Relevant bibliographies by topics / Lely method

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Lely method'

Author: Grafiati
Published: 4 June 2021
Last updated: 10 February 2022

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Journal articles on the topic "Lely method"

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Nerding, M., Kurt Semmelroth, Gerhard Pensl, Hiroyuki Nagasawa, and Horst P. Strunk. "Microstructure of Cubic SiC Grown by the Modified Lely-Method." Materials Science Forum 457-460 (June 2004): 147–50. http://dx.doi.org/10.4028/www.scientific.net/msf.457-460.147.

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Semmelroth, Kurt, Michael Krieger, Gerhard Pensl, Hiroyuki Nagasawa, Roland Püsche, Martin Hundhausen, Lothar Ley, M. Nerding, and Horst P. Strunk. "Growth of 3C-SiC Bulk Material by the Modified Lely Method." Materials Science Forum 457-460 (June 2004): 151–56. http://dx.doi.org/10.4028/www.scientific.net/msf.457-460.151.

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Anikin, Mikhail, Michel Pons, Etienne Pernot, and Roland Madar. "Defect Reduction in SiC Crystals Grown by the Modified Lely Method." Materials Science Forum 433-436 (September 2003): 83–86. http://dx.doi.org/10.4028/www.scientific.net/msf.433-436.83.

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Tuominen, M., R. Yakimova, R. C. Glass, T. Tuomi, and E. Janzén. "Crystalline imperfections in 4H SiC grown with a seeded Lely method." Journal of Crystal Growth 144, no. 3-4 (December 1994): 267–76. http://dx.doi.org/10.1016/0022-0248(94)90466-9.

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Hirose, Fusao, Yasuo Kitou, Naoki Oyanagi, Tomohisa Kato, Shin Ichi Nishizawa, and Kazuo Arai. "Characterization of Inclusions in SiC Bulk Crystals Grown by Modified Lely Method." Materials Science Forum 389-393 (April 2002): 75–78. http://dx.doi.org/10.4028/www.scientific.net/msf.389-393.75.

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Schulze, N., D. Barrett, and G. Pensl. "Controlled Growth of 15R-SiC Single Crystals by the Modified Lely Method." physica status solidi (a) 178, no. 2 (April 2000): 645–50. http://dx.doi.org/10.1002/1521-396x(200004)178:2<645::aid-pssa645>3.0.co;2-c.

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Franck, Paul Hubert Frans, Cobie Postma, Marjan Veuger, Pierre Wijermans, and Frans A. Kuypers. "A Family with Hereditary Elliptocytosis: Variable Clinical Severity Caused by Three Mutations in the α-Spectrin Gene,." Blood 118, no. 21 (November 18, 2011): 3167. http://dx.doi.org/10.1182/blood.v118.21.3167.3167.

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Abstract Abstract 3167 Introduction The membrane of erythrocytes is composed of a bilayer of phospholipids and cholesterol. It is strengthened by a membraneskeleton consisting of the proteins spectrin, ankyrin, pallidin, band 3 and band 4.1. Hereditary elliptocytosis (HE) is caused by mutations in the spectrin protein, resulting in a typical elliptocytic shape. These cells have a decreased deformability and a shortened lifespan. Most mutations in HE are located in the head to head self association site of the α- and β dimers of spectrin. HE Patients with heterozygous mutations in α spectrin show little or no hemolysis because α spectrin is synthesized in an excess relative to β spectrin. In the heterozygous situation, plenty of normal wild type α spectrine (Wt α) is available for incorporation in to the membraneskeleton. In Hereditary Pyropoikilocytosis (HPP) with its bizarre shapes, a second mutation in the α spectrin is present, in addition to the HE mutation. It is responsible for a defect in the synthesis of α spectrin, resulting in the production of 50% functional α spectrin. This mutation is called LELY (Low Expression LYon). Thus, when the LELY mutation is located in trans on the allele in respect to the HE allele, the expression of the Wt α spectrin protein is reduced. As a consequence, more abnormal HE spectrin will be incorporated in to the membraneskeleton. This enhanced expression of the HE mutation results in an unstable membraneskeleton of the HPP cell. Method The deformability of erythrocytes is measured using the ektacytometer LORRCA Maxsis of Mechatronics (Hoorn, The Netherlands). DNA was isolated from white blood cells from peripheral blood. The HE mutations are found by a PCR of the α spectrin exons where most mutations exists for HE, followed by DNA sequencing using the ABI prism genetic analyzer from Applied Biosystems. The LELY mutation is proven by a PCR of exon 40 of the α spectrin gene followed by RFLP agarose gel electrophoresis.(59 G/A) mutation and the LELY mutation are present. In addition to these Exon 2 and LELY mutations, a third mutation in Exon 6 (103 T/C) is found in the α spectrin of brother E.α spectrin is synthesized and incorporated into the membraneskeleton. The same mutations hold for brother E., but he has HPP. This is attributed to a third additional mutation in Exon 6 of the α spectrin gene. This Exon 6 mutation is located in trans to the Exon 2 mutation that in turn is in cis with the LELY mutation. Like in brother W. the expression of the Exon 2 mutated spectrin is reduced due to the LELY mutation. However relatively more of the Exon 6 mutated α spectrin comes available for the dimerization with β-spectrin resulting in an unstable membrane skeleton, causing the HPP of brother E. Results The B. family is examined for the presence of HE or HPP (figure 1). Brother E. has clinical symptoms, poikilocytes and a typical ektacytometric deformability matching HPP. Brother W. and his daughter N. have no clinical symptoms but elliptocytes and an ektacytometric deformability typical for HE. In all affected individuals the same Exon 2. Conclusion The combination of Exon 2 and LELY mutations normally leads to HPP. Concerning brother W. and his daughter N. this is not the case. They have a mild form of HE. The explanation for this finding is, that the Exon 2- and LELY mutation are located in a cis rather than in a trans position on the α spectrin gene (figure 1). In that case the mutated Exon 2 is less expressed and more Wt. Disclosures: No relevant conflicts of interest to declare.
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Lebedev, Alexander A., Pavel L. Abramov, A. S. Zubrilov, Elena V. Bogdanova, Sergey P. Lebedev, Natasha V. Seredova, and Alla S. Tregubova. "On Application of Sublimation Epitaxy to Growth of Bulk 3C-SiC Crystals." Materials Science Forum 679-680 (March 2011): 12–15. http://dx.doi.org/10.4028/www.scientific.net/msf.679-680.12.

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It is demonstrated that polytype-homogeneous, thick (>100 m) epitaxial 3C-SiC layers of good quality with diameters of no less than 25 mm can be grown on 6H-SiC substrates by sublimation epitaxy in vacuum. These layers can be used as seeds for growing bulk 3C-SiC crystals by modified Lely method.
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Schulze, Norbert, Donovan L. Barrett, Michael Weidner, and Gerhard Pensl. "Controlled Growth of Bulk 15R-SiC Single Crystals by the Modified Lely Method." Materials Science Forum 338-342 (May 2000): 111–14. http://dx.doi.org/10.4028/www.scientific.net/msf.338-342.111.

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Semmelroth, Kurt, Frank Schmid, D. Karg, Gerhard Pensl, Manfred Maier, Siegmund Greulich-Weber, and Johann Martin Spaeth. "Growth of Phosphorus-Doped 6H-SiC Single Crystals by the Modified Lely Method." Materials Science Forum 433-436 (September 2003): 63–66. http://dx.doi.org/10.4028/www.scientific.net/msf.433-436.63.

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Dissertations / Theses on the topic "Lely method"

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Savchenko, Dariya, Bela Shanina, E. Kalabukhova, Andreas Pöppl, J. Lancok, and Evgeny Mokhov. "The spin relaxation of nitrogen donors in 6H SiC crystals as studied by the electron spin echo method." AIP Publishing, 2016. https://ul.qucosa.de/id/qucosa%3A21289.

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We present the detailed study of the spin kinetics of the nitrogen (N) donor electrons in 6H SiC wafers grown by the Lely method and by the sublimation “sandwich method” (SSM) with a donor concentration of about 10 17cm-3 at T=10–40K. The donor electrons of the N donors substituting quasi-cubic “k1” and “k2” sites (Nk1,k2) in both types of the samples revealed the similar temperature dependence of the spin-lattice relaxation rate (T1 -1), which was described by the direct one-phonon and two-phonon processes induced by the acoustic phonons proportional to T and to T9, respectively. The character of the temperature dependence of the T1 -1 for the donor electrons of N substituting hexagonal (“h”) site (Nh) in both types of 6H SiC samples indicates that the donor electrons relax through the fast-relaxing centers by means of the cross-relaxation process. The observed enhancement of the phase memory relaxation rate (Tm -1) with the temperature increase for the Nh donors in both types of the samples, as well as for the Nk1,k2 donors in Lely grown 6H SiC, was explained by the growth of the free electron concentration with the temperature increase and their exchange scattering at the N donor centers. The observed significant shortening of the phase memory relaxation time Tm for the Nk1,k2 donors in the SSM grown sample with the temperature lowering is caused by hopping motion of the electrons between the occupied and unoccupied states of the N donors at Nh and Nk1,k2 sites. The impact of the N donor pairs, triads, distant donor pairs formed in n-type 6H SiC wafers on the spin relaxation times was discussed.
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Youbi, Francis. "Pricing Options under Levy models using Spectral methods." Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/63365.

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Spectral methods have been actively developed in the last decades. The main advantage of these methods is to yield exponential order of accuracy when the function is smooth. However, for discontinuous functions, their accuracy deteriorates due to the Gibbs phenomenon. When functions are contaminated with the Gibbs phenomenon, proper workarounds can be applied to recover their accuracy. In this dissertation, we review the spectral methods and their convergence remedies such as grid stretching, discontinuity inclusion and domain decomposition methods in pricing options. The basic functions of L´evy processes models are also reviewed. The main purpose of this dissertation is to show that high order of accuracy can be recovered from spectral approximations. We explored and designed numerical methods for solving PDEs and PIDEs that arise in finance. It is known that most standard numerical methods for solving financial PDEs and PIDEs are reduced to low order accurate results due to the discontinuity at strike prices in the initial condition. Firstly the Black Scholes (BS) PDE was solved numerically. The computation of the PDE is done by using barycentric spectral methods. Three different payoffs call options are used as initial and boundaries conditions. It appears that the grid stretching, the discontinuity inclusion and the domain decomposition methods provide efficient ways to remove Gibbs phenomenon. On the other hand, these methods restore the high accuracy of spectral methods in pricing financial options. The spectral domain decomposition method appears to be the most accurate workaround when we solve a BS PDE in this dissertation. Secondly, a financial PIDE was discretized and solved by using a barycen tric spectral domain decomposition method algorithm. The method is applied to two different options pricing problems under a class of infinite activity L´evy models. The use of barycentric spectral domain decomposition methods allows the computation of ODEs obtained from the discretization of the PIDE. The ODEs are solved by exponential time integration scheme. Several numerical tests for the pricing of European and butterfly options are given to illustrate the efficiency and accuracy of this algorithm. We also show that the option Greeks such as the Delta and Gamma sensitivity measures are computed with no spurious oscillation. The methods produce accurate results.
Dissertation (MSc)--University of Pretoria, 2017.
RidgeCape Capital company
Mathematics and Applied Mathematics
MSc
Unrestricted
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Fadina, Tolulope Rhoda. "Fourier methods for pricing early-exercise options under levy dynamics." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/71860.

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Thesis(MSc)--Stellenbosch University, 2012.
ENGLISH ABSTRACT: The pricing of plain vanilla options, including early exercise options, such as Bermudan and American options, forms the basis for the calibration of financial models. As such, it is important to be able to price these options quickly and accurately. Empirical studies suggest that asset dynamics have jump components which can be modelled by exponential Lévy processes. As such models often have characteristic functions available in closed form, it is possible to use Fourier transform methods, and particularly, the Fast Fourier Transform, to price such options efficiently. In this dissertation we investigate and implement four such methods, dubbed the Carr- Madan method, the convolution method, the COS method and the Fourier spacetime stepping method. We begin by pricing European options using these Fourier methods in the Black-Scholes, Variance Gamma and Normal Inverse Gaussian models. Thereafter, we investigate the pricing of Bermudan and American options in the Black-Scholes and Variance Gamma models. Throughout, we compare the four Fourier pricing methods for accuracy and computational efficiency.
AFRIKAANSE OPSOMMING: Die prysbepaling van gewone vanilla opsies, insluitende opsies wat vroeg uitgeoefen kan word, soos Bermuda-en Amerikaanse opsies, is grondliggend vir die kalibrering van finansiële modelle. Dit is daarom belangrik dat die pryse van sulke opsies vinnig en akkuraat bepaal kan word. Empiriese studies toon aan dat batebewegings sprongkomponente besit, wat gemodelleer kan word met behulp van exponensiëele Lévyprosesse. Aangesien hierdie modelle dikwels karakteristieke funksies het wat beskikbaar is in geslote vorm, is dit moontlik om Fourier-transform metodes, en in besonders die vinnige Fourier-transform, te gebruik om opsiepryse doeltreffend te bepaal. In hierdie proefskrif ondersoek en implementeer ons vier sulke metodes, genaamd die Carr-Madan metode, die konvolusiemetode, die COS-metode en die Fourier ruimte-tydstap metode. Ons begin deur die pryse van Europese opsies in die Black-Scholes, Gammavariansie (Engels: Variance gamma) en Normaal Invers Gauss (Engels: Normal Inverse Gaussian)-modelle te bepaal met behulp van die vier Fourier-metodes. Daarna ondersoek ons die prysbepaling van Bermuda-en Amerikaanse opsies in die Black-Scholes en Gammavariansiemodelle. Deurlopend vergelyk ons die vier Fourier-metodes vir akkuraatheid en berekeningsdoeltreffendheid.
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Turkvatan, Aysun. "Completion Of A Levy Market Model And Portfolio Optimization." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/12609904/index.pdf.

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In this study, general geometric Levy market models are considered. Since these models are, in general, incomplete, that is, all contingent claims cannot be replicated by a self-financing portfolio consisting of investments in a risk-free bond and in the stock, it is suggested that the market should be enlarged by artificial assets based on the power-jump processes of the underlying Levy process. Then it is shown that the enlarged market is complete and the explicit hedging portfolios for claims whose payoff function depends on the prices of the stock and the artificial assets at maturity are derived. Furthermore, the portfolio optimization problem is considered in the enlarged market. The problem consists of choosing an optimal portfolio in such a way that the largest expected utility of the terminal wealth is obtained. It is shown that for particular choices of the equivalent martingale measure in the market, the optimal portfolio only consists of bonds and stocks. This corresponds to completing the market with additional assets in such a way that they are superfluous in the sense that the terminal expected utility is not improved by including these assets in the portfolio.
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West, Lydia. "American Monte Carlo option pricing under pure jump levy models." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/79994.

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Thesis (MSc)--Stellenbosch University, 2013.
ENGLISH ABSTRACT: We study Monte Carlo methods for pricing American options where the stock price dynamics follow exponential pure jump L évy models. Only stock price dynamics for a single underlying are considered. The thesis begins with a general introduction to American Monte Carlo methods. We then consider two classes of these methods. The fi rst class involves regression - we briefly consider the regression method of Tsitsiklis and Van Roy [2001] and analyse in detail the least squares Monte Carlo method of Longsta and Schwartz [2001]. The variance reduction techniques of Rasmussen [2005] applicable to the least squares Monte Carlo method, are also considered. The stochastic mesh method of Broadie and Glasserman [2004] falls into the second class we study. Furthermore, we consider the dual method, independently studied by Andersen and Broadie [2004], Rogers [2002] and Haugh and Kogan [March 2004] which generates a high bias estimate from a stopping rule. The rules we consider are estimates of the boundary between the continuation and exercise regions of the option. We analyse in detail how to obtain such an estimate in the least squares Monte Carlo and stochastic mesh methods. These models are implemented using both a pseudo-random number generator, and the preferred choice of a quasi-random number generator with bridge sampling. As a base case, these methods are implemented where the stock price process follows geometric Brownian motion. However the focus of the thesis is to implement the Monte Carlo methods for two pure jump L évy models, namely the variance gamma and the normal inverse Gaussian models. We first provide a broad discussion on some of the properties of L évy processes, followed by a study of the variance gamma model of Madan et al. [1998] and the normal inverse Gaussian model of Barndor -Nielsen [1995]. We also provide an implementation of a variation of the calibration procedure of Cont and Tankov [2004b] for these models. We conclude with an analysis of results obtained from pricing American options using these models.
AFRIKAANSE OPSOMMING: Ons bestudeer Monte Carlo metodes wat Amerikaanse opsies, waar die aandeleprys dinamika die patroon van die eksponensiële suiwer sprong L évy modelle volg, prys. Ons neem slegs aandeleprys dinamika vir 'n enkele aandeel in ag. Die tesis begin met 'n algemene inleiding tot Amerikaanse Monte Carlo metodes. Daarna bestudeer ons twee klasse metodes. Die eerste behels regressie - ons bestudeer die regressiemetode van Tsitsiklis and Van Roy [2001] vlugtig en analiseer die least squares Monte Carlo metode van Longsta and Schwartz [2001] in detail. Ons gee ook aandag aan die variansie reduksie tegnieke van Rasmussen [2005] wat van toepassing is op die least squares Monte Carlo metodes. Die stochastic mesh metode van Broadie and Glasserman [2004] val in die tweede klas wat ons onder oë neem. Ons sal ook aandag gee aan die dual metode, wat 'n hoë bias skatting van 'n stop reël skep, en afsonderlik deur Andersen and Broadie [2004], Rogers [2002] and Haugh and Kogan [March 2004] bestudeer is. Die reëls wat ons bestudeer is skattings van die grense tussen die voortsettings- en oefenareas van die opsie. Ons analiseer in detail hoe om so 'n benadering in die least squares Monte Carlo en stochastic mesh metodes te verkry. Hierdie modelle word geï mplementeer deur beide die pseudo kansgetalgenerator en die verkose beste quasi kansgetalgenerator met brug steekproefneming te gebruik. As 'n basisgeval word hierdie metodes geï mplimenteer wanneer die aandeleprysproses 'n geometriese Browniese beweging volg. Die fokus van die tesis is om die Monte Carlo metodes vir twee suiwer sprong L évy modelle, naamlik die variance gamma en die normal inverse Gaussian modelle, te implimenteer. Eers bespreek ons in breë trekke sommige van die eienskappe van L évy prossesse en vervolgens bestudeer ons die variance gamma model soos in Madan et al. [1998] en die normal inverse Gaussian model soos in Barndor -Nielsen [1995]. Ons gee ook 'n implimentering van 'n variasie van die kalibreringsprosedure deur Cont and Tankov [2004b] vir hierdie modelle. Ons sluit af met die resultate wat verkry is, deur Amerikaanse opsies met behulp van hierdie modelle te prys.
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Mbakwe, Chidinma. "Model risk for barrier options when priced under different lévy dynamics." Thesis, Stellenbosch : Stellenbosch University, 2011. http://hdl.handle.net/10019.1/17810.

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Thesis (MSc)--Stellenbosch University, 2011.
ENGLISH ABSTRACT: Barrier options are options whose payoff depends on whether or not the underlying asset price hits a certain level - the barrier - during the life of the option. Closed-form solutions for the prices of these path-dependent options are available in the Black-Scholes framework. It is well{known, however, that the Black-Scholes model does not price even the so-called vanilla options correctly. There are a number of popular asset price models based on exponential Lévy dynamics which are all able to capture the volatility smile, i.e. reproduce market-observed prices of vanilla options. This thesis investigates the potential model risk associated with the pricing of barrier options in several exponential Lévy models. First, the Variance Gamma, Normal Inverse Gaussian and CGMY models are calibrated to market-observed vanilla option prices. Barrier option prices are then evaluated in these models using Monte Carlo methods. The prices obtained are then compared to each other, as well as the Black-Scholes prices. It is observed that the different exponential Lévy models yield barrier option prices which are quite close to each other, though quite different from the Black-Scholes prices. This suggests that the associated model risk is low.
AFRIKAANSE OPSOMMING: Versperring opsies is opsies met 'n afbetaling wat afhanklik is daarvan of die onderliggende bateprys 'n bepaalde vlak - die versperring - bereik gedurende die lewe van die opsie, of nie. Formules vir die pryse van sulke opsies is beskikbaar binne die Black-Scholes raamwerk. Dit is egter welbekend dat die Black-Scholes model nie in staat is om selfs die sogenaamde vanilla opsies se pryse korrek te bepaal nie. Daar bestaan 'n aantal populêre bateprysmodelle gebaseer op eksponensiële Lévy-dinamika, wat almal in staat is om die mark-waarneembare vanilla opsie pryse te herproduseer. Hierdie tesis ondersoek die potensiële modelrisiko geassosieer met die prysbepaling van versperring opsies in verskeie eksponseniële Lévy-modelle. Eers word die Variance Gamma{, Normal Inverse Gaussian- en CGMY-modelle gekalibreer op mark-waarneembare vanilla opsiepryse. Die pryse van versperring opsies in hierdie modelle word dan bepaal deur middel van Monte Carlo metodes. Hierdie pryse word dan met mekaar vergelyk, asook met die Black-Scholespryse. Dit word waargeneem dat die versperring opsiepryse in die verskillende eksponensiële Lévymodelle redelik na aan mekaar is, maar redelik verskil van die Black-Scholespryse. Dit suggereer dat die geassosieerde modelrisiko laag is.
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Funiok, Ondřej. "Využití statistických metod při oceňování nemovitostí." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359241.

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The thesis deals with the valuation of real estates in the Czech Republic using statistical methods. The work focuses on a complex task based on data from an advertising web portal. The aim of the thesis is to create a prototype of the statistical predication model of the residential properties valuation in Prague and to further evaluate the dissemination of its possibilities. The structure of the work is conceived according to the CRISP-DM methodology. On the pre-processed data are tested the methods regression trees and random forests, which are used to predict the price of real estate.
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Ley, Tobias [Verfasser]. "Organizational Competency Management – A Competence Performance Approach : Methods, Empirical Findings and Practical Implications / Tobias Ley." Aachen : Shaker, 2006. http://d-nb.info/1170529062/34.

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Dyakopu, Neliswa B. "Discrete time methods of pricing Asian options." Thesis, University of Western Cape, 2014. http://hdl.handle.net/11394/3341.

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>Magister Scientiae - MSc
This dissertation studies the computation methods of pricing of Asian options. Asian options are options in which the underlying variable is the average price over a period of time. Because of this, Asian options have a lower volatility and this render them cheaper relative to their European counterparts. Asian options belong to the so-called path-dependent derivatives; they are among the most difficult to price and hedge both analytically and numerically. In practice, it is only discrete Asian options that are traded, however continuous Asian options are used for studying purposes. Several approaches have been proposed in the literature, including Monte Carlo simulations, tree-based methods, Taylor’s expansion, partial differential equations, and analytical ap- proximations among others. When using partial differential equations for pricing of continuous time Asian options, the high dimensionality is problematic. In this dissertation we focus on the discrete time methods. We start off by explaining the binomial tree method, and our last chapter presents the very exciting and relatively simple method of Tsao and Huang, using Taylor approximations. The main papers that are used in this dissertation are articles by Jan Vecer (2001); LCG Rogers (1995); Eric Benhamou (2001); Gianluca Fusai (2007); Kamizono, Kariya and Nakatsuma (2006) and Tsao and Huang (2007). The author has provided computations, including graphs and tables dispersed over the different chapters, to demonstrate the utility of the methods. We observe various parameters of influence such as correlation, volatility, strike, etc. A further contribution by the author of this dissertation is, in particular, in Chapter 5, in the presentation of the work of Tsao et al. Here we have provided slightly more detailed explanations and again some further computational tables.
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Assonken, Tonfack Patrick Armand. "Modeling in Finance and Insurance With Levy-It'o Driven Dynamic Processes under Semi Markov-type Switching Regimes and Time Domains." Scholar Commons, 2017. http://scholarcommons.usf.edu/etd/6675.

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Mathematical and statistical modeling have been at the forefront of many significant advances in many disciplines in both the academic and industry sectors. From behavioral sciences to hard core quantum mechanics in physics, mathematical modeling has made a compelling argument for its usefulness and its necessity in advancing the current state of knowledge in the 21rst century. In Finance and Insurance in particular, stochastic modeling has proven to be an effective approach in accomplishing a vast array of tasks: risk management, leveraging of investments, prediction, hedging, pricing, insurance, and so on. However, the magnitude of the damage incurred in recent market crisis of 1929 (the great depression), 1937 (recession triggered by lingering fears emanating from the great depression), 1990 (one year recession following a decade of steady expansion) and 2007 (the great recession triggered by the sub-prime mortgage crisis) has suggested that there are certain aspects of financial markets not accounted for in existing modeling. Explanations have abounded as to why the market underwent such deep crisis and how to account for regime change risk. One such explanation brought forth was the existence of regimes in the financial markets. The basic idea of market regimes underscored the principle that the market was intrinsically subjected to many different states and can switch from one state to another under unknown and uncertain internal and external perturbations. Implementation of such a theory has been done in the simplifying case of Markov regimes. The mathematical simplicity of the Markovian regime model allows for semi-closed or closed form solutions in most financial applications while it also allows for economically interpretable parameters. However, there is a hefty price to be paid for such practical conveniences as many assumptions made on the market behavior are quite unreasonable and restrictive. One assumes for instance that each market regime has a constant propensity of switching to any other state irrespective of the age of the current state. One also assumes that there are no intermediate states as regime changes occur in a discrete manner from one of the finite states to another. There is therefore no telling how meaningful or reliable interpretation of parameters in Markov regime models are. In this thesis, we introduced a sound theoretical and analytic framework for Levy driven linear stochastic models under a semi Markov market regime switching process and derived It\'o formula for a general linear semi Markov switching model generated by a class of Levy It'o processes (1). It'o formula results in two important byproducts, namely semi closed form formulas for the characteristic function of log prices and a linear combination of duration times (2). Unlike Markov markets, the introduction of semi Markov markets allows a time varying propensity of regime change through the conditional intensity matrix. This is more in line with the notion that the market's chances of recovery (respectively, of crisis) are affected by the recession's age (respectively, recovery's age). Such a change is consistent with the notion that for instance, the longer the market is mired into a recession, the more improbable a fast recovery as the the market is more likely to either worsens or undergo a slow recovery. Another interesting consequence of the time dependence of the conditional intensity matrix is the interpretation of semi Markov regimes as a pseudo-infinite market regimes models. Although semi Markov regime assume a finite number of states, we note that while in any give regime, the market does not stay the same but goes through an infinite number of changes through its propensity of switching to other regimes. Each of those separate intermediate states endows the market with a structure of pseudo-infinite regimes which is an answer to the long standing problem of modeling market regime with infinitely many regimes. We developed a version of Girsanov theorem specific to semi Markov regime switching stochastic models, and this is a crucial contribution in relating the risk neutral parameters to the historical parameters (3). Given that Levy driven markets and regime switching markets are incomplete, there are more than one risk neutral measures that one can use for pricing derivative contracts. Although much work has been done about optimal choice of the pricing measure, two of them jump out of the current literature: the minimal martingale measure and the minimum entropy martingale measure. We first presented a general version of Girsanov theorem explicitly accounting for semi Markov regime. Then we presented Siu and Yang pricing kernel. In addition, we developed the conditional and unconditional minimum entropy martingale measure which minimized the dissimilarity between the historical and risk neutral probability measures through a version of Kulbach Leibler distance (4). Estimation of a European option price in a semi Markov market has been attempted before in the restricted case of the Black Scholes model. The problems encountered then were twofold: First, the author employed a Markov chain Monte Carlo methods which relied much on the tractability of the likelihood function of the normal random sequences. This tractability is unavailable for most Levy processes, hence the necessity of alternative pricing methods is essential. Second, the accuracy of the parameter estimates required tens of thousands of simulations as it is often the case with Metropolis Hasting algorithms with considerable CPU time demand. Both above outlined issues are resolved by the development of a semi-closed form expression of the characteristic function of log asset prices, and it opened the door to a Fourier transform method which is derived on the heels of Carr and Madan algorithm and the Fourier time stepping algorithm (5). A round of simulations and calibrations is performed to better capture the performance of the semi Markov model as opposed to Markov regime models. We establish through simulations that semi Markov parameters and the backward recurrence time have a substantial effect on option prices ( 6). Differences between Markov and Semi Markov market calibrations are quantified and the CPU times are reported. More importantly, interpretation of risk neutral semi Markov parameters offer more insight into the dynamic of market regimes than Markov market regime models ( 7). This has been systematically exhibited in this work as calibration results obtained from a set of European vanilla call options led to estimates of the shape and scale parameters of the Weibull distribution considered, offering a deeper view of the current market state as they determine the in-regime dynamic crucial to determining where the market is headed. After introducing semi Markov models through linear Levy driven models, we consider semi Markov markets with nonlinear multidimensional coupled asset price processes (8). We establish that the tractability of linear semi Markov market models carries over to multidimensional nonlinear asset price models. Estimating equations and pricing formula are derived for historical parameters and risk neutral parameters respectively (9). The particular case of basket of commodities is explored and we provide calibration formula of the model parameters to observed historical commodity prices through the LLGMM method. We also study the case of Heston model in a semi Markov switching market where only one parameter is subjected to semi Markov regime changes. Heston model is one the most popular model in option pricing as it reproduces many more stylized facts than Black Scholes model while retaining tractability. However, in addition to having a faster deceasing smiles than observed, one of the most damning shortcomings of most diffusion models such as Heston model, is their inability to accurately reproduce short term options prices. An avenue for solving these issues consists in generalizing Heston to account for semi Markov market regimes. Such a solution is implemented and a semi analytic formula for options is obtained.
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Books on the topic "Lely method"

1

White, Eugene Nelson. California banking in the nineteenth century: The art and method of the Bank of A. Levy. Cambridge, MA: National Bureau of Economic Research, 1999.

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1947-, Kubrusly Carlos S., and SpringerLink (Online service), eds. The Courant–Friedrichs–Lewy (CFL) Condition: 80 Years After Its Discovery. Boston: Birkhäuser Boston, 2013.

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D, Watkins D., and Clark Gerardo Hernandez, eds. El secreto de la ley de la atraccion: Una guia para vivir la vida de tus suenos. Doral, FL: Aguilar, 2008.

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Schoutens, Wim. Lévy processes in finance: Pricing financial derivatives. Chichester, West Sussex: J. Wiley, 2003.

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Taber, Douglass. Organic Synthesis. Oxford University Press, 2011. http://dx.doi.org/10.1093/oso/9780199764549.001.0001.

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Organic synthesis is a vibrant and rapidly evolving field; we can now cyclize amines directly onto alkenes. Like the first two books in this series, Organic Synthesis: State of the Art 2003-2005 and Organic Synthesis: State of the Art 2005-2007, this reference leads readers quickly to the most important recent developments. Two years of Taber's popular weekly online column, "Organic Chemistry Highlights", as featured on the organic-chemistry.org website, are consolidated here, with cumulative indices of all three volumes in this series. Important topics that are covered range from powerful new methods for C-C bond construction to asymmetric organocatalysis and direct C-H functionalization. This go-to reference focuses on the most important recent developments in organic synthesis, and includes a succinct analysis of the significance and applicability of each new synthetic method. It details and analyzes more than twenty complex total syntheses, including the Sammakia synthesis of the Macrolide RK-397, the Ley synthesis of Rapamycin, and the Kobayashi synthesis of (-)-Norzoanthamine.
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The APEX method in image sharpening and the use of low exponent Levy stable laws. Gaithersburg, MD: U.S. Dept. of Commerce, Technology Administration, National Institute of Standards and Technology, 2001.

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Chan, Hou Hee. Chi-Lel Qigong: Body and Mind Method - Based on the Teachings of Dr. Pand Ming. Benefactor Press, 2002.

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Attems, Johannes, and Kurt A. Jellinger. Neuropathology. Oxford University Press, 2013. http://dx.doi.org/10.1093/med/9780199644957.003.0006.

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This chapter describes the main neuropathological features of the most common age associated neurodegenerative diseases including Alzheimer's disease, Parkinson's disease and dementia with Lewy bodies as well as other less frequent ones such as multiple system atrophy, Pick's disease, corticobasal degeneration, progressive supranuclear palsy, argyrophilic grain disease, neurofibrillary tangle dominant dementia, frontotemporal lobar degeneration with TDP-43 pathology and Huntington's disease. Likewise cerebral amyloid angiopathy, hippocampal sclerosis, vascular dementia and prion diseases are described. A main aim of this chapter is to assist the reader in interpreting neuropathological reports, hence criteria for the neuropathological classifications of the major diseases are provided. One section covers general considerations on neurodegeneration and basic pathophysiological mechanisms of tau, amyloid-β, α-synuclein, TDP-43 and prions are briefly described in the sections on the respective diseases. Finally, one section is dedicated to cerebral multimorbidity and we give a view on currently emerging neuropathological methods.
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National Institute of Standards and Technology (U.S.), ed. THE APEX METHOD IN IMAGE SHARPENING AND THE USE OF LOW EXPONENT LEVY STABLE LAWS... NISTIR 6749... U.S. DPEARTMENT OF COMMERCE. [S.l: s.n., 2001.

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Rydlewski, Grzegorz. Rządzenie w epoce informacji, cyfryzacji i sztucznej inteligencji. Dom Wydawniczy i Handlowy ELIPSA, 2021. http://dx.doi.org/10.33896/978-83-8017-369-9.

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U podstaw tej publikacji leży przekonanie, że wśród uwarunkowań decydowania politycznego i rządzenia w ostatnich latach, które muszą być uwzględnione przy każdej próbie ustalania kierunków, metod i sposobów dalszego prowadzenia działań w obu tych dziedzinach aktywności, zasadnicze znaczenie mają postępujący wzrost władzy komunikacji oraz ekspansja nowych technologii informacyjnych i rozwiązań w zakresie cywilizacji cyfrowej. Procesy te są dotychczas ujmowane najczęściej w kategoriach nowych mechanizmów i narzędzi optymalizowania działania w sferze funkcjonowania państw, instytucji władzy publicznej oraz podmiotów artykulacji i agregacji interesów politycznych. