scholarly journals Testing derivatives pricing models under higher-order moment swaps

2019 ◽  
Vol 36 (2) ◽  
pp. 154-167
Author(s):  
Ako Doffou
Keyword(s):  
Parametric Models ◽  
Order Moment ◽  
Third Order ◽  
Derivatives Pricing ◽  
Content Type ◽  
Variance Swap ◽  
Pricing Error ◽  
Dynamic Trading ◽  
Empirical Tests ◽  
Third Moment

Purpose This paper aims to test three parametric models in pricing and hedging higher-order moment swaps. Using vanilla option prices from the volatility surface of the Euro Stoxx 50 Index, the paper shows that the pricing accuracy of these models is very satisfactory under four different pricing error functions. The result is that taking a position in a third moment swap considerably improves the performance of the standard hedge of a variance swap based on a static position in the log-contract and a dynamic trading strategy. The position in the third moment swap is taken by running a Monte Carlo simulation. Design/methodology/approach This paper undertook empirical tests of three parametric models. The aim of the paper is twofold: assess the pricing accuracy of these models and show how the classical hedge of the variance swap in terms of a position in a log-contract and a dynamic trading strategy can be significantly enhanced by using third-order moment swaps. The pricing accuracy was measured under four different pricing error functions. A Monte Carlo simulation was run to take a position in the third moment swap. Findings The results of the paper are twofold: the pricing accuracy of the Heston (1993) model and that of two Levy models with stochastic time and stochastic volatility are satisfactory; taking a position in third-order moment swaps can significantly improve the performance of the standard hedge of a variance swap. Research limitations/implications The limitation is that these empirical tests are conducted on existing three parametric models. Maybe more critical insights could have been revealed had these tests been conducted in a brand new derivatives pricing model. Originality/value This work is 100 per cent original, and it undertook empirical tests of the pricing and hedging accuracy of existing three parametric models.

A method of infrared small targets detection based on local third order moment

2013 ◽  
Author(s):  
Gui-hua Fan ◽  
Ting-hua Zhang ◽  
Jian-guo Zhu ◽  
Yong-hui Zheng ◽  
Lai-xian Zhang
Keyword(s):  
Order Moment ◽  
Third Order ◽  
Small Targets

Numerical investigation of flow features in the vaneless region of a centrifugal pump by large eddy simulation

2018 ◽  
Vol 35 (1) ◽  
pp. 395-410 ◽  
Author(s):  
Xianbei Huang ◽  
Yaojun Li ◽  
Zhuqing Liu ◽  
Wei Yang
Keyword(s):  
Experimental Data ◽  
Transport Equation ◽  
Centrifugal Pump ◽  
Reynolds Stress ◽  
Pressure Pulsation ◽  
Third Order ◽  
Production Term ◽  
Content Type ◽  
Blade Passing Frequency ◽  
Rotor Stator Interaction

Purpose The purpose of this paper is to obtain a better understanding of the rotor–stator interaction in the vaneless region of a centrifugal pump. Design/methodology/approach A third-order sub-grid scale (SGS) model containing the rotation rate tensor named the dynamic cubic non-linear model (DCNM) is used for simulating the flow field in a centrifugal pump with a vaned diffuser. The pressure coefficient and velocity distributions are compared with the experimental data. Focusing on the vaneless region, the pressure pulsation, Reynolds stress pulsation and Reynolds stress transport equation are analyzed. Findings The comparison of the calculation results with the experimental data indicates that the DCNM can accurately capture the distributions of pressure and velocity in the vaneless region. Based on the instantaneous pressure signals, the pressure pulsation is analyzed to show that in the vaneless region, the dominant frequency near the impeller is twice the blade passing frequency, whereas it is equal to the blade passing frequency near the diffuser. Further exploration of the Reynolds stress pulsation shows the correlation between the two variables. Additionally, the extreme low frequency of Reynolds stress near the diffuser is found to be related to the rotation instability. To explore the turbulence characteristics in the vaneless region, the Reynolds stress transportation equation is studied. In the vaneless region, the rotation term of the Reynolds stress transport equation is negligible compared to the production term, although the rotation instability is obvious near the diffuser. The production of the Reynolds stress plays the role of redistributing the energy from the uu component to the vv component, except for the region near the impeller outlet. Originality/value The third-order SGS model DCNM has proved to be promising in simulating the rotor–stator interaction. The analysis of the rotation instability and the Reynolds stress transport equation shed light on the further understanding of the rotor–stator interaction.

