A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets

Markets liquidity is an issue of very high concern in financial risk management. In a perfect liquid market the option pricing model becomes the well-known linear Black–Scholes problem. Nonlinear models appear when transaction costs or illiquid market effects are taken into account. This paper deals with the numerical analysis of nonlinear Black–Scholes equations modeling illiquid markets when price impact in the underlying asset market affects the replication of a European contingent claim. Numerical analysis of a nonlinear model is necessary because disregarded computations may waste a good mathematical model. In this paper we propose a finite-difference numerical scheme that guarantees positivity of the solution as well as stability and consistency.     

A general computational recognition primed decision model with multi-agent rescue simulation benchmark

Analytical decision making strategies rely on weighing pros and cons of multiple options in an unbounded rationality manner. Contrary to these strategies, recognition primed decision (RPD) model which is a primary naturalistic decision making (NDM) approach assumes that experienced and professional decision makers when encounter problems in real operating conditions are able to use their previous experiences and trainings in order to diagnose the problem, recall the appropriate solution, evaluate it mentally, and implement it to handle the problem in a satisficing manner. In this paper, a computational form of RPD, now called C-RPD, is presented. Unified Modeling Language was used as a modeling language to represent the proposed C-RPD model in order to make the implementation easy and obvious. To execute the model, RoboCup Rescue agent simulation environment, which is one of the best and the most famous complex and multi-agent large-scale environments, was selected. The environment simulates the incidence of fire and earthquakes in urban areas where it is the duty of the police forces, firefighters and ambulance teams to control the crisis. Firefighters of SOS team are first modeled and implemented by utilizing C-RPD and then the system is trained using an expert’s experience. There are two evaluations. To find out the convergence of different versions developed during experience adding, some of the developed versions are chosen and evaluated on seven maps. Results show performance improvements. The SOS team ranked first in an official world championship and three official open tournaments.     

Detecting improvement using Shewhart attribute control charts when the lower control limit is zero

In this paper, we present a method to monitor count data so as to be able to detect improvement when the counts are low enough to cause the lower limit to be zero. The method, which is proposed as an add-on to the conventional Shewhart control chart, consists in counting the number of samples in which zero defectives or zero defects per unit occur and signaling an increase in quality if k-in-a-row or 2-in-t samples have zero counts of defectives or zero defects per unit. This method enjoys some similarities to the very popular Shewhart control chart in that it is easy to design, understand and use. It is flexible, robust, and, like the Shewhart chart, yields detection frequencies that are optimal for very large shifts and good for other shifts. Some comparisons with traditional CUSUM charts are provided. Figures enabling Shewhart control chart users to easily design low-side add-on control charts are given for c and np charts.     

Disciplining Information Systems: Truth and its Regimes

This paper provides a critical discussion of the ongoing concern of Information Systems (IS) academics on the status of IS as an academic discipline. The focal claim of the argument is that the status of IS as an ‘academic discipline’ is not an ontological or an epistemological question but rather a political one. In defending this claim the paper will draw on the work of Foucault, in particular his discussion on the relation between power and knowledge. The paper will conclude that the advice given by Paul (2002) and others may be appropriate but for very different reasons. It will claim that it is equally important, if not more so, to know the reasons why claims to legitimacy may succeed or not, for such claims to be effective as a political programme.     

Data partitioning and load balancing in parallel disk systems

Parallel disk systems provide opportunities for exploiting I/O parallelism in two possible ways, namely via inter-request and intra-request parallelism. In this paper, we discuss the main issues in performance tuning of such systems, namely striping and load balancing, and show their relationship to response time and throughput. We outline the main components of an intelligent, self-reliant file system that aims to optimize striping by taking into account the requirements of the applications, and performs load balancing by judicious file allocation and dynamic redistributions of the data when access patterns change. Our system uses simple but effective heuristics that incur only little overhead. We present performance experiments based on synthetic workloads and real-life traces. Received May 17, 1994 / Accepted June 9, 1997     

Deformation Behaviour of Iron‐Rich Iron‐Aluminium Alloys with Ternary Transition Metal Additions

