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Structure Models (structure + models)
Kinds of Structure Models Selected AbstractsTHE EIGENFUNCTION EXPANSION METHOD IN MULTI-FACTOR QUADRATIC TERM STRUCTURE MODELSMATHEMATICAL FINANCE, Issue 4 2007Nina Boyarchenko We propose the eigenfunction expansion method for pricing options in quadratic term structure models. The eigenvalues, eigenfunctions, and adjoint functions are calculated using elements of the representation theory of Lie algebras not only in the self-adjoint case, but in non-self-adjoint case as well; the eigenfunctions and adjoint functions are expressed in terms of Hermite polynomials. We demonstrate that the method is efficient for pricing caps, floors, and swaptions, if time to maturity is 1 year or more. We also consider subordination of the same class of models, and show that in the framework of the eigenfunction expansion approach, the subordinated models are (almost) as simple as pure Gaussian models. We study the dependence of Black implied volatilities and option prices on the type of non-Gaussian innovations. [source] LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSIONMATHEMATICAL FINANCE, Issue 4 2006Jirô Akahori We introduce an infinite dimensional generalization of quadratic term structure models of interest rates, aiming that the lift will give us a deeper understanding of the classical models. We show that it preserves some of the favorable properties of the classical quadratic models. [source] QUADRATIC TERM STRUCTURE MODELS FOR RISK-FREE AND DEFAULTABLE RATESMATHEMATICAL FINANCE, Issue 4 2004Li Chen In this paper, quadratic term structure models (QTSMs) are analyzed and characterized in a general Markovian setting. The primary motivation for this work is to find a useful extension of the traditional QTSM, which is based on an Ornstein,Uhlenbeck (OU) state process, while maintaining the analytical tractability of the model. To accomplish this, the class of quadratic processes, consisting of those Markov state processes that yield QTSM, is introduced. The main result states that OU processes are the only conservative quadratic processes. In general, however, a quadratic potential can be added to allow QTSMs to model default risk. It is further shown that the exponent functions that are inherent in the definition of the quadratic property can be determined by a system of Riccati equations with a unique admissible parameter set. The implications of these results for modeling the term structure of risk-free and defaultable rates are discussed. [source] Specification Analysis of Affine Term Structure ModelsTHE JOURNAL OF FINANCE, Issue 5 2000Qiang Dai This paper explores the structural differences and relative goodness-of-fits of affine term structure models (ATSMs). Within the family of ATSMs there is a trade-off between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade-off is formalized by our classification of N -factor affine family into N+ 1 non-nested subfamilies of models. Specializing to three-factor ATSMs, our analysis suggests, based on theoretical considerations and empirical evidence, that some subfamilies of ATSMs are better suited than others to explaining historical interest rate behavior. [source] An Examination of Affine Term Structure Models,ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 4 2009Suk-Joon Byun Abstract This paper examines the relative performance of models in the affine term structure family which includes both complete and essential affine models using Korean government bond yield data. Principal component analysis with Korean government bond yield data shows that the first three components of yields explain 97% of the total yield curve variation, and the components can be characterized as "level", "slope", and "curvature." We also estimate all three-factor affine models using a Kalman filter/quasi maximum likelihood (QML) approach. An exhaustive comparison shows that the three-factor essential affine model, A1 (3) E, in which only one factor affects the instantaneous volatility of short rates but all three factors affect the price of risk, appears to be the best model in Korea. This finding is consistent with results in Dai and Singleton (2002) and Duffee (2002) on US data and in Tang and Xia (2007) on Canadian, German, Japanese, UK and US data. [source] Incommensurately modulated lanthanide coinage-metal diarsenides.ACTA CRYSTALLOGRAPHICA SECTION B, Issue 5 2009GdCuAs2, GdAu1,,As2 and TbAu1,,As2 crystallize as incommensurately modulated variants of the HfCuSi2 type. Structure models have been developed in the monoclinic superspace group P121/m1(,0,)00 (No. 11.1). The components of the modulation wavevectors q = ,a* + 0b* + ,c* are , = 0.04,(1) and , = 0.48,(1) for GdCuAs2, , = 0.03,(1) and , = 0.48,(1) for GdAu1,,As2 and , = 0.02,(1) and , = 0.46,(1) for TbAu1,,As2. The predominant effect of the positional modulation is the distortion of a square net of arsenic atoms, which results in planar zigzag chains. Rod groups and layer groups of the respective structure motifs are identified and discussed. [source] Blood flow dynamics and fluid,structure interaction in patient-specific bifurcating cerebral aneurysmsINTERNATIONAL JOURNAL FOR NUMERICAL METHODS IN FLUIDS, Issue 10 2008Alvaro Valencia Abstract Hemodynamics plays an important role in the progression and rupture of cerebral aneurysms. The