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A closed-form pricing formula for European options in an illiquid asset market

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Financial Innovation 2022年第1期8卷 883-900页

作者： puneet pasricha Song-Ping Zhu Xin-Jiang He School of Mathematics and Applied Statistics University of WollongongWollongongNSW 2522Australia School of Economics Zhejiang University of TechnologyHangzhouChina

This article addresses the problem of pricing European options when the underlying asset is not perfectly liquid.A liquidity discounting factor as a function of market-wide liquidity governed by a mean-reverting stochastic process and the sensitivity of the underlying price to market-wide liquidity is firstly introduced,so that the impact of liquidity on the underlying asset can be captured by the option pricing *** characteristic function is analytically worked out using the Feynman–Kac theorem and a closed-form pricing formula for European options is successfully derived *** numerical experiments,the accuracy of the newly derived formula is verified,and the significance of incorporating liquidity risk into option pricing is demonstrated.

关键词： European options Liquidity risk Liquidity discounting factor Characteristic function Conditional distribution

Portfolio optimization of credit risky bonds: a semi-Markov process approach

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Financial Innovation 2020年第1期6卷 456-469页

作者： puneet pasricha Dharmaraja Selvamuthu Guglielmo D’Amico Raimondo Manca Department of Mathematics Indian Institute of Technology DelhiNew Delhi 110016India Department of Pharmacy University G.d’Annunzio of Chieti-Pescara66100 ChietiItaly Department of MEMOTEF University of RomeLa Sapienza00161 RomeItaly

This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky *** criteria to optimize the credit portfolio is based on l_(∞)-norm risk measure and the proposed optimization model is formulated as a linear programming *** input parameters to the optimization model are rate of returns of bonds which are obtained using credit ratings assuming that credit ratings of bonds follow a semi-Markov *** credit ratings by semi-Markov processes has several advantages over Markov chain models,i.e.,it addresses the ageing effect present in the credit rating *** transition probability matrices generated by semi-Markov process and initial credit ratings are used to generate rate of returns of *** empirical performance of the proposed model is analyzed using the real ***,comparison of the proposed approach with the Markov chain approach is performed by obtaining the efficient frontiers for the two models.

关键词： Semi-Markov process Credit ratings Credit risky bonds Portfolio optimization Min-max absolute deviation

Effect of using borax decahydrate as nanoparticles additive in blends of spirulina biodiesel/diesel on combustion characteristics and knock intensity

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CLEAN ENERGY 2024年第3期8卷 62-78页

作者： Singh, Ajay Partap Gautam, puneet Singh IIMT Univ Meerut Mech Engn Dept Meerut 250001 Uttar Pradesh India

In this extensive investigation, the impact of borax decahydrate as a fuel additive in a diesel single-cylinder engine was rigorously examined. Borax decahydrate was introduced at concentrations of 5, 15, 25 and 35 g in 500 ml of biodiesel, forming five unique fuel mixtures with conventional diesel: 90% diesel + 10% spirulina biodiesel (SB10), SB10 + 1 g borax decahydrate (SB10B1), SB10 + 3 g borax decahydrate (SB10B3), SB10 + 5 g borax decahydrate (SB10B5) and SB10 + 7 g borax decahydrate (SB10B7). The investigation encompassed four diverse loading conditions and yielded insightful findings. Notably, at full load, SB10B3 exhibited a higher cylinder peak pressure than diesel, reaching 69.25 bar. Heat release rate profiles demonstrated superior efficiency for SB10 at 50% load, with a cumulative heat release rate of 950 J/degrees CA, which is lower than the 1050 J/degrees CA of diesel. Knock intensity (KI) evaluations revealed that, although SB10 and SB10B1 exhibited higher KI than diesel at full load due to elevated peak pressure, SB10B7 showed no knocking across all loads, indicative of reduced in-cylinder combustion. This meticulous numerical analysis emphasizes the potential of borax decahydrate as a catalyst and enhancer, providing valuable insights into the combustion dynamics of these alternative fuel blends and their viability for sustainable and efficient engine performance. In summary, out of all the blends, SB10B3 could be a potential diesel fuel replacement fuel for compression-ignition engines. The impact of borax decahydrate as a fuel additive is tested in a single-cylinder engine that burned mixtures of diesel and biodiesel derived from spirulina. Five unique mixtures of fuels and additive are used at different engine loads. Graphical Abstract

关键词： spirulina biodiesel borax decahydrate diesel engine combustion knock intensity HRR in-cylinder pressure DIESEL-ENGINE PERFORMANCE REAL-TIME START EMISSION CHARACTERISTICS EXHAUST EMISSIONS OIL CONSUMPTION FEEDSTOCK

