Barrelledness of Generalized Sums of Normed Spaces

Let (E _i ) _iI be a family of normed spaces and a space of scalar generalized sequences. The -sum of the family (E _i ) _iI of spaces is

Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications

In this paper we discuss exponential functionals of the multi-factor variance gamma (VG) process. This process is a generalization of the well-known VG process. We obtain analytically the expectations of the considered functionals. Derived formulas are based on values of generalized hypergeometric functions. Applications of the established results to option pricing are given.     

Tailweight, quantiles and kurtosis: A study of competing distributions

This paper studies analytically and numerically the tail behavior of the symmetric variance-gamma (VG), t, and exponential-power (EP) distributions. Special emphasis is on the VG, which is a direct competitor of the t in the financial context of modeling the distribution of log-price increments.     

Closed‐form approximations for spread options in Lévy markets

We provide new closed‐form approximations for the pricing of spread options in three specific instances of exponential Lévy markets, ie, when log‐returns are modeled as Brownian motions (Black‐Scholes model), variance gamma processes (VG model), or normal inverse Gaussian processes (NIG model). For the specific case of exchange options (spread options with zero strike), we generalize the well‐known Margrabe formula (1978) that is valid in a Black‐Scholes model to the VG model under a homogeneity assumption.     

Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives

In this paper we model the daily average temperature via an extended version of the standard Ornstein Uhlenbeck process driven by a Levy noise with seasonally adjusted asymmetric ARCH process for volatility. More precisely, we model the disturbances with the Normal inverse Gaussian (NIG) and Variance gamma (VG) distribution. Besides modelling the residuals we also compare the prices of January 2010 out of the money call and put options for two of the Slovenian largest cities Ljubljana and Maribor under normally distributed disturbances and NIG and VG distributed disturbances. The results of our numerical analysis demonstrate that the normal model fails to capture adequately tail risk, and consequently significantly misprices out of the money options. On the other hand prices obtained using NIG and VG distributed disturbances fit well to the results obtained by bootstrapping the residuals. Thus one should take extreme care in choosing the appropriate statistical model.     

Computing Voronoi skeletons of a 3-D polyhedron by space subdivision

We tackle the problem of computing the Voronoi diagram of a 3-D polyhedron whose faces are planar. The main difficulty with the computation is that the diagram's edges and vertices are of relatively high algebraic degrees. As a result, previous approaches to the problem have been non-robust, difficult to implement, or not provenly correct.

We introduce three new proximity skeletons related to the Voronoi diagram: (1) the Voronoi graph (VG), which contains the complete symbolic information of the Voronoi diagram without containing any geometry; (2) the approximate Voronoi graph (AVG), which deals with degenerate diagrams by collapsing sub-graphs of the VG into single nodes; and (3) the proximity structure diagram (PSD), which enhances the VG with a geometric approximation of Voronoi elements to any desired accuracy. The new skeletons are important for both theoretical and practical reasons. Many applications that extract the proximity information of the object from its Voronoi diagram can use the Voronoi graphs or the proximity structure diagram instead. In addition, the skeletons can be used as initial structures for a robust and efficient global or local computation of the Voronoi diagram.

We present a space subdivision algorithm to construct the new skeletons, having three main advantages. First, it solves at most uni-variate quartic polynomials. This stands in sharp contrast to previous approaches, which require the solution of a non-linear tri-variate system of equations. Second, the algorithm enables purely local computation of the skeletons in any limited region of interest. Third, the algorithm is simple to implement.     

On bounds for the mode and median of the generalized hyperbolic and related distributions

Except for certain parameter values, a closed form formula for the mode of the generalized hyperbolic (GH) distribution is not available. In this paper, we exploit results from the literature on modified Bessel functions and their ratios to obtain simple but tight two-sided inequalities for the mode of the GH distribution for general parameter values. As a special case, we deduce tight two-sided inequalities for the mode of the variance-gamma (VG) distribution, and through a similar approach we also obtain tight two-sided inequalities for the mode of the McKay Type I distribution. The analogous problem for the median is more challenging, but we conjecture some monotonicity results for the median of the VG and McKay Type I distributions, from we which we conjecture some tight two-sided inequalities for their medians. Numerical experiments support these conjectures and also lead us to a conjectured tight lower bound for the median of the GH distribution.     

Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions

The price of permits in the European Union Emissions Trading System (EU ETS) has historically been highly sensitive and prone to jumps. We consider different stochastic processes to model the price of permits, and show that the Variance Gamma (VG) model provides the best fit for the price distribution, among a selection of infinite activity processes. Using this result as a starting point, we assess the effects of the EU ETS in delivering low-carbon investments at the firm level, by modeling a price taker electricity producer subject to the EU ETS jurisdiction. We compute, via Least Squares Monte Carlo, the value of the real option the greenhouse gas emitter has, consisting in the opportunity to switch from its current high-carbon technology to a cleaner one. We use a VG specification for carbon prices, and a mean-reverting (Brennan–Schwartz) process for the price of fuel. Moreover, we further analyze the investment decision problem, in case of a CO₂ price stabilization mechanism in the form of a price floor, by explicitly computing the expected value of the investment project by means of Fourier methods. Our results show that the introduction of the price stabilization mechanism significantly affects the timing of the investment decision, and supports emission-related investments.     

