependent on a spillway’s height to design head ratio (P/Hd). Simulation times and required mesh resolution were also examined as part of this study. / February 2009

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