...Andre Louis Cholesky Andre Louis Cholesky was a prestigious member of the French army and a successful mathematician. He studied at the Ecole Polytechnique in France and remained in the upper half of his class upon graduating. Following his studies at the Ecole Polytechnique, Andre Louis Cholesky joined the French army and became a second lieutenant. While in the army, he studied at the school d'Application de l'Artillerie et du Génie where he was once again in the most intellectual part of his class. He spent some time serving his country in Tunisia where the French were able to stimulate the economy and establish modern communication. After serving a mission in Tunisia, he was transferred to Algeria where he served another mission. The French treated their efforts in Algeria completely differently than their efforts in Tunisia. They developed hospitals, medical services, and new communications, but dominantly took control of the country and its native people. Upon leaving Algeria, Cholesky joined the Geodesic section of the army geographic service. It was said that Cholesky had “ a sharp intelligence and a great facility for mathematical work, having an inquiring spirit and original ideas.” This field of the army put his true strengths of mathematical excellence to the test. His works had profound effects on the allocations of continents on the map. Cholesky produced a computational procedure, which was fairly simple compared to the previous works of Jean Baptiste Joseph...
Words: 1346 - Pages: 6
...2.9 Cholesky Decomposition 89 compared to N 2 for Levinson’s method. These methods are too complicated to include here. Papers by Bunch [6] and de Hoog [7] will give entry to the literature. CITED REFERENCES AND FURTHER READING: Golub, G.H., and Van Loan, C.F. 1989, Matrix Computations, 2nd ed. (Baltimore: Johns Hopkins University Press), Chapter 5 [also treats some other special forms]. Forsythe, G.E., and Moler, C.B. 1967, Computer Solution of Linear Algebraic Systems (Englewood Cliffs, NJ: Prentice-Hall), §19. [1] Westlake, J.R. 1968, A Handbook of Numerical Matrix Inversion and Solution of Linear Equations (New York: Wiley). [2] von Mises, R. 1964, Mathematical Theory of Probability and Statistics (New York: Academic Press), pp. 394ff. [3] Levinson, N., Appendix B of N. Wiener, 1949, Extrapolation, Interpolation and Smoothing of Stationary Time Series (New York: Wiley). [4] Robinson, E.A., and Treitel, S. 1980, Geophysical Signal Analysis (Englewood Cliffs, NJ: PrenticeHall), pp. 163ff. [5] Bunch, J.R. 1985, SIAM Journal on Scientific and Statistical Computing, vol. 6, pp. 349–364. [6] de Hoog, F. 1987, Linear Algebra and Its Applications, vol. 88/89, pp. 123–138. [7] Sample page from NUMERICAL RECIPES IN FORTRAN 77: THE ART OF SCIENTIFIC COMPUTING (ISBN 0-521-43064-X) Copyright (C) 1986-1992 by Cambridge University Press. Programs Copyright (C) 1986-1992 by Numerical Recipes Software. Permission is granted for internet users to make one paper copy for their own personal...
Words: 1638 - Pages: 7
...monozygotic or dizygotic twins (n = 1,437 twin pairs) participating in the Virginia Twin Study of Adolescent Behavioral Development and those twins who later completed the Young Adult Follow-Up (YAFU). The Child and Adolescent Psychiatric Assessment was completed at three waves during childhood/adolescence followed by the Structured Clinical Interview for DSM-IIIR at the YAFU. Two separate, bivariate Cholesky models were fit to childhood diagnoses of SAD and overanxious disorder (OAD), respectively, and their relation with AOPA; a trivariate Cholesky model also examined the collective influence of childhood SAD and OAD on AOPA. Results: In the best-fitting bivariate model, the covariation between SAD and AOPA was accounted for by genetic and unique environmental factors only, with the genetic factor associated with childhood SAD explaining significant variance in AOPA. Environmental risk factors were not significantly shared between SAD and AOPA. By contrast, the genetic factor associated with childhood OAD did not contribute significantly to AOPA. Results of the trivariate Cholesky reaffirmed outcomes of bivariate models. Conclusions: These data...
