Search results for "mathematics"
showing 10 items of 22031 documents
An architecture for autonomous agents exploiting conceptual representations
1998
An architecture for autonomous agents is proposed that integrates the functional and the behavioral approaches to robotics. The integration is based on the introduction of a conceptual level, linking together a subconceptual, behavioral, level, and a linguistic level, encompassing symbolic representation and data processing. The proposed architecture is described with reference to an experimental setup, in which the robot task is that of building a significant description of its working environment. © 1998 Elsevier Science B.V. All rights reserved.
Activity coefficients and Donnan coion exclusion in charged membranes with weak-acid fixed charge groups
1998
Abstract We have studied theoretically the effects that the dissociation equilibrium of weak-acid fixed charge groups (e.g. carboxyl groups) exerts on the mean activity coefficients in charged membranes using a Donnan formalism. The model calculations indicate that unless carbon dioxide is excluded from the external aqueous solution, the pH of the membrane solution can be low enough to affect significantly the effective fixed charge concentration and the coion exclusion when the membrane fixed charge concentration is high compared with the external solution salt concentration. Although this problem was already pointed out in previous studies, the possibility that the pH and salt concentrati…
Thermodynamic properties of a liquid–vapor interface in a two-component system
2010
Abstract We report a complete set of thermodynamic properties of the interface layer between liquid and vapor two-component mixtures, using molecular dynamics. The mixtures consist of particles which have identical masses and diameters and interact with a long-range Lennard-Jones spline potential. The potential depths in dimensionless units for like interactions is 1 (for component 1) and 0.8 (for component 2). The surface excess entropy decreases when the temperature increases, so the surface has a negative excess heat capacity. This is a consequence of the fact that the surface tension decreases to zero at the critical point, proportional to ( T C , i − T ) 2 ν . The surface entropy decre…
A series expansion of the extended Debye-H�ckel equation and application to linear prediction of stability constants
1996
The Debye-Hückel semiempirical extended equation is frequently used to calculate activity coefficients of chemical species and equilibrium constants at ionic strengths different from those used in their experimental evaluation. A series expansion of the extended Debye-Hückel equation is proposed here and checked with experimental data taken from the literature. The expansion is linear in the ionic parameters and yields a geometrical series which converges rapidly and that enables the accurate calculation of interpolated and extrapolated activity coefficients and equilibrium constants by simple and multiple linear regression without previous knowledge of the ionic parameters.
Contingent claim valuation in a market with different interest rates
1995
The problem of contingent claim valuation in a market with a higher interest rate for borrowing than for lending is discussed. We give results which cover especially the European call and put options. The method used is based on transforming the problem to suitable auxiliary markets with only one interest rate for borrowing and lending and is adapted from a paper of Cvitanic and Karatzas (1992) where the authors study constrained portfolio problems.
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…
Value preserving portfolio strategies and the minimal martingale measure
1998
We consider some relations between the minimal martingale measure and the value preserving martingale measure in a continuous-time securities market. Under the assumption of continuous share prices we show that under a structure condition both these martingale measures exist and indeed coincide. This however does not mean that the corresponding concepts of value preserving portfolio strategies and (local) risk minimisation in the area of option hedging in incomplete markets are identical.
Forecasting Latin America’s Country Risk Scores by Means of a Dynamic Diffusion Model
2013
Over the last years, worldwide financial market instability has shaken confidence in global economies. Global financial crisis and changes in sovereign debts ratings have affected the Latin American financial markets and their economies. However, Latin American s relative resilience to the more acute rise in risk seen in other regions like Europe during last years is offering investors new options for improving risk-return trade-offs. Therefore, forecasting the future of economic situation involves high levels of uncertainty. The Country Risk Score (CRS) represents a broadly used indicator to measure the current situation of a country regarding measures of economic, political, and financial…
A fuzzy ranking strategy for portfolio selection applied to the Spanish stock market
2007
In this paper we present a fuzzy ranking procedure for the portfolio selection problem. The uncertainty on the returns of each portfolio is approximated by means of a trapezoidal fuzzy number. The expected return and risk of the portfolio are then characteristics of that fuzzy number. A rank index that accounts for both expected return and risk is defined, allowing the decision-maker to compare different portfolios. The paper ends with an application of that fuzzy ranking strategy to the Spanish stock market.
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.