Evaluation of occupant's adaptive thermal comfort behaviour in naturally ventilated courtyard houses

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Peiman Pilechiha ◽  
Alireza Norouziasas ◽  
Hoorieh Ghorbani Naeini ◽  
Kasmir Jolma
Keyword(s):  
Thermal Comfort ◽  
Design Methodology ◽  
Construction Materials ◽  
Parametric Models ◽  
Content Type ◽  
Seasonal Movement ◽  
Indoor Thermal Comfort ◽  
Adaptive Thermal Comfort ◽  
Vernacular Buildings ◽  
Hourly Basis

PurposeIn vernacular buildings, many climatic and passive solutions have been used to create indoor thermal comfort. Seasonal occupant movement is an example of a traditional response to increasing thermal comfort. This article investigates the influence of these user behaviours on thermal comfort in courtyard houses.Design/methodology/approachParametric models of three different scenarios of courtyard houses are simulated. The courtyard houses are located in Shiraz, Iran, and share the same orientation and construction materials. To enhance the accuracy of the study, the indoor adaptive thermal comfort (ATC) analysis is performed with three different window-to-wall ratios (WWR) of 25, 50 and 75%. The ACT analysis is performed on an hourly basis for summer and winter scenarios.FindingsThe results demonstrate that the indoor ATC is 8.3% higher in winter than in the summer in the seasonal zones. During the summer, the amount of ATC is relatively sustained in all zones. Unlike common beliefs, seasonal movement can enhance the ATC, especially during winter, specifically in the northern part of the courtyard. In northern zones, the seasonal movement of occupants improves the indoor ATC from 10.1 to 23.7%, and in southern zones, the improvement is from 2.2 to 4.8%.Originality/valueThis research presents a new numerical investigation into occupants' seasonal movements in courtyard houses during summer and winter. It provides a precise pattern to show how much this seasonal movement can affect the habitant's ATC.

Solution of third-order Emden–Fowler-type equations using wavelet methods

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Arshad Khan ◽  
Mo Faheem ◽  
Akmal Raza
Keyword(s):  
Nuclear Reactions ◽  
Approximate Solutions ◽  
Algebraic Equations ◽  
Third Order ◽  
Content Type ◽  
Resolution Level ◽  
The Stability ◽  
Comparison Of The Results ◽  
Wavelet Methods ◽  
Nonlinear Nature

Purpose The numerical solution of third-order boundary value problems (BVPs) has a great importance because of their applications in fluid dynamics, aerodynamics, astrophysics, nuclear reactions, rocket science etc. The purpose of this paper is to develop two computational methods based on Hermite wavelet and Bernoulli wavelet for the solution of third-order initial/BVPs. Design/methodology/approach Because of the presence of singularity and the strong nonlinear nature, most of third-order BVPs do not occupy exact solution. Therefore, numerical techniques play an important role for the solution of such type of third-order BVPs. The proposed methods convert third-order BVPs into a system of algebraic equations, and on solving them, approximate solution is obtained. Finally, the numerical simulation has been done to validate the reliability and accuracy of developed methods. Findings This paper discussed the solution of linear, nonlinear, nonlinear singular (Emden–Fowler type) and self-adjoint singularly perturbed singular (generalized Emden–Fowler type) third-order BVPs using wavelets. A comparison of the results of proposed methods with the results of existing methods has been given. The proposed methods give the accuracy up to 19 decimal places as the resolution level is increased. Originality/value This paper is one of the first in the literature that investigates the solution of third-order Emden–Fowler-type equations using Bernoulli and Hermite wavelets. This paper also discusses the error bounds of the proposed methods for the stability of approximate solutions.