Words: 5915 - Pages: 24
...ASS4Part1contd 'Storing the firm fixed-effects estimator in the simulated sample HoldbetasimFE(sim) = Application.WorksheetFunction.Index(Application.WorksheetFunction.LinEst(wfroa, wfPE), 1, 1) 'Block bootstrap loop for the FE estimator For j = 1 To b For g = 1 To s r = Int(Rnd * s) + 1 'This picks a random firm identifier For m = 1 To Y 'This loop runs over each year present in a given block i = (g - 1) * Y + m 'This creates an identifier i for observation of block g and period m in the bootstrapped sample Holdroa(i) = wfroa((r - 1) * Y + m) HoldPE(i) = wfPE((r - 1) * Y + m) Next m Next g HoldEst(j) = Application.WorksheetFunction.Index(Application.WorksheetFunction.LinEst(Holdroa, HoldPE), 1, 1) Next j 'Generating the acceptance decision for the FE estimator using block bootstrap in the simulated sample HoldacceptblockFE(sim) = 0 If HoldbetasimFE(sim) > 1.96 * Application.WorksheetFunction.StDev(HoldEst) Then HoldacceptblockFE(sim) = 1 'Classic bootstrap loop for the FE estimator For j = 1 To b For i = 1 To obs r = Int(Rnd() * obs) + 1 Holdroa(i) = roa(r) HoldPE(i) = PE(r) Holdfirm(i) = firm(r) Next i 'Computing Deviations of both Holdroa and HoldPE from their within-firm mean For k = 1 To s 'This step creates temporary variables including...
Words: 11881 - Pages: 48
...Jeffrey Huang 第七讲 基于Monte Carlo模拟法的VaR计算 Datang010307BJ(GB)-PR1 VaR ΔP分布的确定方法 收益率映射估值法 风险因子映射估值法 风险因子映射估值模拟法 （全部估值法） 风险因子映射估值分析法 （局部估值法） 历史模拟法 Monte Carlo模拟法 基于Delta、Gamma等 灵敏度指标的方法 Jeffrey Huang 1 Datang010307BJ(GB)-PR1 Monte Carlo 历史模拟法实质上是利用风险因子的历史数据序列模拟出资产组合的 未来损益分布，进而得到给定置信度下的VaR Monte Carlo模拟法不再借助于风险因子的历史数据，而是通过选择或 建立适当的随机模型模拟风险因子的未来变化路径，并利用估值公式 计算出对应路径的资产组合价值；不断重复上述模拟过程，最大限度 地获得风险因子的未来变化路径及其对应的资产组合价值在未来的可 能取值，以期更加准确地描绘出资产组合的未来损益分布，进而求得 VaR Jeffrey Huang 2 Jeffrey Huang 一、Monte Carlo模拟法 Datang010307BJ(GB)-PR1 Monte Carlo 随机抽样统计分析法的基本特点是对实际数据进行抽样分析 Motne Carlo模拟法是从计算机随机模拟出的而非实际存在的数据进行抽 样、统计，又称随机模拟方法 尽管抽样的数据来源不同，但采用Monte Carlo模拟法与随机抽样统计分 析法的重复抽样的原理相同，所以人们在很多情况下并不对两者加以区 分，而常常把这种一次又一次不断重复的随机抽样方法，统称为Monte Carlo模拟法 Monte Carlo模拟法可以同时用于求解确定性问题和随机性问题 Jeffrey Huang 4 Datang010307BJ(GB)-PR1 确定性问题，指对那些已经存在的事实或现象进行研究的问题 这类问题往往很难直接求解，而借助于Monte Carlo模拟法对已经存在的 事实或现象进行模拟、观测、求解 首先，针对所要研究的确定性问题中已经存在的事实或现象，建立一个 概率模型或随机过程，使模型或过程的参数等于问题的解 然后，通过对模型或过程的反复观察或抽样试验来计算所求参数的统计 特征 最后，输出所求解的近似值，并估计解的精度 Jeffrey Huang 5 Datang010307BJ(GB)-PR1 随机性问题，指你要研究的问题中含有还未发生的随机性成分 这类问题一般须借助于随机数来对一些还没有发生的随机现象进行模拟 ，最后的求解结果也常常是对拟要研究的随机问题的未来变化分布的预 测 首先，针对待求解问题中的随机现象建立相应的随机模型 然后，对随机模型中的随机变量确定抽样方法，再通过计算机的模拟实 验产生所需要的随机数，得到模型中随机变量的有关特征数字 最后，根据随机模型所确定的解和相关随机变量的某些特征数字之间的 函数关系，计算出所求问题的近似解 Jeffrey Huang 6 Datang010307BJ(GB)-PR1 Monte Carlo VaR 用Monte Carlo模拟法计算VaR，几乎都是随机性问题 用Monte Carlo模拟法计算VaR，是否成功取决于一下三个要素：...
