Search results for "Mathematica"
showing 10 items of 7971 documents
Tomographic image processing for the morphological and metrological study of Valsalva sinuses
2012
This Phd thesis deals with the design and the use of image processing tools in order to allow a reliable and objective study of the sinuses of Valsalva which are important cavities of the aortic root. The proposed methods can be applied on cine-MR sequences and CT examinations without any change in the settings between two examinations.Firstly, we studied the morphology of this anatomical area and its constant properties in all images of the dataset. Sinuses are one of the main bright organs with limited movements. Hence a new algorithm has been designed. It detects and characterizes each bright organ by a single trajectory. Various tools of mathematical morphology are used for this step, a…
Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations
2008
In the presence of transaction costs the perfect option replication is impossible which invalidates the celebrated Black and Scholes (1973) model. In this chapter we consider some approaches to option pricing and hedging in the presence of transaction costs. The distinguishing feature of all these approaches is that the solution for the option price and hedging strategy is given by a nonlinear partial differential equation (PDE). We start with a review of the Leland (1985) approach which yields a nonlinear parabolic PDE for the option price, one of the first such in finance. Since the Leland's approach to option pricing has been criticized on different grounds, we present a justification of…
Optimal Hedging of Option Portfolios with Transaction Costs
2006
One of the most successful approaches to option hedging with transaction costs is the utility based approach pioneered by Hodges and Neuberger (1989). However, this approach has one major drawback that prevents the broad application of this approach in practice: the lack of a closed-form solution. The direct numerical computations of the utility based hedging strategy are cumbersome in a practical implementation. Despite some recent advances in finding an explicit description of the utility based hedging strategy by using either asymptotic, approximation, or other methods, so far they were concerned primarily with hedging a single plain-vanilla option. However, in practice one often faces t…
Optimal Index Tracking Under Transaction Costs and Impulse Control
1998
We apply impulse control techniques to a cash management problem within a mean-variance framework. We consider the strategy of an investor who is trying to minimise both fixed and proportional transaction costs, whilst minimising the tracking error with respect to an index portfolio. The cash weight is constantly fluctuating due to the stochastic inflow and outflow of dividends and liabilities. We show the existence of an optimal strategy and compute it numerically.
Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs
2006
One of the most successful approaches to option hedging with transaction costs is the utility-based approach, pioneered by Hodges and Neuberger [Rev. Futures Markets, 1989, 8, 222–239]. Judging against the best possible trade-off between the risk and the costs of a hedging strategy, this approach seems to achieve excellent empirical performance. However, this approach has one major drawback that prevents the broad application of this approach in practice: the lack of a closed-form solution. We overcome this drawback by presenting a simple yet efficient analytic approximation of the solution. We provide an empirical testing of our approximation strategy against the asymptotic and some other …
Dynamic response of multiply connected primary-secondary systems
1990
The nodal equations of motion of the composite system are given in «total» and «relative» coordinates. In the framework of the component-mode synthesis method a coordinate transformation, here defined as an admissible one, is used to reduce the nodal equations of motion. This coordinate transformation is theoretically and numerically compared with the coordinate transformation usually used in the literature, which generally gives larger errors with respect to the former when a reduced number of nodes is considered
La circulation des objets métalliques à l’âge du Bronze entre Rhône et Saône: utilisation d’une transformation cartographique linéaire.
2006
Afin de comprendre les flux de circulation des matériaux métalliques pour la période de l’Age du Bronze, et aller au-delà des cartes de répartition classiques des découvertes archéologiques, on propose un mode de représentation graphique plus quantitatif et synthétique, la transformation cartographique linéaire. On a testé sur l'axe Saône-Rhône la pertinence de cette méthode. Haches, épées et poignards de bronze, ont été répertoriés sur une bande de 50 km de part et d'autre de l'axe fluvial, afin d'estimer la fréquence et les masses d'objet en «circulation».
Highly transitive actions of free products
2013
We characterize free products admitting a faithful and highly transitive action. In particular, we show that the group $\PSL_2(\Z)\simeq (\Z/2\Z)*(\Z/3\Z)$ admits a faithful and highly transitive action on a countable set.
On C1 robust singular transitive sets for three-dimensional flows
1998
Abstract The main goal of this paper is to study robust invariant transitive sets containing singularities for C 1 flows on three-dimensional compact boundaryless manifolds: they are partially hyperbolic with volume expanding central direction. Moreover, they are either attractors or repellers. Robust here means that this property cannot be destroyed by small C 1 -perturbations of the flow.
Non-wandering sets with non-empty interiors
2003
We study diffeomorphisms of a closed connected manifold whose non-wandering set has a non-empty interior and conjecture that C1-generic diffeomorphisms whose non-wandering set has a non-empty interior are transitive. We prove this conjecture in three cases: hyperbolic diffeomorphisms, partially hyperbolic diffeomorphisms with two hyperbolic bundles, and tame diffeomorphisms (in the first case, the conjecture is folklore; in the second one, it follows by adapting the proof in Brin (1975 Topological transitivity of a certain class of dynamical systems, and flows of frames on manifolds of negative curvature Funct. Anal. Appl. 9 9–19)).We study this conjecture without global assumptions and pro…