current work describes the blood flow dynamics and fluid,structure interaction in seven patient-specific models of bifurcating cerebral aneurysms located in the anterior and posterior circulation regions of the circle of Willis. The models were obtained from 3D rotational angiography image data, and blood flow dynamics and fluid,structure interaction were studied under physiologically representative waveform of inflow. The arterial wall was assumed to be elastic, isotropic and homogeneous. The flow was assumed to be laminar, non-Newtonian and incompressible. In one case, the effects of different model suppositions and boundary conditions were reported in detail. The fully coupled fluid and structure models were solved with the finite elements package ADINA. The vortex structure, pressure, wall shear stress (WSS), effective stress and displacement of the aneurysm wall showed large variations, depending on the morphology of the artery, aneurysm size and position. The time-averaged WSS, effective stress and displacement at the aneurysm fundus vary between 0.17 and 4.86,Pa, 4.35 and 170.2,kPa and 0.16 and 0.74,mm, respectively, for the seven patient-specific models of bifurcating cerebral aneurysms. Copyright © 2008 John Wiley & Sons, Ltd. [source] Flexible models with evolving structureINTERNATIONAL JOURNAL OF INTELLIGENT SYSTEMS, Issue 4 2004Plamen P. Angelov A type of flexible model in the form of a neural network (NN) with evolving structure is discussed in this study. We refer to models with amorphous structure as flexible models. There is a close link between different types of flexible models: fuzzy models, fuzzy NN, and general regression models. All of them are proven universal approximators and some of them [Takagi-Sugeno fuzzy model with singleton outputs and radial-basis function] are interchangeable. The evolving NN (eNN) considered here makes use of the recently introduced on-line approach to identification of Takagi-Sugeno fuzzy models with evolving structure (eTS). Both TS and eNN differ from the other model schemes by their gradually evolving structure as opposed to the fixed structure models, in which only parameters are subject to optimization or adaptation. The learning algorithm is incremental and combines unsupervised on-line recursive clustering and supervised recursive on-line output parameter estimation. eNN has potential in modeling, control (if combined with the indirect learning mechanism), fault detection and diagnostics etc. Its computational efficiency is based on the noniterative and recursive procedure, which combines the Kalman filter with proper initializations and on-line unsupervised clustering. The eNN has been tested with data from a real air-conditioning installation. Applications to real-time adaptive nonlinear control, fault detection and diagnostics, performance analysis, time-series forecasting, knowledge extraction and accumulation, are possible directions of their use in future research. © 2004 Wiley Periodicals, Inc. [source] Dynamic Optimality of Yield Curve Strategies,INTERNATIONAL REVIEW OF FINANCE, Issue 1-2 2003Takao Kobayashi This paper formulates and analyzes a dynamic optimization problem of bond portfolios within Markovian Heath,Jarrow,Morton term structure models. In particular, we investigate optimal yield curve strategies analytically and numerically, and provide theoretical justification for a typical strategy which is recommended in practice for an expected change in the shape of the yield curve. In the numerical analysis, we utilize a new technique based on the asymptotic expansion approach in order to increase efficiency in computation. [source] An approach for eliminating chemically unreasonable structure models with overlapping atoms as implemented within the GEST softwareJOURNAL OF APPLIED CRYSTALLOGRAPHY, Issue 1 2010Zhen Jie Feng A close-contact penalty factor has been added to the GEST structure solution from powder diffraction data software to differentiate chemically unreasonable structure models from potentially correct models. In order to eliminate the chemically unreasonable structures, the penalty factor is added to the Bragg R factor. This has proved to be an effective approach. [source] ISAACS, interactive structure analysis of amorphous and crystalline systemsJOURNAL OF APPLIED CRYSTALLOGRAPHY, Issue 1 2010Sébastien Le Roux ISAACS (interactive structure analysis of amorphous and crystalline systems) is a cross-platform program developed to analyze the structural characteristics of three-dimensional structure models built by computer simulations. The models may have any degree of periodicity (i.e. crystallinity) and local symmetry. The following structural information is computed from the models: total and partial radial distribution functions and structure factors for X-ray or neutron scattering, coordination numbers, bond-angle and near atomic neighbor distributions, bond-valence sums, ring statistics, and spherical harmonics invariants. The information may be visualized conveniently and stored for further use. [source] PDB_REDO: automated re-refinement of X-ray structure models in the PDBJOURNAL OF APPLIED CRYSTALLOGRAPHY, Issue 3 2009Robbie P. Joosten Structural biology, homology modelling and rational drug design require accurate three-dimensional macromolecular coordinates. However, the coordinates in the Protein Data Bank (PDB) have