Volatility Targeting Using Delayed Diffusions

ABSTRACT

A target volatility strategy (TVS) is a risky asset-riskless bond dynamic portfolio allocation which makes use of the risky asset historical volatility as an allocation rule with the aim of maintaining the instantaneous volatility of the investment constant at a target level. In a market with stochastic volatility, we consider a diffusion model for the value of a target volatility fund (TVF) which employs a system of stochastic delayed differential equations (SDDEs) involving the asset realized variance. First we prove that under some technical assumptions, contingent claim valuation on a TVF is approximately of Black-Scholes type, which is consistent with and supports the standing market practice. In second place, we develop a computational framework using recent results on Markovian approximations of SDDEs systems, which we then implement in the Heston variance model using an ad hoc Euler scheme. Our framework allows for efficient numerical valuation of derivatives on TVFs, whose typical purpose is the assessment of the guarantee costs of such funds for insurers.     

Estimating parameters in diffusion processes using an approximate maximum likelihood approach

We present an approximate Maximum Likelihood estimator for univariate Itô stochastic differential equations driven by Brownian motion, based on numerical calculation of the likelihood function. The transition probability density of a stochastic differential equation is given by the Kolmogorov forward equation, known as the Fokker-Planck equation. This partial differential equation can only be solved analytically for a limited number of models, which is the reason for applying numerical methods based on higher order finite differences.The approximate likelihood converges to the true likelihood, both theoretically and in our simulations, implying that the estimator has many nice properties. The estimator is evaluated on simulated data from the Cox-Ingersoll-Ross model and a non-linear extension of the Chan-Karolyi-Longstaff-Sanders model. The estimates are similar to the Maximum Likelihood estimates when these can be calculated and converge to the true Maximum Likelihood estimates as the accuracy of the numerical scheme is increased. The estimator is also compared to two benchmarks; a simulation-based estimator and a Crank-Nicholson scheme applied to the Fokker-Planck equation, and the proposed estimator is still competitive.     

Numerical solution to the optimal feedback control of continuous casting process

Using a semi-discrete model that describes the heat transfer of a continuous casting process of steel, this paper is addressed to an optimal control problem of the continuous casting process in the secondary cooling zone with water spray control. The approach is based on the Hamilton–Jacobi–Bellman equation satisfied by the value function. It is shown that the value function is the viscosity solution of the Hamilton–Jacobi–Bellman equation. The optimal feedback control is found numerically by solving the associated Hamilton–Jacobi–Bellman equation through a designed finite difference scheme. The validity of the optimality of the obtained control is experimented numerically through comparisons with different admissible controls. Detailed study of a low-carbon billet caster is presented.     

Mathematical modeling and study of the process of solidification in metal casting

The process of melting and solidification in metal casting is considered. The process is modeled by a three-dimensional two-phase initial-boundary value problem of the Stefan type. The mathematical formulation of the problem and its finite-difference approximation are given. A numerical algorithm is presented for solving the direct problem. The results are described and analyzed in detail. Primary attention is given to the evolution of the solidification front and to how it is affected by the parameters of the problem. Some of the results are illustrated by plots.     

A high-order gas-kinetic Navier–Stokes flow solver

The foundation for the development of modern compressible flow solver is based on the Riemann solution of the inviscid Euler equations. The high-order schemes are basically related to high-order spatial interpolation or reconstruction. In order to overcome the low-order wave interaction mechanism due to the Riemann solution, the temporal accuracy of the scheme can be improved through the Runge–Kutta method, where the dynamic deficiencies in the first-order Riemann solution is alleviated through the sub-step spatial reconstruction in the Runge–Kutta process. The close coupling between the spatial and temporal evolution in the original nonlinear governing equations seems weakened due to its spatial and temporal decoupling. Many recently developed high-order methods require a Navier–Stokes flux function under piece-wise discontinuous high-order initial reconstruction. However, the piece-wise discontinuous initial data and the hyperbolic-parabolic nature of the Navier–Stokes equations seem inconsistent mathematically, such as the divergence of the viscous and heat conducting terms due to initial discontinuity. In this paper, based on the Boltzmann equation, we are going to present a time-dependent flux function from a high-order discontinuous reconstruction. The theoretical basis for such an approach is due to the fact that the Boltzmann equation has no specific requirement on the smoothness of the initial data and the kinetic equation has the mechanism to construct a dissipative wave structure starting from an initially discontinuous flow condition on a time scale being larger than the particle collision time. The current high-order flux evaluation method is an extension of the second-order gas-kinetic BGK scheme for the Navier–Stokes equations (BGK-NS). The novelty for the easy extension from a second-order to a higher order is due to the simple particle transport and collision mechanism on the microscopic level. This paper will present a hierarchy to construct such a high-order method. The necessity to couple spatial and temporal evolution nonlinearly in the flux evaluation can be clearly observed through the numerical performance of the scheme for the viscous flow computations.     

用于BB84相位编码量子密钥分发系统的不间断式主动相位补偿方案

提出一种新的不间断的主动相位补偿方案,在进行量子密钥分发的同时统计不匹配基量子比特在干涉仪不同输出端口上的随机计数分布,给出了由不匹配基量子比特统计数值计算相位漂移参数的计算公式,并由统计数值计算得到相位漂移参数.结果表明:该方案允许系统并行处理量子密钥分发与相位补偿,也充分利用了在原BB84协议中会被丢弃的不匹配基量...     

Generalized finite compact difference scheme for shock/complex flowfield interaction

A class of generalized high order finite compact difference schemes is proposed for shock/vortex, shock/boundary layer interaction problems. The finite compact difference scheme takes the region between two shocks as a compact stencil. The high order WENO fluxes on shock stencils are used as the internal boundary fluxes for the compact scheme. A lemma based on the property of smoothness estimators on a 5-points stencil is given to detect the shock position. There is no free parameter introduced to switch the compact scheme and the WENO scheme. Some numerical experiments are given and they demonstrate that the present scheme has low dissipation due to the compact central differencing scheme used in the smooth regions.     

非均匀交错网格上的Temam方法及驱动方腔流动的数值模拟

给出一种有效求解多重尺度问题的计算方法,把作者在交错网格上的修正Temam格式^[5]推广到非均匀交错网格,网格分布是根据边界层厚度由无奇异连续坐标变换来实现,以保证计算精度,连续方程约束用压力修正投影法来实现.所导致的非均匀网格上的Poisson方程用FISHPACK中的广义循环约减法程序求解。对驱动方腔流动进行了数值模拟,给出了Re数为100,400,1000,5000的定常结果.这些结果定量上与文献中的结果一致,在Re数较大时分辨出三级涡,但计算效率有显著提高。     

类钠铜离子软X射线激光三体复合泵浦机制的研究

 详细研究了类钠铜离子激光等离子体中的各种复合过程，并从理论上描述了类钠铜离子软X射线激光的低温三体复合泵浦机制。     

软土地基深基坑围护方案综合评价

针对国内目前深基坑围护方案设计中,只重视技术设计。而缺乏对造价、环境、工期及不可见等因素综合考虑的现状,本文建立了基于一定设计条件下对围护设计方案综合评价的模糊识别矩阵。