The vibrations of a free and loaded tyre

Using the model of a wheel with a reinforced tyre [Vil’ke VG, Kozhevnikov IF. A model of a wheel with a reinforced tyre. Vestnik MGU. Ser.1. Matematika Mekhanika 2004;4:37–45], the natural frequencies and natural forms of vibrations of a free or loaded tyre in the neighbourhood of the equilibrium position are determined. The spectrum of natural frequencies and natural forms of vibration are found analytically for a free (unloaded) tyre with a fixed disc. A similar problem is solved numerically in the case of a loaded tyre. The results of this analysis can be used to estimate the level of noise which occurs when a vehicle moves on an uneven surface.     

Local gradient estimates for solutions of a simplest regularization of a class of nonuniformly elliptic equations

An estimate of , Ω′⊃⊃Ω, for solutions u^ε of the family of equations

Existence of solutions of a class of multivalued partial differential equations

Conditions are given for the existence of solutions and the compactness of the set of solutions of the Darboux problem for the differential inclusion

给定匹配数和独立数时图零度的上界

设G是一个有n个点的简单图,分别记η(G),m(G)和α(G)为图G的零度、匹配数和独立数.设θ(G)是一个非负整数,定义为使图G成为二部图至少需要从G的边集中删去的边数.本文运用二部划分运算,证明了对于有n个点并且不含有圈长为2的倍数的圈为子图的简单图G,有η(G)≤n-2m(G)+20(G)和η(G)≤2α(G)+2θ(G)-n.     

Enumeration of rooted nonseparable outerplanar maps

In this paper, the number of combinatorially distinct rooted nonseparable outerplanar maps withm edges and the valency of the root-face being n is found to be(m-1)! (m-2) !:(n-1)!(n-2)! (m-n)!(m-n 1)!and, the number of rooted nonseparable outerplanar maps with m edges is also determined to be(2m-2)!:(m-1)!m!,which is just the number of distinct rooted plane trees with m-1 edges.     

Solvable D_2-Groups

Let G be a finite group, Irr_1(G) be the set of nonlinear irreducible characters of G and cd_1(G) the set of degrees of the characters in Irr_1(G). A group G is said to be a D_2-group if |cd_1(G)| =|Irr_1(G)|-2. In this paper, we give a complete classification of solvable D_2-groups.     

On Spectral Integral Variations of Graphs

Let G be a general graph. The spectrum S ( G ) of G is defined to be the spectrum of its Laplacian matrix. Let G + e be the graph obtained from G by adding an edge or a loop e . We study in this paper when the spectral variation between G and G + e is integral and obtain some equivalent conditions, through which a new Laplacian integral graph can be constructed from a known Laplacian integral graph by adding an edge.     

On Spectral Integral Variations of Graphs

Let G be a general graph. The spectrum S ( G ) of G is defined to be the spectrum of its Laplacian matrix. Let G + e be the graph obtained from G by adding an edge or a loop e . We study in this paper when the spectral variation between G and G + e is integral and obtain some equivalent conditions, through which a new Laplacian integral graph can be constructed from a known Laplacian integral graph by adding an edge.     

关于一类极大子群的θ-偶

对于有限群G的极大子群M，令β（G：M）表示整除│G：M│的素因子个数，β（G）表示所有β（G；M）中的最大数．令μ（G）为使得β（G：M）=β（G）的极大子群的集合．通过对这一类极大子群的θ-偶赋予一定条件，得到了判断群G可解、超可解的新结果．     

Semisimple crossed products of groups and rings

Let K?G be a crossed product of a multiplicative group G over an associative ring K with 1 and let C(G) be the center of G. If K has no C(G)-invariant ideals, then the Jacobson radical of the center of K?G is a nil ideal. In addition, if G is a ZA-group, then K?G is semisimple if and only if K?G has no central nilpotent elements.     

无向图可迹的一个充分条件

无向图G是简单连通图,且最小度为δ.如果G中包含一条生成路,则G是可迹的.无向图G的叶子数L(G)是G中生成树所含的叶子数的最大数.基于L(G)和δ,证明了一个充分条件使得无向图G是可迹的,即设G为连通图,最小度为δ≤4.若δ≥(1/2)(L(G)+2),G是可迹的.     

Solvable <Emphasis Type="Italic">D</Emphasis><Subscript>2</Subscript>-groups

Let G be a finite group, Irr¹(G) be the set of nonlinear irreducible characters of G and cd¹(G) the set of degrees of the characters in Irr¹(G). A group G is said to be a D₂-group if|cd¹(G)|=|Irr¹(G)|-2. In this paper, we give a complete classification of solvable D₂-groups.