This paper surveys a wide selection of the interpolation algorithms that are in use in financial markets for construction of curves such as forward curves, basis curves, and most importantly, yield curves. In the case...
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Recently the SABR model has been developed to manage the option smile which is observed in derivatives markets. Typically, calibration of such models is straightforward as there is adequate data available for robust e...
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Recently the SABR model has been developed to manage the option smile which is observed in derivatives markets. Typically, calibration of such models is straightforward as there is adequate data available for robust extraction of the parameters required asinputs to the model. The paper considers calibration of the model in situations where input data is very sparse. Although this will require some creative decision making, the algorithms developed here are remarkably robust and can be used confidently for mark to market and hedging of option portfolios.
Commercial Off-The-Shelf (COTS) Simulation Packages (CSPs) are widely used to facilitate the creation of simulation models using some kind of visual interactive interface. CSPs have "evolved" over the years ...
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ISBN:
(纸本)0780395204
Commercial Off-The-Shelf (COTS) Simulation Packages (CSPs) are widely used to facilitate the creation of simulation models using some kind of visual interactive interface. CSPs have "evolved" over the years and are well used to support modeling demands in different market niches and domains. However, in terms of distributed simulation, there is almost a complete lack of support for interoperability. The advent of the High Level Architecture (HLA) standard makes it possible to connect distributed model components together. The model components can be developed using specific CSPs best suited to the application area. In this paper, a CSP Emulator (CSPE) is proposed to investigate the interfaces between the CSPs and the HLA Runtime Infrastructure. In addition to support for standalone models as provided by current CSPs, the CSPE has some new features needed for building distributed models. An evaluation is conducted between CSPE and Simul8, one of the popular CSPs.
The High Level Architecture (HLA) is an IEEE standard for interoperating simulation federates. In this paper, we describe a set of requirements that simulation packages need to satisfy in order to be made interoperabl...
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ISBN:
(纸本)0780395204
The High Level Architecture (HLA) is an IEEE standard for interoperating simulation federates. In this paper, we describe a set of requirements that simulation packages need to satisfy in order to be made interoperable using the HLA standard. AutoSched AP, a commercial off-the-shelf simulation package (CSP) which is widely used in the semiconductor industry, was used as a case study for this interoperation exercise. We demonstrated that a straight-forward customization of the CSP through a middleware that provides standard functions for interoperation may not provide a satisfactory solution. A specially optimized time synchronization mechanism needs to be installed to ensure good execution efficiency. Experimental results using a Borderless Fab model that comprises of two factory models show that an optimized time synchronization mechanism results in an execution time that is ten times better than a straightforward application of the HLA Runtime Infrastructure's time synchronization mechanism.
The high Level Architecture (HLA) is an IEEE standard for interoperating simulation federates. In this paper, we describe a set of requirements that simulation packages need to satisfy in order to be made interoperabl...
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ISBN:
(纸本)9780780395190
The high Level Architecture (HLA) is an IEEE standard for interoperating simulation federates. In this paper, we describe a set of requirements that simulation packages need to satisfy in order to be made interoperable using the HLA standard. AutoSched AP, a commercial off-the-shelf simulation package (CSP) which is widely used in the semiconductor industry, was used as a case study for this interoperation exercise. We demonstrated that a straightforward customization of the CSP through a middleware that provides standard functions for interoperation may not provide a satisfactory solution. A specially optimized time synchronization mechanism needs to be installed to ensure good execution efficiency. Experimental results using a Borderless Fab model that comprises of two factory models show that an optimized time synchronization mechanism results in an execution time that is ten times better than a straightforward application of the HLA runtime infrastructure's time synchronization mechanism.
Conditions of differential flow induced chemical instability are obtained for a heterogeneous reaction on a rotating disk. Since the surface of a rotating disk is equiaccessible to diffusional transport, this is a uni...
Conditions of differential flow induced chemical instability are obtained for a heterogeneous reaction on a rotating disk. Since the surface of a rotating disk is equiaccessible to diffusional transport, this is a unique arrangement where a homogeneous state does indeed exist in the presence of flow, and the symmetry breaking can be observed in an unequivocal way. Explicit instability limits are established for an autocatalytic two-component system near a saddle-node bifurcation point, where the instability occurs on a long scale along the streamlines.
作者：
TUCK, EFPATTERSON, DPSTUART, JRLAWRENCE, MHCalling Communications Corporation. 1900 West Garvey Ave
South. Suite 200 West Covina CA 91790 USA. Chairman of Calling Communications Corporation. He is also the Managing Director of Kinship Venture Management
Inc. the general partner of Kinship Partners 11 and a General Partner of Boundary the general partner of The Boundary Fund. As a venture capitalist he has founded or participated in founding several telecommunications companies including Calling Communications Corporation Magellan Systems Corporation
manufactures of Global Positioning System receivers Applied Digital Access
manufacturer of DS-3 test access and network performance monitoring equipment Endgate Technology Corporation
specialists in satellite phased array antennas and Poynting Systems Corporation. now a division of Reliance Corporation
manufacturers of fibre optic transport equipment. He was a founder of Kebby Microwave Corporation where he invented the first solid-state. frequency-modulated commercial microwave link system. The company was acquired by ITT Corporation where he rose to the position of V.P. and Technical Director of ITT North America Telecommunications Inc. Subsequently he was V.P. of Marketing and Engineering at American Telecommunications Inc. (ATC). He was founding Director of American Telecom Inc. a joint venture between ATC and Fujitsu and has served on more than 20 boards of directors including those of three public companies. He has authored articles on microwave engineering and telephone signalling and was a contributor to Reference Data For Radio Engineers. He is a graduate of the University of Missouri at Rolla where he was later awarded an honorary Professional degree and serves on its Academy of Electrical Engineering. Mr Tuck is a Senior Member of the IEEE a Fellow of the Institution of Engineers (Australia) a Professional Member of the AIAA and a registered professional engineer in three states. More than 25 years of experience in the telecommunications industry where he has been responsibl
There is a very large demand for basic telephone service in developing nations, and remote parts of industrialized nations, which cannot be met by conventional wireline and cellular systems. This is the world's la...
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There is a very large demand for basic telephone service in developing nations, and remote parts of industrialized nations, which cannot be met by conventional wireline and cellular systems. This is the world's largest unserved market. We describe a system which uses recent advances in active phased arrays, fast-packet switching technology, adaptive routeing, and light spacecraft technology, in part based on the work of the Jet Propulsion Laboratory and on recently-declassified work done on the Strategic Defense Initiative, to make it possible to address this market with a global telephone network based on a large low-Earth-orbit constellation of identical satellites. A telephone utility can use such a network to provide the same modern basic and enhanced telephone services offered by telephone utilities in the urban centres of fully-industrialized nations. Economies of scale permit capital and operating costs per subscriber low enough to provide a service to all subscribers, regardless of location, at prices comparable to the same services in urban areas of industrialized nations, while generating operating profits great enough to attract the capital needed for its construction. The bandwidth needed to support the capacity needed to gain these economies of scale requires that the system use K(alpha)-band frequencies. This choice of frequencies places unusual constraints on the network design, and in particular forces the use of a large number of satellites. Global demand for basic and enhanced telephone service is great enough to support at least three networks of the size described herein. The volume of advanced components, and services such as launch services, required to construct and replace these networks is sufficient to propel certain industries to market leadership positions in the early 21st Century.
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