not all been obtained using the latest experimental and computational methods. In this study a method is presented for automated re-refinement of existing structure models in the PDB. A large-scale benchmark with 16,807 PDB entries showed that they can be improved in terms of fit to the deposited experimental X-ray data as well as in terms of geometric quality. The re-refinement protocol uses TLS models to describe concerted atom movement. The resulting structure models are made available through the PDB_REDO databank (http://www.cmbi.ru.nl/pdb_redo/). Grid computing techniques were used to overcome the computational requirements of this endeavour. [source] Benefits of polarized small-angle neutron scattering on magnetic nanometer scale structure modelingJOURNAL OF APPLIED CRYSTALLOGRAPHY, Issue 3-1 2003André Heinemann Recent use of polarized neutron technique in small-angle scattering (SANS) have led to impressive results in the case of magnetic nanometer-scale structure analysis. In some particular cases this method offers the possibility to survey structure models with the necessary accuracy for the first time. The different cross sections for spin-up and spin-down neutron scattering on magnetic precipitates can be combined with the method of chemical contrast variation. All data fitting using structure models will benefit of that kind of constraints. The analysis of the interference term of nuclear and magnetic scattering respectively enables the extraction of additional information about the composition and magnetization profiles of the samples. Here we place emphasis on the difference of spin-up and spin-down neutron scattering intensities to obtain this information. This technique profits by the clear distinction between magnetic and nonmagnetic scattering contributions and the strong auxiliary conditions for model fitting procedures. Depending on the relative orientations of the external magnetic field, the local magnetization of the precipitates and the scattering vector, significant scattering patterns can be scrutinized. Beside general formulas for some special cases of present experimental interest we exercise the approach to a nontrivial case of data obtained from polarised SANS experiments at the Berlin Neutron Scattering Center (BENSC). [source] Analysis of latent structures in linear modelsJOURNAL OF CHEMOMETRICS, Issue 12 2003Agnar Höskuldsson Abstract In chemometrics the emphasis is on latent structure models. The latent structure is the part of the data that the modeling task is based upon. This paper addresses some fundamental issues that arise when latent structures are used. The paper consists of three parts. The first part is concerned with defining the latent structure of a linear model. Here the ,atomic' parts of the algorithms that generate the latent structure for linear models are analyzed. It is shown how the PLS algorithm fits within this way of presenting the numerical procedures. The second part concerns graphical illustrations, which are useful when studying latent structures. It is shown how loading weight vectors are generated and how they can be interpreted in analyzing the latent structure. It is shown how the covariance can be used to get useful a priori information on the modeling task. Some simple methods are presented for deciding whether a single or multiple latent structures should be used. The last part is about choosing the variables that should be used in the analysis. The traditional procedures for selecting variables to include in the model are presented and the insufficiencies of such approaches are demonstrated. A case study to illustrate the use of CovProc methods is presented. The CovProc methods are discussed and some of their advantages are presented. Copyright © 2004 John Wiley & Sons, Ltd. [source] Stochastic Volatility in a Macro-Finance Model of the U.S. Term Structure of Interest Rates 1961,2004JOURNAL OF MONEY, CREDIT AND BANKING, Issue 6 2008PETER D. SPENCER affine term structure model; macro finance; unit root; stochastic volatility This paper generalizes the standard homoscedastic macro-finance model by allowing for stochastic volatility, using the "square root" specification of the mainstream finance literature. Empirically, this specification dominates the standard model because it is consistent with the square root volatility found in macroeconomic time series. Thus it establishes an important connection between the stochastic volatility of the mainstream finance model and macro-economic volatility of the Okun,Friedman type. This research opens the way to a richer specification of both macro-economic and term structure models, incorporating the best features of both macro-finance and mainstream finance models. [source] Crystalline Transition from H2Ti3O7 Nanotubes to Anatase Nanocrystallines Under Low-Temperature Hydrothermal ConditionsJOURNAL OF THE AMERICAN CERAMIC SOCIETY, Issue 11 2006Ning Wang In this paper, we first reported the crystalline transition from H2Ti3O7 nanotubes to anatase TiO2 nanocrystallines under low-temperature hydrothermal conditions (,140°C). A newly proposed mechanism for the crystalline transition from H2Ti3O7 nanotubes to anatase TiO2 nanocrystallines under low-temperature conditions is discussed in detail, which is supported by X-ray diffraction, high-resolution transmission electronic microscope, selected-area electron