Words: 867 - Pages: 4
...2011 FRM EXAM TRAINING SYLLABUS PART I Introduction to Financial Mathematics 1. Introduction to Financial Calculus a. Variables – Discrete and Continuous b. Univariate and Multivariate Functions – Dependent variable and Independent variable c. Physical representation of a function d. Linear and Non-Linear functions e. Limits of a function f. The number e and Natural Logarithm g. Differential Calculus – Differentiation, Interpretation - Slope of a tangent, using derivatives to calculate function values and deltas. Linear functions - 1st order derivative. Non-linear functions – 1st and higher order derivatives, interpretations and usage. Rules of derivatives. h. Functions – Differentiation and Taylor Series Expansion i. Introduction to Partial Derivatives j. Introduction to Integral Calculus 2. Introduction to Bond Mathematics a. Finance and the Time Value of Money b. Concept of Zero Coupon (Discount) Bonds and Coupon Bonds. c. Bond Characteristics d. Bond Types – Fixed Rate, Floating Rate, Inverse Floater Rate, etc. e. Interest Rates – Discrete and Continuous Compounding f. Bond Pricing – using ZCYC or YTMC with discrete compounding or continuous compounding g. Difference between bond coupon rate and bond yield h. Calculating Bond Yield (YTM, CY, MMY, ZCY/Spot, Par Yield, etc.) i. Price Yield Relationship Introduction to Financial Statistics and Econometrics 1. Introduction to Financial Statistics a. Frequency distributions b. Measures of Central Tendency/Location (Mean/Mode/Median)...
Words: 1406 - Pages: 6
...FOREIGN DIRECT INVESTMENT AND GROWTH IN CYPRUS: A CAUSAL RELATIONSHIP N0373193 This research project is submitted in part-fulfilment of the degree of Bachelor of Arts (Honours) Economics, Finance and Banking Nottingham Business School Nottingham Trent University Summer 2014 Chosen Target Peer-Refereed Academic Journal: Journal of Internet Banking and Commerce, December 2011, vol. 16, no. 3 (http://www.arraydev.com/commerce/jibc/) Declaration: I declare that I have personally prepared this article and that it has not, in whole or in part, been submitted as an assessment for any other module, degree or qualification. The work described here is my own, carried out personally unless otherwise stated. All sources of information, including quotations, are acknowledged by means of appropriate referencing. I declare that this project has been conducted in accordance with Nottingham Trent University’s Regulations on Academic Irregularities, including those pertaining to research ethics and Data Protection legislation. Contents: PAGE Abstract 3 Abbreviations 4 List of Tables 5 List of Figures 5 1. Introduction ...
Words: 12309 - Pages: 50
...First year ENGINEER – ENG1 Modules | credits | Hours | Functional Analysis | 3,5 | 48 | Algebra for Engineers | 2,5 | 32 | Probability 1 | 3,5 | 48 | Statistical Decision (courses +Tuto) | 3,5 | 48 | Microprocessor System | 3 | 40 | Signal Transmission | 2,5 | 32 | Data Transmission | 2,5 | 32 | Workshop on Linux | 3 | 40 | Databases | 3 | 40 | TOEIC 1 | 2,5 | 32 | Advanced Maintenance | 2,5 | 32 | Numerical Analysis | 2,5 | 32 | Operations Research | 2,5 | 32 | Servo (Tuto) | 2,5 | 32 | Servo (Courses) | 2,5 | 32 | Algorithm (Data Structure) | 2,5 | 32 | Algorithm oriented object (Tuto, C++ Language) | 3 | 40 | Operating System (Theories and Fundamental) | 2,5 | 32 | WAN (courses + Tuto) | 4,5 | 60 | Method of Analysis 1 | 3 | 40 | Programming Workshop C | 2,5 | 32 | Software Engineering workshop (Access, VB) | 3 | 40 | Management Workshop for Science Engineer | 2 | 24 | Entrepreneurship | 1,5 | 20 | | | | TOTAL | 63,5 | 832 | ------------------------------------------------- OBJECT ORIENTED ALGORITHM ------------------------------------------------- (Hands-On in Language C + +) CHAPTER I: GENERAL ON CLASS I. Notion of class • Generality of P.O.O • Incompatibility C / C + + II. Property of the member functions • Defaults • Member functions in-line • Transmission of object as argument III. Object assignment IV. Object Constructors and Destructors V. Object initialization VI. The copy...
