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Complex derivatives valuation: applying the Least-Squares Monte Carlo Simulation Method with several polynomial basis

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Financial Innovation 2016年第1期2卷 1-14页

作者： Ursula Silveira monteiro de Lima carlos Patricio Samanez Department of Industrial Engineering Pontifical Catholic University of Rio de JaneiroMarquês de São Vicente Street225/22453-900 GáveaRio de JaneiroBrazil

Background:This article investigates the Least-Squares Monte Carlo Method by using different polynomial basis in American Asian Options *** standard approach in the option pricing literature is to choose the basis *** comparing four different polynomial basis we show that the choice of basis interferes in the option's ***:We assess Least-Squares Method performance in pricing four different American Asian Options by using four polynomial basis:Power,Laguerre,Legendre and Hermite *** every American Asian Option priced,three sets of parameters are used in order to evaluate it ***:We show that the choice of the basis interferes in the option's price by showing that one of them converges to the option's value faster than any other by using fewer simulated *** the case of an Amerasian call option,for example,we find that the preferable polynomial basis is Hermite *** an Amerasian put option,the Power polynomial basis is *** empirical outcome is theoretically unpredictable,since in principle all basis can be indistinctly used when pricing the ***:In this article The Least-Squares Monte Carlo Method performance is assessed in pricing four different types of American Asian Options by using four different polynomial basis through three different sets of *** results suggest that one polynomial basis is best suited to perform the method when pricing an American Asian *** all basis can be indistinctly used when pricing the ***,our results does not confirm *** find that when pricing an American Asian put option,Power A is better than the other basis we have studied here whereas when pricing an American Asian call,Hermite A is better.

关键词： Complex derivatives valuation Least-Squares Monte Carlo Method Amerasian options Polynomial basis

Attosecond twisted beams from high-order harmonicgeneration driven by optical vortices

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High Power Laser Science and Engineering 2017年第1期5卷 12-19页

作者： carlos Hernandez-Garcia Laura Rego Julio San Roman Antonio Picon luis Plaja Grupo de Investigacion en Aplicaciones del Laser y Fotonica Departamento de Fisica AplicadaUniversity of SalamancaE-37008SalamancaSpain Argonne National Laboratory Argonne1L 60439USA

Optical vortices are structures of the electromagnetic field with a spiral phase ramp about a point-phase singularity,carrying orbital angular momentum(OAM). Recently, OAM has been imprinted to short-wavelength radiation through high-order harmonic generation(HHG), leading to the emission of attosecond twisted beams in the extreme-ultraviolet(XUV) regime. We explore the details of the mapping of the driving vortex to its harmonic spectrum. In particular, we show that the geometry of the harmonic vortices is convoluted, arising from the superposition of the contribution from the short and long quantum paths responsible of HHG. Finally, we show how to take advantage of transverse phase-matching to select twisted attosecond beams with different spatiotemporal properties.

关键词： attosecond science extreme-ultraviolet vortices high harmonic generation orbital angular momentum twisted beams vortexbeams

Experimental analysis of infragravity waves in two eroded microtidal beaches

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Acta Oceanologica Sinica 2017年第5期36卷 31-43页

作者： MARIO Conde-Frias luis Otero JUAN Camilo Restrepo JUAN carlos Ortiz Geosciences Research Group GE04 Department of PhysicsUniversidad del NorteBarranquilla 081007Colombia

This work aims to contribute to the characterization and understanding ofinfragravity waves on two beaches with erosion problems. For this reason, we have used an array of ADCP and a pressure sensor to measure wave parameters and pressure inside and outside of the surf zone during the dry and rainy period in the beaches of Galerazamba and Manzanillo del Mar （both dissipative and eroded beaches） located in the Colombian Caribbean coast. Based on these measurements, we have carried out a spectral analysis in order to identify the frequency components that characterize the wave and its energy; thus, we identified the characteristic frequencies of iufragravity waves to finally filter the infragravity signal on each beach in different seasonal periods. Among the results of the Welch spectrum applied to surface elevation time series, we found that, the frequencies＇ energy of the sea-swell band decreases due to bottom friction and wave breaking as the wave approaches the shore, while the frequencies＇ energy of the infragravity band increases significantly. In addition, for the wavelet analysis, we could observe how the energy of the infragravity band, especially the lowest frequencies gain energy as the waves approaches the coast. Furthermore, based on the infragravity wave obtained from the extreme wave event registered during the field campaign we can conclude that the contribution of this signal is important in the erosion problems presented in the beaches of Galerazamba and Manzanillo del Mar. Finally, these results show the need to realize other studies that allow us to understand deeply, the role of infragravity waves on the morphological changes that occurs in these beaches.

