Search results for "Closed form approximation"
showing 2 items of 2 documents
Closed Form Approximation of Swap Exposures
2013
This paper provides closed form lower and upper bounds for the price of European swaption on cross currency basis swap with the presence of dynamic basis spreads. Cross currency basis spreads are treated as integrals of spot spreads, approach familiar from interest rate models. The spot spread is modelled by two-factor mean reverting Gaussian model that is equivalent to two-factor Hull-White model introduced by [Hull and White(1994)]. This model allows closed form approximations and relatively well fitting and simple calibration to the spread term structure.
Helical Shift Mechanics of Rubber V-Belt Variators
2011
A very common configuration of V-belt variators for motorcycles considers the correction of the belt tensioning depending on the resistant torque by means of suitable helical-shaped tracks allowing the driven half-pulleys to close/open. The theoretical model for belt-pulley coupling is rather complex for this configuration, where one half-pulley may run in advance and the other one behind with respect to the belt, and requires the repeated numerical solution of a strongly nonlinear differential system by a sort of shooting technique, until all the operating conditions are fulfilled (angular contact extent, torque, and axial force). After solving the full equations, the present study develop…