Search results for "Simulation."
showing 10 items of 4779 documents
Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
2010
Weather derivatives have become very popular tools in weather risk management in recent years. One of the elements supporting their diffusion has been the increase in volatility observed on many energy markets. Among the several available contracts, Quanto options are now becoming very popular for a simple reason: they take into account the strong correlation between energy consumption and certain weather conditions, so enabling price and weather risk to be controlled at the same time. These products are more efficient and, in many cases, significantly cheaper than simpler plain vanilla options. Unfortunately, the specific features of energy and weather time series do not enable the use of …
Forecasting industry sector default rates through dynamic factor models
2008
In this paper we use a reduced-form model for the analysis of portfolio credit risk. For this purpose, we fit a dynamic factor model to a large data set of default rate proxies and macro-variables for Italy. Multiple step ahead density and probability forecasts are obtained by employing both the direct and indirect methods of prediction together with stochastic simulation of the dynamic factor model. We first find that the direct method is the best performer regarding the out-of-sample projection of financial distressful events. In a second stage of the analysis, we find that reducedform portfolio credit risk measures obtained through the dynamic factor model are lower than those correspond…
Development of net energy ratio and emission factor for quad-generation pathways
2014
Published version of an article in the journal: Energy Systems. Also available from the publisher at: http://dx.doi.org/10.1007/s12667-014-0126-4 The conversion of biomass to four different outputs via gasification is a renewable technology that could reduce the use of fossil fuels and greenhouse gas (GHG) emissions. This study investigates the energy aspects for a new concept of biomass based quad-generation plant producing power, heat, methanol and methane. Circulating fluidized bed gasifier and the gas technology institute (GTI) gasifier technologies are used for this quad-generation process. Two different biomass feedstocks are considered in this study. The net energy ratio for six diff…
Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis
2009
Abstract In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997–1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.
The pan-European holiday effect
2015
The construction of a single European block in the context of financial markets has caused the different national stock exchanges of the euro area to converge towards one common trading calendar that allows to study whether the holiday effect is a pan-European calendar anomaly or country-specific. By applying simulation methods, we provide evidence of the existence of statistically and economically abnormal positive pre- and post-holiday returns in the Eurozone which are not related to higher than average levels of volatility, but which can be explained by the preference of investors to avoid selling around European holidays.
How to compute the BDS test: a software comparison
2002
Atrial Fibrosis Hampers Non-invasive Localization of Atrial Ectopic Foci From Multi-Electrode Signals: A 3D Simulation Study
2018
[EN] Introduction: Focal atrial tachycardia is commonly treated by radio frequency ablation with an acceptable long-term success. Although the location of ectopic foci tends to appear in specific hot-spots, they can be located virtually in any atrial region. Multi-electrode surface ECG systems allow acquiring dense body surface potential maps (BSPM) for non-invasive therapy planning of cardiac arrhythmia. However, the activation of the atria could be affected by fibrosis and therefore biomarkers based on BSPM need to take these effects into account. We aim to analyze the effect of fibrosis on a BSPM derived index, and its potential application to predict the location of ectopic foci in the …
Les modèles de simulation pour la planification de l'éducation en Afrique subsaharienne. Une simplicité appauvrissante et inféconde
2014
More than elsewhere, the issues covering educational planning are important in sub-Saharan Africa. Simulation models are the main tool of this type of planning. Most were designed or inspired by the World Bank or UNESCO. Yet, these models are too simplistic. This simplicity is a choice, although it is badly argued. The resulting vagueness is totally unacceptable, although imperceptible due to the simplicity of the models, which are not testable by facts. The simulation models are thus a sham and African educational systems continue to suffer grave imbalance in the allocation of resources. The conception of quality models, designed with a genuine concern to guide action, is possible and urge…
A numerical model of the cloud-topped planetary boundary-layer: influence of the physico-chemical properties of aerosol particles on the effective ra…
2000
The present investigation deals with the impact of different aeorosol types on the value of the effective radius of stratiform clouds. In several numerical sensitivity studies with the microphysical stratus model MISTRA, the aerosol composition was linearly changed from pure maritime to pure rural aerosol particles. Numerical results show that in environments with pure maritime aerosols, the effective radius is usually much larger than in continental regions. Values of the effective radius are also time-dependent with minima and maxima during day and night, respectively. In precipitating clouds, the effective radius might achieve values larger than 30 μm. In continental regions, the effecti…
New approach to characterisation of electric alloys under rotating magnetic flux density
1996
The computation of electrical machines using the characterisation of electric alloys proposed by several authors gives performances not verified by experiments on actual machines. By means of finite-element-method software, the authors show that the electromagnetic context where electrical alloys are built into rotating electrical machines is completely different from the actual characterisation system. A new testing device is proposed to take into account the phenomena highlighted.