关键词： infragravity waves long waves experimental analysis fourier analysis wavelet transform

Water-soluble hollow nanocrystals from self-assembly of AIEEactive Pt(II)metallomesogens

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Nano Research 2021年第1期14卷 245-254页

作者： Cristian Cuerva Javier Fernandez-Lodeiro Mercedes Cano Jose luis Capelo-Martinez carlos Lodeiro BIOSCOPE Research Group LAQV@REQUIMTE Chemistry DepartmentNOVA School of Science and TechnologyNOVA University Lisbon2829-516 CaparicaPortugal PROTEOMASS Scientific Society Rua dos InventoresMadam ParqueCaparica Campus2829-516 CaparicaPortugal Department of Inorganic Chemistry Complutense University of MadridCiudad Universitaria28040 MadridSpain

Luminescent hollow micro-and nanocrystals have been successfully obtained taking advantage of the self-assembly behavior and the aggregation-induced emission enhancement properties of several bispyrazolate Pt(II)metallomesogens decorated with four terminal alkyl ***-in-water droplets have been used to confine the Pt(II)compounds and drive them to be self-assembled via intermolecular Pt…Pt interactions into spherical aggregates of about 200 or 50 *** of the oil phase generates highly-stable aqueous dispersions of nanocrystals that emit a bright orange light as a result of the existence of^(3)MMLCT excited *** methods and conditions have been tested for studying the effect of several parameters such as the temperature and the stirring speed in the final particle size and in the polydispersity ***,the micro-and nanocrystals are able to entrap hydrophobic drugs between the alkyl chains of the compounds,forming stable dispersions of drug-loaded capsules in *** droplet method is applied in the area of metallomesogens for the first time to synthesize self-assembled Pt(II)nanocapsules,which opens a new field of study that could allow the use of these liquid crystal materials in biomedical applications.

关键词： R(II)metallomesogens self-assembly luminescent nanomaterials droplets nanocapsules

Factors affecting the dominance hierarchy dynamics in a hummingbird assemblage

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Current Zoology 2019年第3期65卷 261-268页

作者： Ubaldo MARQUEZ-LUNA carlos Lara Pablo CORCUERA Pedro luis VALVERDE Doctorado en Ciencias Biologicas y de la Salud Universidad Autonoma Metropolitana-lztapalapa Ciudad de Mexico Mexico Centro de Investigacion en Ciencia Biologicas Universidad Autonoma de Tlaxcala. Km 10.5 Autopista Tlaxcala-San Martin Texmelucan San Felipe Ixtacuixtla Tlaxcala Mexico Departamento de Biologia Universidad Autonoma Metropolitana-lztapalapa Ciudad de Mexico

Intra and in terspecific competiti on for n ectar play an imports nt role in hummingbird communities. Larger sized species usually exclude smaller species from the rich floral resources. However, it has been recently postulated that the competitive advantages of a large body size decline as the evolutionary distance between the contending species in creases. In this study, we analyzed dominance hierarchy dynamics in a hummingbird assemblage in central Mexico. By monitoring hummingbird territories established in three plant species through 1 year, we assessed the effects of energy within territories and the territory owners identity in the frequency of inter and intraspecific encounters. We also evaluated if these factors affect the dominance of larger species when they compete against smaller distantly related contenders. Our results show that their frequency of intraspecific encounters was related with the identity of the territory's owner. On the contrary, the frequency of interspecific encounters was related with both the territory and the identity of the territory's owner. We did not find a significant difference between the number of encounters dominated by larger and smaller species and their conte nders. However, the in crease in genetic dista nee between contenders was positively associated with a higher frequency of encounters dominated by small *** results showed that the ecological factors and evolutionary relationships among contenders play important roles in the dominance hierarchy dynamics.

关键词： agonistic behavior competition hummingbirds resource quality territoriality

The movement of ＂false antennae＂ in butterflies with ＂false head＂ wing patterns

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Current Zoology 2015年第4期61卷 758-764页

作者： Tania G. LOPEZ-PALAFOX Armando luis-MARTINEZ carlos CORDERO Posgrado en Ciencias Biologicas Instituto de Ecologia Universidad Nacional Autonoma de Mexico Distrito Federal 04510 Mexico Museo de Zoologia Departamento de Biologia Evolutiva Facultad de Ciencias Universidad Nacional Autonoma de Mexico Distrito Federal 04510 Mexico Departamento de Ecologia Evolutiva Instituto de Ecologia Universidad Nacional Autonoma de M6xico Distrito Federal 04510 Mexico

In many butterfly species of the family Lycaenidae, the morphology and color pattern of the hind wings, together with certain behaviors, suggests the presence of a false head （FH） at the posterior end of the perching individual. This FH is consi- dered an adaptation to escape from visually oriented predators. A frequent component of the FH are the tails that presumably resemble the antennae, and the typical hind wings back-and-forth movement along the sagittal plane （HWM） performed while perching apparently move the tails in a way that mimics antennal movement. By exposing 33 individuals from 18 species of Lycaenidae to a stuffed insectivorous bird, we tested two alternative hypotheses regarding HWM. The first hypothesis proposes that, when the butterfly is observed at close range, the HWM distorts the shape of the false head thus reducing its deceiving effect and, therefore, selection will favor butterflies that stop moving their wings when a predator is close by; the second hypothesis says that an increase in the frequency of HWM improves its deflective effect when the butterfly confronts a predator at close range. Our results tend to support the second hypothesis because half of the butterflies started to move their hind wings or increased the rate of HWM when exposed to the stuffed bird; however a substantial proportion of butterflies （30%） stopped moving their hind wings or decreased the rate of HWM as expected from the first hypothesis. Our observations also showed that there is great variation in the rates of HWM, and demonstrated the existence of alternative ways of producing ＂vivid＂ movement of the hind wing tails （the ＂false antennae＂） in the absence of HWM [Current Zoology 61 （4）： 758-764, 2015].