Improved Energy Management Strategy for Prosumer Buildings with Renewable Energy Sources and Battery Energy Storage Systems

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Journal of Modern Power Systems and Clean Energy 2024年第2期12卷 381-392页

作者： Pavitra Sharma Krishna Kumar Saini Hitesh Datt Mathur puneet Mishra Department of Electrical&Electronics Engineering Birla Institute of Technology&SciencePilaniIndia IEEE

The concept of utilizing microgrids(MGs)to convert buildings into prosumers is gaining massive popularity because of its economic and environmental *** pro-sumer buildings consist of renewable energy sources and usually install battery energy storage systems(BESSs)to deal with the uncertain nature of renewable energy ***,because of the high capital investment of BESS and the limitation of available energy,there is a need for an effective energy management strategy for prosumer buildings that maximizes the profit of building owner and increases the operating life span of *** this regard,this paper proposes an improved energy management strategy(IEMS)for the prosumer building to minimize the operating cost of MG and degradation factor of ***,to estimate the practical operating life span of BESS,this paper utilizes a non-linear battery degradation *** addition,a flexible load shifting(FLS)scheme is also developed and integrated into the proposed strategy to further improve its *** proposed strategy is tested for the real-time annual data of a grid-tied solar photovoltaic(PV)and BESS-powered AC-DC hybrid MG installed at a commercial ***,the scenario reduction technique is used to handle the uncertainty associated with generation and load *** validate the performance of the proposed strategy,the results of IEMS are compared with the well-established energy management *** simulation results verify that the proposed strategy substantially increases the profit of the building owner and operating life span of ***,FLS enhances the performance of IEMS by further improving the financial profit of MG owner and the life span of BESS,thus making the operation of prosumer building more economical and efficient.

关键词： Prosumer building battery energy storage system(BESS) battery degradation factor demand response energy management microgrid solar photovoltaic(PV)system

Heat transfer optimization and rheological features of Buongiorno nanofluid in a convectively heated inclined annulus with nonlinear thermal radiation

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Propulsion and Power Research 2023年第4期12卷 539-555页

作者： puneet Rana School of Mathematical Sciences College of ScienceMathematics and TechnologyWenzhou Kean UniversityWenzhou 325060China

The theoretical analysis of the mixed convective Buongiorno nanofluid flow in an inclined annular microchannel with convectively heated walls subjected to the effects of nonlinear thermal radiation,exponential heat source(EHS),thermal dependent heat source(THS)is carried *** description of the Buongiorno nanofluid is implemented to analyze the Brownian diffusion and thermo-migration *** general boundary conditions for the velocity,thermal,and nanoparticle volume fraction(NVF)are *** solutions for fully developed governing equations are obtained using bvp5c solver and verified with *** optimization of heat transport rates is made by using the Box-Behnken designbased response surface *** is found that the Lorentz force and the inclination angle of the annulus significantly affect the rheological characteristics of the *** increase thermal energy in the system through Brownian diffusion and thermophoresis,resulting in increased temperature *** heat sources would serve as an important tool for modulating the thermal field in microchannel,as they are directly *** low-level values of the thermal Biot number,the exponential heat source,and the thermal radiation parameter,it is possible to attain the maximum Nusselt number on both walls of the annulus.

关键词： Buongiorno model Convective boundary conditions Exponential spacerelated heat source Nanofluid Annulus Response surface methodology

A Tree-Based Approach for Efficient and Accurate Conjunction Analysis

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Computer Modeling in Engineering & Sciences 2016年第3期111卷 229-256页

作者： Michael Mercurio puneet Singla Department of Mechanical&Aerospace Engineering University at BuffaloState University of New YorkAmherstNY 14260-4400

Conjunction analysis is the study of possible collisions between objects in *** conjunction analysis algorithms are geared towards computing the collision probability between any two resident space ***,there are few heuristic methods available to select which objects should be considered for a detailed collision analysis.A simple all-on-all collision analysis results in an O(N2)procedure,which quickly becomes intractable for large *** main objective of this research work is to preemptively determine which catalogued objects should be considered for a more detailed conjunction analysis,significantly reducing the number of object pairs to be *** heart of the approach lies in the efficient kd-tree *** has been found that this binary search method significantly reduces computational cost to a tractable complexity of O(N logN).The conventional tree-based search is modified slightly by accounting for probabilistic nearest neighbors via the Hellinger ***,the method is extended to account for Non-Gaussian errors via the inclusion of Gaussian Mixture *** has been found that the reduced computational complexity of the kd-tree is maintained,while the applicability of the method is extended to uncertain cases.

关键词： collision maintained complexity

Three Phase Composite Cylinder Assemblage Model for Analyzing the Elastic Behavior of MWCNT-Reinforced Polymers

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Computers, Materials & Continua 2018年第1期54卷 1-20页

作者： puneet Kumar J.Srinivas Research Scholar Mechanical Engineering DepartmentNational Institute of Technology RourkelaOdisha-769008India Associate Professor Mechanical Engineering DepartmentNational Institute of Technology RourkelaOdisha-769008India

Evolution of computational modeling and simulation has given more emphasis on the research activities related to carbon nanotube(CNT)reinforced polymer composites *** paper presents the composite cylinder assemblage(CCA)approach based on continuum mechanics for investigating the elastic properties of a polymer resin reinforced by multi-walled carbon nanotubes(MWCNTs).A three-phase cylindrical representative volume element(RVE)model is employed based on CCA technique to elucidate the effects of inter layers,chirality,interspacing,volume fraction of MWCNT,interphase properties and temperature conditions on the elastic modulus of the *** interface region between CNT and polymer matrix is modeled as the third phase with varying material *** constitutive relations for each material system have been derived based on solid mechanics and proper interfacial traction continuity conditions are *** predicted results from the CCA approach are in well agreement with RVE-based finite element *** outcomes reveal that temperature softening effect becomes more pronounced at higher volume fractions of CNTs.

关键词： Multi-walled carbon nanotube composite cylinder assemblage continuum representative volume element variable interphase

ML-Fresh: Novel Routing Protocol in Opportunistic Networks Using Machine Learning

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Computer Systems Science & Engineering 2022年第2期40卷 703-717页

作者： puneet Garg Ashutosh Dixit Preeti Sethi Department of Computer Engineering J.C.Bose University of Science and TechnologyYMCAFaridabad121006India

Opportunistic Networks(OppNets)is gaining popularity day-by-day due to their various applications in the real-life *** two major reasons for its popularity are its suitability to be established without any requirement of additional infrastructure and the ability to tolerate long delays during data *** Network is also considered as a descendant of Mobile Ad hoc Networks(Manets)and Wireless Sensor Networks(WSNs),therefore,it inherits most of the traits from both mentioned networking *** from its popularity,Opportunistic Networks are also starting to face challenges nowadays to comply with the emerging issues of the large size of data to be communicated and blind forwarding of data among participating nodes in the *** issues lower the overall performance of the *** this thing in mind,ML-Fresh-a novel framework has been proposed in this paper which focuses to overcome the issue of blind forwarding of data by maintaining an optimum path between any pair of participating nodes available in the OppNet using machine learning techniques *** prediction,decision tree prediction,adamic-adar method for complex *** from this,ML-Fresh also uses the history of successful encounters between a pair of communicating nodes for route prediction in the *** results prove that the ML-Fresh outperforms the existing framework of Opportunistic Networks on the grounds of standard Quality-of-Service(QoS)parameters.

关键词： Opportunistic networks artificial intelligence machine learning link prediction routing protocols QoS parameters

Vesicular nanocarrier based treatment of skin fungal infections: Potential and emerging trends in nanoscale pharmacotherapy

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Asian Journal of Pharmaceutical Sciences 2019年第2期14卷 117-129页

作者： Shivani Verma puneet Utreja Department of Pharmaceutics Rayat-Bahra College of Pharmacy I. K. Gujral Punjab Technical University Faculty of Pharmaceutical Sciences Department of Pharmaceutics PCTE Group of Institutes

Occurrence of skin fungal infections is increasing nowadays and their presence is more prominent in patients suffering from immunocompromised diseases like AIDS. Skin fungal infections are a major cause of visits by patients to dermatology clinics. Although, a large number of antifungal agents are available for treatment of skin fungal infections, but, their toxic profile and physicochemical characteristics reduce therapeutic outcome. When these antifungal agents are delivered topically using conventional formulations like creams and gels, they may cause various side effects like redness, burning, and swelling at the site of application. Therefore, various vesicular formulations(phospholipid based or non phospholipid based) have been explored by pharmaceutical scientists to treat skin fungal infections topically. Vesicular formulation explored for the purpose are liposomes, ethosomes, transfersomes, transethosomes, niosomes, spanlastics, oleic acid vesicles, and *** formulations show various advantages like bioavailability enhancement of bioactives,high skin permeation power, no side effects at application site, dosing frequency reduction,and sustained drug release. Therefore, in the present article, we have discussed about the utility of various vesicular nanocarrier systems to treat skin fungal infections.

关键词： Conventional Nanoparticle Spanlastics Transfersomes Vesicular