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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)
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.
2

Easy instances for model checking

Frick, Markus. January 2001 (has links) (PDF)
Freiburg (Breisgau), University, Diss., 2001.
3

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>
4

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.
5

Sweden social protection institution which gives Taiwan the enlightenment

Lin-Chiao, Wang 07 September 2007 (has links)
Taiwan is going forward a new era as more than fifty years economic and democracy making the big progress. Especially, social structure change a lot that people is getting old, therefore, most people think about the importance of social protection institution. Sweden Model is so-called the best successful social protection institution in the world. This research analyses the Sweden Model in order to find out Sweden history Background and the big influence that keep the justice in the society. And then, try to draw a lesson from making the comparison and analysis between Sweden and Taiwan. This research has drawn ten lessons from the accomplishment: 1. to reinforce the adjustment project of economic, 2.through law to manage the economic, 3.through harmonizing the economic to make progress, 4.the labor union make the competition to eliminate the inferior enterprises, 5.to use the taxes regulation to increase the accumulation and investment of enterprises, 6.to pay attention to the education and re-education of the employees, 7. to develop the perfect social benefits, 8. to minimize the discrepancy between the areas, 9. more power of the labor union,10.to have the better international background. At last, give three policy suggestions: 1. government must pay attention to people¡¦s livelihood. 2. government must concern people¡¦s basic interest in order to have the support from them. 3. stable political situation and continue policies are the basic conditions to set up the good social protection institution.
6

Z boson propagator correction in technicolor theories with extended technicolor effects included

Kurachi, Masafumi, Shrock, Robert, Yamawaki, Koichi 08 1900 (has links)
No description available.
7

Hierarchical Anderson model

Kritchevski, Evgenij. January 2008 (has links)
In this thesis, we study the spectral properties of the hierarchical Anderson model. This model is an approximation of the Anderson tight-binding model on Zd , with the usual discrete Laplacian replaced by a hierarchical long-range interaction operator. In the hierarchical Anderson model, we are given a countable set X endowed with a hierarchical structure. The free hierarchical Laplacian is a self-adjoint operator Delta acting on the Hilbert space l 2( X ). The spectrum of Delta consists of isolated infinitely degenerate eigenvalues. We look at small random perturbations of the operator Delta. The disorder is modeled by a random potential Vo, (Vopsi)(x) = o( x)psi(x) for psi &isin; l 2( X ). The numbers o(x) are identically distributed independent random variables with a bounded density. The hierarchical Anderson model is the random self-adjoint operator Ho = Delta + Vo. We prove the following two results. If the model has a spectral dimension dsp &le; 4 then, almost surely, the spectrum of Ho is dense pure-point. The second result is on eigenvalue statistics. For dsp &lt; 1, the energy levels for Ho are asymptotically a Poisson point process in the thermodynamic limit, after a proper rescaling.
8

An inverse method for the synthesis of timing parameters in concurrent systems

André, Etienne 08 December 2010 (has links) (PDF)
This thesis proposes a novel approach for the synthesis of delays for timed systems, in particular in the framework oftimed automata, a model for verifying real-time systems. Our approach relies on the following inverse method: given a reference valuation of the parameters, we synthesize a constraint on the parameters, guaranteeing the same timeabstract linear behavior as for the reference valuation. This gives a criterion of robustness to the system. By iterating this inverse method on various points of a bounded parameter domain, we are then able to partition the parametric space into good and bad zones, with respect to a given property one wants to verify. This gives a behavioral cartography of the system. This method extended to probabilistic systems allows to preserve minimum and maximum probabilities of reachability properties. We also present variants of the inverse method for directed weighted graphs and Markov Decision Processes. Several prototypes have been implemented; in particular, IMITATOR II implements the inverse method and the cartography for timed automata. It allowed us to synthesize parameter values for several case studies such as an abstract model of a memory circuit sold by the chipset manufacturer ST-Microelectronics, and various communication protocols.
9

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.
10

Control of a three-class fluid model with routing

Zhu, Meimeizi 22 April 2014 (has links)
Differentiating borderline personality disorder from bipolar disorder using the Rorschach Inkblot Test This report studies the routing and scheduling control strategy of a three-class fluid model. A numerical approximation under the [mathematical symbol] scheduling policy is used. Analytical rules are provided to narrow down the optimal strategy under the policy. Numerical results and sensitivity analyses are presented to show how different control strategies perform given different parameters. / text

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