diffraction, and crystal structure models. [source] THE EIGENFUNCTION EXPANSION METHOD IN MULTI-FACTOR QUADRATIC TERM STRUCTURE MODELSMATHEMATICAL FINANCE, Issue 4 2007Nina Boyarchenko We propose the eigenfunction expansion method for pricing options in quadratic term structure models. The eigenvalues, eigenfunctions, and adjoint functions are calculated using elements of the representation theory of Lie algebras not only in the self-adjoint case, but in non-self-adjoint case as well; the eigenfunctions and adjoint functions are expressed in terms of Hermite polynomials. We demonstrate that the method is efficient for pricing caps, floors, and swaptions, if time to maturity is 1 year or more. We also consider subordination of the same class of models, and show that in the framework of the eigenfunction expansion approach, the subordinated models are (almost) as simple as pure Gaussian models. We study the dependence of Black implied volatilities and option prices on the type of non-Gaussian innovations. [source] LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSIONMATHEMATICAL FINANCE, Issue 4 2006Jirô Akahori We introduce an infinite dimensional generalization of quadratic term structure models of interest rates, aiming that the lift will give us a deeper understanding of the classical models. We show that it preserves some of the favorable properties of the classical quadratic models. [source] QUADRATIC TERM STRUCTURE MODELS FOR RISK-FREE AND DEFAULTABLE RATESMATHEMATICAL FINANCE, Issue 4 2004Li Chen In this paper, quadratic term structure models (QTSMs) are analyzed and characterized in a general Markovian setting. The primary motivation for this work is to find a useful extension of the traditional QTSM, which is based on an Ornstein,Uhlenbeck (OU) state process, while maintaining the analytical tractability of the model. To accomplish this, the class of quadratic processes, consisting of those Markov state processes that yield QTSM, is introduced. The main result states that OU processes are the only conservative quadratic processes. In general, however, a quadratic potential can be added to allow QTSMs to model default risk. It is further shown that the exponent functions that are inherent in the definition of the quadratic property can be determined by a system of Riccati equations with a unique admissible parameter set. The implications of these results for modeling the term structure of risk-free and defaultable rates are discussed. [source] SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEMMATHEMATICAL FINANCE, Issue 4 2002Damir Filipovi This paper discusses separablc term structure diffusion models in an arbitrage-free environment. Using general consistency results we exploit the interplay between the diffusion coefficients and the functions determining the forward curve. We introduce the particular class of polynomial term structure models. We formulate the appropriate conditions under which the diffusion for a quadratic term structure model is necessarily an Ornstein-Uhlenbeck type process. Finally, we explore the maximal degree problem and show that basically any consistent polynomial term structure model is of degree two or less. [source] How well can the accuracy of comparative protein structure models be predicted?PROTEIN SCIENCE, Issue 11 2008David Eramian Comparative structure models are available for two orders of magnitude more protein sequences than are experimentally determined structures. These models, however, suffer from two limitations that experimentally determined structures do not: They frequently contain significant errors, and their accuracy cannot be readily assessed. We have addressed the latter limitation by developing a protocol optimized specifically for predicting the C, root-mean-squared deviation (RMSD) and native overlap (NO3.5Å) errors of a model in the absence of its native structure. In contrast to most traditional assessment scores that merely predict one model is more accurate than others, this approach quantifies the error in an absolute sense, thus helping to determine whether or not the model is suitable for intended applications. The assessment relies on a model-specific scoring function constructed by a support vector machine. This regression optimizes the weights of up to nine features, including various sequence similarity measures and statistical potentials, extracted from a tailored training set of models unique to the model being assessed: If possible, we use similarly sized models with the same fold; otherwise, we use similarly sized models with the same secondary structure composition. This protocol predicts the RMSD and NO3.5Å errors for a diverse set of 580,317 comparative models of 6174 sequences with correlation coefficients (r) of 0.84 and 0.86, respectively, to the actual errors. This scoring function achieves the best correlation compared to 13 other tested assessment criteria that achieved correlations ranging from 0.35 to 0.71. [source] The (Fo,Fc) Fourier synthesis: a probabilistic studyACTA CRYSTALLOGRAPHICA SECTION A, Issue 5 2008Rocco Caliandro (Fo,Fc) and (2Fo,Fc) Fourier syntheses are considered the most powerful tools for recovering the remainder of a structure and for correcting crystal structure models. A probabilistic approach has been applied to derive the formula for the variance for the expected value of the coefficient (Fo,Fc). This