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    Wyświetlanie 1-5 z 5
    Tytuł:
    A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes
    Autorzy:
    Pajor, Anna
    Powiązania:
    https://bibliotekanauki.pl/articles/483255.pdf
    Data publikacji:
    2009
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    option pricing
    SV model
    Bayesian forecasting
    Opis:
    In this paper we show that in the lognormal discrete-time stochastic volatility model with predictable conditional expected returns, the conditional expected value of the discounted payoff of a European call option is infinite. Our empirical illustration shows that the characteristics of the predictive distributions of the discounted payoffs, obtained using Monte Carlo methods, do not indicate directly that the expected discounted payoffs are infinite.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2009, 1, 1; 71-81
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    δ13 C variation in carbonate platform sediments of the Northern Tethys in Late Jurassic
    Autorzy:
    Rudko, S.V.
    Kuznetsov, A.B.
    Pokrovsky, B.G.
    Powiązania:
    https://bibliotekanauki.pl/articles/184621.pdf
    Data publikacji:
    2016
    Wydawca:
    Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
    Tematy:
    paleogeographical model
    paleoecological model
    inclination
    Opis:
    Сarbon isotopic composition of Late Jurassic sediments displays a trend of 13 C depletion in the World ocean. Meanwhile, depending on local paleogeographical conditions, δ 13 C curves for different palaeoprovinces differ in inclinations and absolute values (Nunn & Price 2010). That is why a separate δ 13 C curve needs to be developed for every specific region. After such development, the inverse problem – correlation of the sedimentary complex by comparing δ 13 C parameters – can be solved. A comparison of δ 13 C values in contemporaneous sediments can be also used as an instrument for testing paleogeographical and paleoecological models. Previous δ 13 C data for the Upper Jurassic sediments of the Tethys region were obtained for its Western passive margin and Central Atlantics (Padden et al. 2002, Coimbra et al. 2009). These data have been acquired from precisely dated hemipelagic sediments containing index fauna and epioceanic Ammonitico-Rosso facies. In the current study we present δ 13 C variations in carbonate platform sediments from the backarc basin of the Northern Tethys (N20° to N40°) (Meijers et al. 2010) mostly based on Sr-chemostratigraphic correlation and dating of carbonate complexes. We studied Sr, C and O isotopic composition of the Upper Jurassic carbonate complexes of the Crimean Mountains. These complexes were formed under different conditions: Kimmeridgian and Early Tithonian sediments were deposited in shallow-water carbonate platform settings. In most cases they lack index fossils and their age is defined by Sr-chemostratigraphy (Rudko et al. 2014); Late Tithonian to Early Berriasian sediments were sampled from a carbonate platform reef facies, slope and toe of slope carbonate megabreccias. Reef and breccias deposits were dated using Sr-chemostratigraphy, and confirmed by calpionellide biostratigraphy. In the absence of well preserved faunal remnants in the studied sections, limestone samples with the best preservation of primary sedimentary textures were collected for Sr isotopic–geochemical studies. Samples with large calcite veins or abundant epigenetic sparite were excluded from this research. Limestone samples for reconstructing the 87 Sr/ 86 Sr isotopic parameters of depositional environments were selected using geochemical criteria (Mn/Sr < 0.2, Fe/Sr < 1.6, Mg/Ca < 0.024; δ 18 О > −1.5‰) and subjected to preliminary treatment in a 1 N ammonium acetate solution. From more then 100 analyzed samples only 13 best preserved were used to provide correlation between sections and the age of strata. Most of samples used to determine C isotopic composition are represented by micritic limestones with low content of sparry cements and fragments of primary aragonitic grains. The content of insoluble impurities in limestones does not exceed 9%. All selected samples display no correlation between the amount of siliciclastic impurities, δ 13 C and δ 18 О values. δ 13 C values in the measured samples vary between +1 and 3.5‰, δ 18 О: from −2.9‰ to +1,3‰. C – isotopic composition in 44 samples was considered to be diagenetically unaffected and they were selected to provide δ 13 C curve. According to the results of comparison of stable isotope composition with microfacies of samples, δ 13 C values are not environment-dependent in contrast to δ 18 О, which are slightly enriched in 18 O in offshore and slope facies. The measured values of δ 13 С are falling from an average 3.2‰ in Late Kimmeridgian through 2.6‰ in Early Tithonian to 1.7‰ in Late Tithonian – Early Berriasian. This corresponds to the global δ 13 С trend in Upper Jurassic sediments (Nunn & Price 2010). Among other Kimmeridgian – Berriasian carbonates the Northern Tethys carbonate platform deposits are 0.5–1‰ higher than δ 13 С from the Western Tethys (Coimbra et al. 2009). The following factors (or their combinations) may explain observed 13 C-enriched isotopic composition of the Northern Tethyan backarc basin deposits: 1. increased amount of shallow-water allochems and cements in the sediments of carbonate platform and its aprons, compared to hemipelagites of Western Tethyan margin; 2. increased bioproductivity of photosynthetic organisms – cyanobacteria and green algae that played an important role in the studied Upper Jurassic carbonate platform deposits (Krajewski 2010, Piskunov et al. 2012, Bucur et al. 2014), removed large quantity of light carbon from water, leading to 13 C enrichment of bicarbonate. It is interesting to note that volcanic activity on Tethyan active margin seems not to have an impact on δ 13 С values of the studied sediments.