Words: 2262 - Pages: 10
...GNU Scientific Library Reference Manual Edition 1.14, for GSL Version 1.14 4 March 2010 Mark Galassi Los Alamos National Laboratory Jim Davies Department of Computer Science, Georgia Institute of Technology James Theiler Astrophysics and Radiation Measurements Group, Los Alamos National Laboratory Brian Gough Network Theory Limited Gerard Jungman Theoretical Astrophysics Group, Los Alamos National Laboratory Patrick Alken Department of Physics, University of Colorado at Boulder Michael Booth Department of Physics and Astronomy, The Johns Hopkins University Fabrice Rossi University of Paris-Dauphine Copyright c 1996, 1997, 1998, 1999, 2000, 2001, 2002, 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010 The GSL Team. Permission is granted to copy, distribute and/or modify this document under the terms of the GNU Free Documentation License, Version 1.3 or any later version published by the Free Software Foundation; with the Invariant Sections being “GNU General Public License” and “Free Software Needs Free Documentation”, the Front-Cover text being “A GNU Manual”, and with the Back-Cover Text being (a) (see below). A copy of the license is included in the section entitled “GNU Free Documentation License”. (a) The Back-Cover Text is: “You have the freedom to copy and modify this GNU Manual.” Printed copies of this manual can be purchased from Network Theory Ltd at http://www.network-theory.co.uk/gsl/manual/. The money raised from sales of the manual...
Words: 148402 - Pages: 594
...NBER WORKING PAPER SERIES FINANCIAL RISK MEASUREMENT FOR FINANCIAL RISK MANAGEMENT Torben G. Andersen Tim Bollerslev Peter F. Christoffersen Francis X. Diebold Working Paper 18084 http://www.nber.org/papers/w18084 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 May 2012 Forthcoming in Handbook of the Economics of Finance, Volume 2, North Holland, an imprint of Elsevier. For helpful comments we thank Hal Cole and Dongho Song. For research support, Andersen, Bollerslev and Diebold thank the National Science Foundation (U.S.), and Christoffersen thanks the Social Sciences and Humanities Research Council (Canada). We appreciate support from CREATES funded by the Danish National Science Foundation. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peerreviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications. © 2012 by Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen, and Francis X. Diebold. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source. Financial Risk Measurement for Financial Risk Management Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen, and...
Words: 41700 - Pages: 167
...Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC COMPUTING (ISBN 0-521-43108-5) Copyright (C) 1988-1992 by Cambridge University Press. Programs Copyright (C) 1988-1992 by Numerical Recipes Software. Permission is granted for internet users to make one paper copy for their own personal use. Further reproduction, or any copying of machinereadable files (including this one) to any server computer, is strictly prohibited. To order Numerical Recipes books or CDROMs, visit website http://www.nr.com or call 1-800-872-7423 (North America only), or send email to directcustserv@cambridge.org (outside North America). Numerical Recipes in C The Art of Scientific Computing Cambridge New York Port Chester Melbourne Sydney EXXON Research and Engineering Company Harvard-Smithsonian Center for Astrophysics Department of Physics, Cornell University CAMBRIDGE UNIVERSITY PRESS William T. Vetterling Saul A. Teukolsky Brian P. Flannery Second Edition William H. Press Polaroid Corporation Published by the Press Syndicate of the University of Cambridge The Pitt Building, Trumpington Street, Cambridge CB2 1RP 40 West 20th Street, New York, NY 10011-4211, USA 477 Williamstown Road, Port Melbourne, VIC, 3207, Australia Copyright c Cambridge University Press 1988, 1992 except for §13.10 and Appendix B, which are placed into the public domain, and except for all other computer programs and procedures, which are Copyright c Numerical Recipes Software 1987, 1988, 1992...
Words: 24819 - Pages: 100
...PERAN PASAR MODAL SYARIAH DALAM TRANSMISI KEBIJAKAN MONETER INDONESIA (Studi Kasus Jakarta Islamic Index) Sebuah Refleksi Penerapan Ekonomi Islam di Sektor Pasar Modal AHMAD NASHRUDDIN NIM. S.0812.049 SEKOLAH TINGGI EKONOMI ISLAM (STEI) TAZKIA BOGOR 2012 BAB I PENDAHULUAN 1.1. Latar Belakang Pemberitaan mengenai kebijakan moneter bank sentral pada umumnya selalu menarik perhatian masyarakat. Rapat Dewan Gubernur (RDG) Bank Indonesia pada 4 Februari 2011 memutuskan untuk menaikkan BI Rate sebesar 25 basis poin (bps) atau 0,25% menjadi 6,75%, keputusan tersebut diambil sebagai langkah antisipatif untuk mengendalikan ekspektasi inflasi ke depan yang mulai meningkat.1 Kebijakan tersebut berdampak pada kenaikan Indeks Harga Saham Gabungan (IHSG) sebesar 15,34 poin atau 0,44 persen menjadi 3.496,17 basis poin. Sedangkan indeks LQ45 naik 3,636 poin atau 0,59 persen ke posisi 616,200 basis poin pada penutupan hari itu.2 Gambaran di atas menunjukkan besarnya pengaruh kebijakan moneter terhadap berbagai aktivitas ekonomi dan keuangan. Hal demikian tidak mengherankan karena kebijakan moneter memang ditempuh bank sentral untuk mempengaruhi dan mengarahkan berbagai aktivitas ekonomi dan keuangan tersebut kepada tujuan yang ingin dicapai, yang pada umumnya kestabilan harga, dengan mempertimbangkan pertumbuhan ekonomi.3 Pertanyaannya adalah bagaimana proses pengaruh kebijakan moneter ini terjadi. Seperti halnya kebijakan moneter berpengaruh ekspektasi para pelaku ekonomi di pasar...