has allowed a better understanding of the features of the difference Fourier synthesis; in particular, a subset of well phased reflections has been separated from the subset of reflections best phased by the standard Fo Fourier synthesis. An iterative procedure, based on the electron-density modification of the difference Fourier map, has been devised which aims to improve phase and modulus estimates of the reflections with higher variance value, by using as lever arm the set of reflections with lower variance value. The new procedure (DEDM) has been implemented and verified on a wide set of test structures, the partial models of which were obtained by molecular replacement or by automatic model-building routines applied to experimental electron-density maps. Phase and modulus estimates of the difference Fourier syntheses improve in all the test cases; as a consequence, the quality of the difference Fourier maps also improves in the region where the target structure deviates from the partial model. A new procedure is suggested, combining DEDM with standard electron-density modification techniques, which leads to significant reduction of the phase errors. The procedure may be considered a starting point for further developments. [source] Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate DerivativesTHE JOURNAL OF FINANCE, Issue 1 2006HAITAO LI ABSTRACT Most existing dynamic term structure models assume that interest rate derivatives are redundant securities and can be perfectly hedged using solely bonds. We find that the quadratic term structure models have serious difficulties in hedging caps and cap straddles, even though they capture bond yields well. Furthermore, at-the-money straddle hedging errors are highly correlated with cap-implied volatilities and can explain a large fraction of hedging errors of all caps and straddles across moneyness and maturities. Our results strongly suggest the existence of systematic unspanned factors related to stochastic volatility in interest rate derivatives markets. [source] Specification Analysis of Affine Term Structure ModelsTHE JOURNAL OF FINANCE, Issue 5 2000Qiang Dai This paper explores the structural differences and relative goodness-of-fits of affine term structure models (ATSMs). Within the family of ATSMs there is a trade-off between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade-off is formalized by our classification of N -factor affine family into N+ 1 non-nested subfamilies of models. Specializing to three-factor ATSMs, our analysis suggests, based on theoretical considerations and empirical evidence, that some subfamilies of ATSMs are better suited than others to explaining historical interest rate behavior. [source] MACRO-FINANCE MODELS OF INTEREST RATES AND THE ECONOMYTHE MANCHESTER SCHOOL, Issue 2010GLENN D. RUDEBUSCH During the past decade, much new research has combined elements of finance, monetary economics and macroeconomics in order to study the relationship between the term structure of interest rates and the economy. In this survey, I describe three different strands of such interdisciplinary macro-finance term structure research. The first adds macroeconomic variables and structure to a canonical arbitrage-free finance representation of the yield curve. The second examines bond pricing and bond risk premiums in a canonical macroeconomic dynamic stochastic general equilibrium model. The third develops a new class of arbitrage-free term structure models that are empirically tractable and well suited to macro-finance investigations. [source] Productive performance in fisheries: modeling, measurement, and managementAUSTRALIAN JOURNAL OF AGRICULTURAL & RESOURCE ECONOMICS, Issue 3 2010Catherine J. Morrison Paul We overview the roles of production structure models in measuring fisheries' productive performance to provide policy-relevant guidance for fishery managers and analysts. In particular, we summarize the literature on the representation and estimation of production structure models to construct productive performance measures for fisheries, with a focus on parametric empirical applications and on the management implications of these kinds of measures. [source] High-Spin- and Low-Spin-State Structures of [Fe(chloroethyltetrazole)6](ClO4)2 from Synchrotron Powder Diffraction DataCHEMISTRY - A EUROPEAN JOURNAL, Issue 19 2006Eva Dova Dr. Abstract The spin-crossover complex [Fe(teec)6](ClO4)2 (teec = chloroethyltetrazole) exhibits a 50,% incomplete spin crossover in the temperature range 300,30 K. Time-resolved synchrotron powder diffraction experiments have been carried out to elucidate its structural behavior. We report crystal structure models of this material at 300 K (high spin) and 90 K (low spin), as solved from synchrotron powder diffraction data by using Genetic Algorithm and Parallel Tempering techniques and refined with Rietveld refinement. During short synchrotron powder diffraction experiments (five minutes duration) two distinguishable lattices were observed the quantities of which vary with temperature. The implication of this phenomenon, that is interpreted as a structural phase transition associated with the high-to-low spin crossover, and the structural characteristics of the high-spin and low-spin models are discussed in relation to other compounds showing a similar type of spin-crossover behavior. [source] | ||||||||||||||||