    Źródło:
    Geology, Geophysics and Environment; 2016, 42, 1; 124-125
    2299-8004
    2353-0790
    Pojawia się w:
    Geology, Geophysics and Environment
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Spectroscopic Studies on Distorted Structure Nanomolecules by Using Lie Algebraic Model
    Autorzy:
    Rao Karumuri, S.
    Girija Sravani, K.
    Vijayshekar, J.
    Reddy, L.
    Powiązania:
    https://bibliotekanauki.pl/articles/1419693.pdf
    Data publikacji:
    2012-07
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    03.65.Fd
    07.57.-c
    02.20.Sv
    78.30.Na
    Opis:
    We have applied Lie algebraic model to distorted structure molecules to determine the vibrational spectra of different stretching and bending vibrational modes. The the Lie algebraic model of the Hamiltonian expression is H = $E_0 + \sum_{i = 1}^{n} A_{i} C_{i} + \sum_{i < j}^{n} A_{ij} C_{ij} + \sum_{i < j}^{n} \lambda_{ij} M_{ij}$. By using the Lie algebraic method, the stretching vibrational energies of fullerene $(C_{80})$ are calculated in the one-dimensional [U(2)] framework. Using the model Hamiltonian so constructed, we have calculated the local mode vibrational energy levels of the fullerene $(C_{80})$ accurately.
    Źródło:
    Acta Physica Polonica A; 2012, 122, 1; 49-52
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    The Influence of the Magnetic Field on the Dynamics of the Flux Jumps in the Flux Flow Model
    Autorzy:
    Vasiliev, S.
    Nabiałek, A.
    Rusakov, V.
    Belevtsov, L.
    Chabanenko, V.
    Szymczak, H.
    Powiązania:
    https://bibliotekanauki.pl/articles/1537020.pdf
    Data publikacji:
    2010-08
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    74.25.Sv
    74.70.Ad
    Opis:
    We studied the dynamics of the flux jumps in type II superconductors assuming this dynamics to be determined by magnetic diffusion. The conductivity of the sample during the jump was described by the flux flow conductivity, which depends on local magnetic field. We solved this problem numerically for an infinite slab sample. We assumed that superconducting sample was fully penetrated by the magnetic flux at the beginning and that the local induction of the magnetic field, in the whole sample, was equal to $B_0$. Then, the external magnetic field was increased by a value of $ΔB_{a}$ and in the external magnetic field of $B_0 + ΔB_{a}$ flux jump occurred. In our simulations we used the parameters characteristic of a conventional NbTi superconductor at 4.2 K. In particular, we studied the influence of the parameter B_0 on the flux jumps' dynamics. We have found that this parameter strongly influences initial stage of the diffusion process. With increasing $B_0$, the time during which flux front of the avalanche reaches the center of the sample decreases. The results of numerical simulations were compared with experiments.
    Źródło:
    Acta Physica Polonica A; 2010, 118, 2; 340-342
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Obtaining a Rough Flux Front in Type-II Superconductors Using a Critical State Model
    Autorzy:
    Romero-Salazar, C.
    Hernández-Flores, O.
    Chabanenko, V.
    Kuchuk, E.
    Abaloszewa, I.
    Nabialek, A.
    Pérez-Rodríguez, F.
    Powiązania:
    https://bibliotekanauki.pl/articles/1398648.pdf
    Data publikacji:
    2016-08
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    74.20.-z
    74.20.De
    74.25.Ha
    74.25.N-
    74.25.Op
    74.25.Sv
    74.25.Wx
    74.62.Dh
    74.81.-g
    Opis:
    In this work we numerically modelled a periodic magnetic flux pattern which qualitatively reproduces the so-called sand avalanches scenario in type-II superconductors. To model these sand-pile patterns we consider a perturbation on the critical current which, as a first approximation, follows a periodic function which depends on the position.
    Źródło:
    Acta Physica Polonica A; 2016, 130, 2; 645-648
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-5 z 5

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