Search results for " Simulation"
showing 10 items of 4034 documents
Integrated simulation and optimization models for tracking international fixed income indices
2001
Portfolio managers in the international fixed income markets must address jointly the interest rate risk in each market and the exchange rate volatility across markets. This paper develops integrated simulation and optimization models that address these issues in a common framework. Monte Carlo simulation procedures generate jointly scenarios of interest and exchange rates and, thereby, scenarios of holding period returns of the available securities. The portfolio manager’s risk tolerance is incorporated either through a utility function or a (modified) mean absolute deviation function. The optimization models prescribe asset allocation weights among the different markets and also resolve b…
Insurance league: Italy vs. U.K
2003
Insurers are competing by adopting product innovations that provide the insured with integrated coverage for actuarial and financial risks. This article compares the contract structures of blended life policies between the insurance markets in Italy and the United Kingdom within the context of asset-liability management and welfare analysis. © Emerald Backfiles 2007.
Initial Enlargement in a Markov chain market model
2011
Enlargement of filtrations is a classical topic in the general theory of stochastic processes. This theory has been applied to stochastic finance in order to analyze models with insider information. In this paper we study initial enlargement in a Markov chain market model, introduced by Norberg. In the enlarged filtration, several things can happen: some of the jumps times can be accessible or predictable, but in the original filtration all the jumps times are totally inaccessible. But even if the jumps times change to accessible or predictable, the insider does not necessarily have arbitrage possibilities.
Adaptive memory programing for the robust capacitated international sourcing problem
2008
The International Sourcing Problem consists of selecting a subset from an available set of potential suppliers internationally located. The selected suppliers must meet the demand for items from a set of plants, which are also located worldwide. Since the costs are affected by macroeconomic conditions in the countries where the supplier and the plant are located, the formulation considers the uncertainty associated with changes in these conditions. We formulate the robust capacitated international sourcing problem by means of a scenario-optimization approach. When dealing with uncertainty, one of the most common approaches in the literature is to formulate the problem via a set of possible …
A distributed real-time data prediction and adaptive sensing approach for wireless sensor networks
2018
International audience; Many approaches have been proposed in the literature to reduce energy consumption in Wireless Sensor Networks (WSNs). Influenced by the fact that radio communication and sensing are considered to be the most energy consuming activities in such networks. Most of these approaches focused on either reducing the number of collected data using adaptive sampling techniques or on reducing the number of data transmitted over the network using prediction models. In this article, we propose a novel prediction-based data reduction method. furthermore, we combine it with an adaptive sampling rate technique, allowing us to significantly decrease energy consumption and extend the …
Virtual reality system for planning minimally invasive neurosurgery
2008
Object The authors report on their experience with a 3D virtual reality system for planning minimally invasive neurosurgical procedures. Methods Between October 2002 and April 2006, the authors used the Dextroscope (Volume Interactions, Ltd.) to plan neurosurgical procedures in 106 patients, including 100 with intracranial and 6 with spinal lesions. The planning was performed 1 to 3 days preoperatively, and in 12 cases, 3D prints of the planning procedure were taken into the operating room. A questionnaire was completed by the neurosurgeon after the planning procedure. Results After a short period of acclimatization, the system proved easy to operate and is currently used routinely for pre…
Nested MWC model describes hydrolysis of GroEL without assuming negative cooperativity in binding
2002
Folding assistance and ATPase activity of GroEL are based on the existence of different conformations. In order to characterise these conformations, published data on steady state ATPase activity in the absence of GroES were reanalysed simultaneously in terms of the Nested MWC model. This model is a hierarchical extension of the symmetry-model of Monod et al. [J. Mol. Biol. 12 (1965) 88]. An unique set of GroEL specific parameters was obtained. This set was supported by comparison of predictions arising from this set of values with experimental data for hydrolysis of ATP in the presence of ADP and ATPgammaS, binding of ATPgammaS and ADP to GroEL in the absence of ATP, and binding of ATP as …
Numerical simulations demonstrate that the double tapering of the spatualae of lizards and insects maximize both detachment resistance and stability
2011
Many biological attachment devices of insects, spiders and geckos consist of arrays of hairs (setae), which are terminated by contact elements of different shapes. However, the most frequently observed shape is a thin plate-like spatula. In spite of a rather wide range of sizes, most spatulae of different animals are not uniform, but rather possess a gradient in thickness and width. Here we show that the spatulae of insects and geckos become gradually thinner and wider approaching the end. This geometrical effect is explained in the present paper, by using a numerical approach for the modelling of the van der Waals adhesion and friction between the contact elements and the substrate. The ap…
A computational model of postprandial adipose tissue lipid metabolism derived using human arteriovenous stable isotope tracer data
2019
Given the association of disturbances in non-esterified fatty acid (NEFA) metabolism with the development of Type 2 Diabetes and Non-Alcoholic Fatty Liver Disease, computational models of glucose-insulin dynamics have been extended to account for the interplay with NEFA. In this study, we use arteriovenous measurement across the subcutaneous adipose tissue during a mixed meal challenge test to evaluate the performance and underlying assumptions of three existing models of adipose tissue metabolism and construct a new, refined model of adipose tissue metabolism. Our model introduces new terms, explicitly accounting for the conversion of glucose to glyceraldehye-3-phosphate, the postprandial …
Effects of gait speed on stability of walking revealed by simulated response to tripping perturbation
2013
The objective of this work was to study stability of walking over a range of gait speeds by means of muscle-driven simulations. Fast walking has previously been related to high likelihood of falling due to tripping. Various measures of stability have shown different relationships between walking speed and stability. These measures may not be associated with tripping, so it is unclear whether the increase in likelihood of falling is explicable by an increase in instability. Here, stability with respect to a constant tripping perturbation was quantified as the immediate passive response of torso to the perturbation. Subject-specific muscle-driven simulations of eight young healthy subjects wa…