Words: 10238 - Pages: 41
...China’s Economic Growth 1978-2025: What We Know Today about China’s Economic Growth Tomorrow Views of the future China vary widely. While some believe that the collapse of China is inevitable, others see the emergence of a new economic superpower that increasingly poses a threat to the U.S. This paper examines the economic growth prospects of China over the next two decades. Extrapolating past real GDP growth rates into the future, the size of the Chinese economy surpasses that of the U.S. in purchasing power terms around 2010. Such extrapolations can be supported by standard growth patterns identified in economic development and trade theories (structural change, catching up, and factor price equalization). They can also be supported by an explanation of China’s past GDP growth through growth of various labor variables, with a subsequent derivation of future GDP growth based on reliable information about future labor quantity and quality. China’s demographic changes and economic growth have a number of implications for China and the world. JEL codes: O1 (O10, O11), O4 (O40, O47), O53, J11, O3, I21 Keywords: economic growth, growth accounting, growth forecasts, development theories, human capital formation, education (all: China) Carsten A. Holz Social Science Division Hong Kong University of Science & Technology Clear Water Bay Kowloon Hong Kong E-mail: socholz@ust.hk Tel/Fax: +852 2719-8557 26 December 2006 (Incorporates minor revisions of the 3 July 2005 and 2 November...
Words: 22245 - Pages: 89
...Journal of Economics and Sustainable Development ISSN 2222-1700 (Paper) ISSN 2222-2855 (Online) Vol.4, No.10, 2013 www.iiste.org An Evaluation and Forecast of the Impact of Foreign Direct Investment in Nigeria’s Agriculture Sector in A VAR Environment Ayodeji Adetunji Idowu* Liu Ying Huazhong Agricultural University, No.1, Shizishan Street, Hongshan District, Wuhan, Hubei Province · 430070 · P.R. China * E-mail of the corresponding author: ayodeji.idowu@hotmail.com The research is financed by project (NCET-12-0868) New Century Excellent Talents and Project (2013PY017). Abstract This study evaluated and forecasted the impact of FDI in the agricultural sector from 1980-2007, specifically its impact on agricultural output and labor in a Vector Auto Regression (VAR) environment. Data used in this study were sourced from Central Bank of Nigeria (CBN) statistical bulletin (2009). Results from the analysis revealed that FDI in the period under review had no significant impact on agricultural output. In addition, results of the forecast estimates showed that the current volume of FDI would not significantly affect agricultural output but will have significant positive impact on labor (employment generation). This study recommended for increase in the volume of FDI and advised government and other stakeholders to seek FDI that will improve existing or introduce new technology in the agricultural sector and enhance domestic capacity or domestic investment, even if the opportunity...
Words: 6791 - Pages: 28
...kij1 Master Thesis Supervisor: PETER LØCHTE JØRGENSEN Author: QIAN Zhang (402847) Pricing of principle protected notes embedded with Asian options in Denmark ---- Using a Monte Carlo Method with stochastic volatility (the Heston Model) Aarhus School of Business and Social Science 2011 2 Acknowledgements My gratitude and appreciation goes to my supervisor Peter Lø chte Jø rgensen, for his kind and insightful discussion and guide through my process of writing. I was always impressed by his wisdom, openness and patience whenever I wrote an email or came by to his office with some confusion and difficulty. Especially on access to the information on certain Danish structured products, I have gained great help and support from him. 3 Abstract My interest came after the reading of the thesis proposal on strucured products written by Henrik, as is pointed out and suggested at the last part of this proposal, one of the main limitations of this thesis may be the choice of model. This intrigues my curiosity on pricing Asian options under assumption of stochstic volatility. At first, after the general introduction of strucutred products, the Black Scholes Model and risk neutral pricing has been explained. The following comes the disadvanges of BS model and then moves to the stochastic volatility model, among which the Heston model is highlighted and elaborated. The next part of this thesis is an emricical studying of two structured products embbeded with Asian...
Words: 17332 - Pages: 70