The hardness and yield stress at room temperature and the brittle‐to‐ductile transition temperature of Fe‐Al alloys with 16 at.% Al, which is in the range of the so‐called K‐state with possible short‐range ordering reactions, and ternary additions of 0.5 and 4 at.% of the transition metals Cr, Mo, Mn, V, Ti and Ni were studied with respect to possible hardening effects of the ternary additions. The addition of Cr, Mo and Mn to the Fe‐Al alloys produce solid‐solution hardening which corresponds to the hardening effect of Al. Only Ti, V and Ni produce extra hardening effects which cannot be related to solid‐solution hardening. This extra hardening is attributed to possible fine NiAl precipitates in the Fe‐Al‐Ni case and to possible enhanced short‐range ordering and/or fine carbide precipitates in the cases of Fe‐Al‐V and Fe‐Al‐Ti.     

Axial offset control of PWR nuclear reactor core using intelligent techniques

Improved load following capability is one of the main technical performances of advanced PWR (APWR). Controlling the nuclear reactor core during load following operation encounters some difficulties. These difficulties mainly arise from nuclear reactor core limitations in local power peaking, while the core is subject to large and sharp variation of local power density during transients. Axial offset (AO) is the parameter usually used to represent of core power peaking, in form of a practical parameter. This paper, proposes a new intelligent approach to AO control of PWR nuclear reactors core during load following operation. This method uses a neural network model of the core to predict the dynamic behavior of the core and a fuzzy critic based on the operator knowledge and experience for the purpose of decision-making during load following operations. Simulation results show that this method can use optimum control rod groups maneuver with variable overlapping and may improve the reactor load following capability.     

The ontological screening of contemporary life: a phenomenological analysis of screens

In this paper, we attempt to show how phenomenology, in a traditional methodological form, can provide an interesting and novel basis for thinking about screens in a world where screens now pervade a great many aspects of human experience. In our analysis, we aim to give a phenomenological account of screen(ing), that is, of its fundamental and foundational meaning. In doing the phenomenological analysis, we ground our argument on the ontology of Heidegger's Being and Time. In doing this, we claim that the screen will only show itself, as that which it is, as a screen in-the-world, where screens already are or have their being ‘as screens’ for this and that purpose, activity or work. We claim, and aim to show, that our analysis provides many insights about the meaning of screens that would be difficult to gain through any other method of investigation. We also argue and show that, although our method is not empirical, its results have important implications for the empirical world.     

Topography simulation of sputtering using an algorithm with second order approximation in space

For the efficient simulation of topography evolution due to, e.g., focused ion beam processes, continuum surface advancement algorithms are commonly used. In this work we present a two-dimensional surface advancement algorithm that uses circular arcs between nodes and allows kinks in the surface. The algorithm is based on the method of characteristics, which yields the motion of the points and the slope of the surface. By the interpolation with circular arcs not only the final result is better represented, but also more accurate simulation is possible after insertion of new points as the surface evolves. Kinks in the surface (shocks) are detected by the generation of loops in the surface string or by a new criterion based on the analysis of infinitesimally separated characteristics. It requires the curvature of the surface, which may readily be determined from the radii of the circular arcs. The proposed algorithm uses a second order approximation in space and therefore requires fewer data points during calculation than first order methods. It is shown to converge with third order as a function of node number. The method is demonstrated by examples of trench formation including the effect of redeposition and of facet formation from a step-like surface.     

User-configurable OCR enhancement for online natural history archives

The creation of structured digital libraries from paper-based archives is an area of growing demand in many scientific and cultural fields, and is not satisfied either by off-the-shelf OCR or commercial form- processing systems. This paper describes and evaluates a configurable archive construction system, which integrates document image pre-processing and analysis with text post-processing tools and a standard OCR package to meet digital archiving requirements. The prototype system is currently being used in conjunction with the UK Natural History Museum to help convert more than 500,000 cards of Lepidoptera (Butterflies and Moths) and Coleoptera (Beetles) to searchable digital archives. Evaluation results covering different aspects of the system from card scanning to overall word recognition rates for different database fields are summarised for two datasets comprising over 5,000 cards selected from different parts of these archives. First-pass end-to-end word recognition rates of 70–90% are reported for key data fields, subject to availability of suitable electronic dictionaries. Further validation and correction is supported through web-editing of the online digital archive.