VaR and ES for linear portfolios with mixture of elliptic distributions risk factors

In this paper, we generalize the Linear VaR method from portfolios with normally distributed risk factors to portfolios with mixture of elliptically distributed ones. We treat both the Expected Shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a mixture of multivariate t-distributions. This is a part of J. SADEFO-KAMDEM PhD Thesis[12] of the Université de Reims, France . It has been presented at the workshop on modelling and computation in Financial Engineering at Bad Herrenalb, Germany May 6-8, 2003. The author is an associate professor at the Department of mathematics, université d’Evry Val d’Essonne.     

Trust on a Nationwide Scale

Singapore is a small island nation with roughly 4.5 million inhabitants, but it has a highly developed international economy based on trade, services, and knowledge management. Singapore launched its lofty goals by defining the nationpsilas e-security. Current research in the Singaporean telecommunications and IT security community attempts to model such peer-to-peer ad hoc transactions and leverage the existing standard infrastructure described in this article.     

Cross-Layer Packetization and Retransmission Strategies for Delay-Sensitive Wireless Multimedia Transmission

Existing wireless networks provide dynamically varying resources with only limited support for the quality of service required by the bandwidth-intense, loss-tolerant and delay-sensitive multimedia applications. This variability of resources does not significantly impact delay insensitive data transmission (e.g., file transfers), but has considerable consequences for multimedia applications. Recently, the research focus has been to adapt existing algorithms and protocols at the lower layers of the protocol stack to better support multimedia transmission applications and conversely, to modify application layer solutions to cope with the varying wireless networks resources. In this paper, we show that significant improvements in wireless multimedia performance can be obtained by deploying a joint application-layer adaptive packetization and prioritized scheduling and MAC-layer retransmission strategy. We deploy a state-of-the-art wavelet coder for the compression of the video data that enables on-the-fly adaptation to changing channel conditions and inherent prioritization of the video bitstream. We pose the cross-layer problem as a distortion minimization given delay constraints and derive analytical solutions by modifying existing joint source-channel coding theory aimed at fulfilling rate, rather than delay, constraints. We also propose real-time algorithms that explicitly consider the available information about previously transmitted packets. The obtained results show significant improvements in terms of video quality as opposed to ad-hoc optimizations currently deployed, while the complexity associated with performing this optimization in real time, i.e., at transmission time, is limited     

Improving the Public Health Information Network through Semantic Modeling

The US Centers for Disease Control and Prevention (CDC) created the Public Health Information Network to advance fully capable, interoperable information systems in public health organizations. PHIN prioritizes public health information systems' functional requirements, capabilities, performance measures, and operational characteristics while letting the architects of those systems choose enabling approaches, methods, and concepts to meet the requirements. PHIN also provides a certification process for public health administrators to evaluate their information infrastructure's quality. The certification process is important because affected organizations often depend on certification for continued funding.     

Applications of the discrete element method in mechanical engineering

Compared to other fields of engineering, in mechanical engineering, the Discrete Element Method (DEM) is not yet a well known method. Nevertheless, there is a variety of simulation problems where the method has obvious advantages due to its meshless nature. For problems where several free bodies can collide and break after having been largely deformed, the DEM is the method of choice. Neighborhood search and collision detection between bodies as well as the separation of large solids into smaller particles are naturally incorporated in the method. The main DEM algorithm consists of a relatively simple loop that basically contains the three substeps contact detection, force computation and integration. However, there exists a large variety of different algorithms to choose the substeps to compose the optimal method for a given problem. In this contribution, we describe the dynamics of particle systems together with appropriate numerical integration schemes and give an overview over different types of particle interactions that can be composed to adapt the method to fit to a given simulation problem. Surface triangulations are used to model complicated, non-convex bodies in contact with particle systems. The capabilities of the method are finally demonstrated by means of application examples. Commemorative Contribution.