A guide on empirical tests of the EMH

2019 ◽  
Vol 18 (2) ◽  
pp. 268-295
Author(s):  
David Peón ◽  
Manel Antelo ◽  
Anxo Calvo
Keyword(s):  
Financial Markets ◽  
Design Methodology ◽  
Recent Literature ◽  
Asset Price ◽  
Efficient Market Hypothesis ◽  
Price Formation ◽  
Content Type ◽  
Economic Fundamentals ◽  
Empirical Tests ◽  
Available Information

Purpose The efficient market hypothesis (EMH) states that asset prices in financial markets always reflect all available information about economic fundamentals. The purpose of this paper is to provide a guide as to which predictions of the EMH seem to be borne out by empirical evidence. Design/methodology/approach Rather than following the classic three groups of tests for the different forms of EMH that are common in the literature, the authors consider how the two alternative definitions of the EMH and the joint hypothesis problem impact on the tests and leave the controversy unsolved. The authors briefly report the antecedents, the main theoretical and empirical contributions and recent literature on each type of tests. Findings Eventually, as a summary for each type of tests, the authors provide a critical view on the main sources of acrimony between the alternative schools of thought in understanding asset price formation. Originality/value The paper may be seen as an up-to-date introductory review for researchers on the different tests of the EMH performed, and for newcomers to understand the key sources of acrimony between rationalists and behaviorists.

Third-Order Moment Closure Through A Mass-Flux Approach

2000 ◽  
Vol 95 (2) ◽  
pp. 303-318 ◽  
Author(s):  
K. Abdella ◽  
A.C. Petersen
Keyword(s):  
Mass Flux ◽  
Moment Closure ◽  
Order Moment ◽  
Third Order

Comparison-based perceived attribute performance as a better antecedent of satisfaction, value and loyalty

2019 ◽  
Vol 31 (5) ◽  
pp. 1252-1268 ◽  
Author(s):  
Jorge Vera-Martinez ◽  
Sidney Ornelas
Keyword(s):  
Business Performance ◽  
Product Category ◽  
Product Performance ◽  
Performance Measurements ◽  
Content Type ◽  
Performance Variables ◽  
Product Categories ◽  
Dishwashing Detergent ◽  
Empirical Tests ◽  
Level Performance

PurposeProduct performance measurements have been used to explain other business performance variables. The purpose of this paper is to propose that, regarding Mexican consumers, the “comparison-based perceived attribute performance” (CAP) approach is a better predictor of outcomes, such as satisfaction, value and loyalty, compared with the traditional measurement of “non-comparison-based perceived attribute performance” (NCAP). These two forms of assessing attribute-level performance may be considered as different constructs.Design/methodology/approachUsing these two approaches, empirical tests were performed to attribute performance measurement and were conducted on products from two different categories: tequila and liquid dishwashing detergent. Regression analyses were performed using Mexican consumer samples ofn=295 andn=239, respectively.FindingsAs opposed to NCAP, CAP measurements yielded higher statistical levels of satisfaction, value and loyalty for both product categories. In the case of tequila, factor analysis indicated a clear separation between the two types of measurements, suggesting that they should be considered distinct constructs. However, this was not found for the other product category.Originality/valueCAP, which has better potential to predict outcomes than NCAP, could have relevant implications in brand positioning assessment and importance-performance analyses.

Analogy between predictions of Kolmogorov and Yaglom

1997 ◽  
Vol 332 ◽  
pp. 395-409 ◽  
Author(s):  
R. A. Antonia ◽  
M. Ould-Rouis ◽  
F. Anselmet ◽  
Y. Zhu
Keyword(s):  
Reynolds Number ◽  
Prandtl Number ◽  
Longitudinal Velocity ◽  
Turbulent Wake ◽  
Mean Value ◽  
Order Moment ◽  
Third Order ◽  
The Third ◽  
Velocity Increments ◽  
The Mean

The relation, first written by Kolmogorov, between the third-order moment of the longitudinal velocity increment δu1 and the second-order moment of δu1 is presented in a slightly more general form relating the mean value of the product δu1(δui)2, where (δui)2 is the sum of the square of the three velocity increments, to the secondorder moment of δui. In this form, the relation is similar to that derived by Yaglom for the mean value of the product δu1(δuθ)2 where (δuθ)2 is the square of the temperature increment. Both equations reduce to a ‘four-thirds’ relation for inertialrange separations and differ only through the appearance of the molecular Prandtl number for very small separations. These results are confirmed by experiments in a turbulent wake, albeit at relatively small values of the turbulence Reynolds number.

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