关键词： Butterflies Lycaenidae Predator deception Anti-predator behavior Wing morphology

Pore Scale Study of Gas-liquid Interface Movement in a Microfluidic Pore Network during Evaporation under Isothermal and Non-isothermal Conditions

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Pore Scale Study of Gas-liquid Interface Movement in a Micro...

作者： luis carlos Silva Rojas 上海交通大学

学位级别：硕士

The evaporation process has been studied widely in the past in order to understand the mechanisms and driving forces that induce the flow in multiphase *** knowledge is essential in industrial and real-life applications and systems such as oil recovery,soil remediation,water management in fuel cells,and *** this study,isothermal experiments at 21.5,46.7,and 74.1 ℃;and non-isothermal experiments with gradients of 10,20,and30 ℃ have been conducted in a 2D microfluidic pore network in order to observe the phase distribution,liquid-gas interface movement,liquid bridges,and capillary instability events induced by the dynamics of multi-phase *** find a relation between saturation and the flow rate during capillary instability *** show the formation and disappearance mechanisms of liquid bridges for all the non-isothermal and isothermal experiments at46.7,and 74.1 ℃.The effects of temperature in saturation,evaporation rate,capillary stability,specific interfacial area,and liquid bridges are also discussed in this *** temperature significantly impacts the evaporation rate,inducing different pathways when the gas phase recedes within the pore network and a shorter time duration for the overall evaporation *** instability is another phenomenon that affects the phase pattern and ***,it is not easy to observe and consider due to its duration(significantly shorter in comparison with the evaporation time)and unpredictability in the occurrence of a new ***,for the non-isothermal experiments,linear behavior is observed for the gradient between cold and hot temperatures.

关键词： porous media evaporation capillary instability liquid bridge thermal gradient specific interfacial area

Fast magnitude determination using a single seismological station record implementing machine learning techniques

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Geodesy and Geodynamics 2018年第1期9卷 34-41页

作者： luis H.Ochoa luis F.Nino carlos A.Vargas Universidad Nacional de Colombia Carrera 45 N°26-85 Edificio Manuel Ancizar-Of:330BogotaColombia

In this work a Support Vector Machine Regression（SVMR） algorithm is used to calculate local magnitude（MI） using only five seconds of signal after the P wave onset of one three component seismic station. This algorithm was trained with 863 records of historical earthquakes, where the input regression parameters were an exponential function of the waveform envelope estimated by least squares and the maximum value of the observed waveform for each component in a single station. Ten-fold cross validation was applied for a normalized polynomial kernel obtaining the mean absolute error for different exponents and complexity parameters. The local magnitude（MI） could be estimated with 0.19 units of mean absolute error. The proposed algorithm is easy to implement in hardware and may be used directly after the field seismological sensor to generate fast decisions at seismological control centers, increasing the possibility of having an effective reaction.

关键词： Earthquake early warning Support Vector Machine Regression Earthquake Rapid response Local magnitude Seismic event Seismology Bogota Colombia

A comparative assessment of empirical and lattice Boltzmann method-based drag models for simulation of gas-solid flow hydrodynamics in a bubbling fluidized bed

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Particuology 2017年第4期15卷 129-137页

作者： carlos M. Romero Luna luis R. Carrocci Gretta L.A.F. Arce Ivonete Avila UNESP - Sflo Paulo State University School of Engineering Department of Energy Laboratory of Combustion and Carbon Capture (LC3) CEP 12.516-410 Guaratinguetd SP Brazil INPE - Brazilian Space Research Institute Combustion and Propulsion Associated I.aboratory CEP 12.630-000 Cachoeira Paulista SP Brazil UNJFSC -Jose Faustino Sanchez Carrion National University Faculty of Chemical and Metallurgical Engineering Advanced Materials and Nanotechnology Research Group Huacho Lima Peru

In simulations of fluidized beds using computational fluid dynamics （CFD）, the description of gas-solid flow hydrodynamics relies on a drag model to account for the momentum transfer between gas and solid phases. Although several studies of drag models have been published, there have been few investigations of the application of lattice Boltzmann method （LBM）-based drag models to bubbling fluidized bed simu- lations. In the present study, a comprehensive comparison of empirical and LBM-based drag models was carried out to assess the performance of these models during simulations of gas-solid flow hydrodynam- ics in a bubbling fluidized bed. A CFD model using the MFIX code based on the Eulerian-Eulerian approach and the kinetic theory of granular flow was used to simulate a 2D bubbling fluidized bed with Geldart B particles. The simulation results were validated by comparison with experimental data. Statistical anal- ysis of the results shows that LBM-based drag models can reliably model gas-solid flow hydrodynamics in a bubbling fluidized bed.

关键词： CFD Drag model Gas-solid flow hydrodynamics Bubbling fluidized bed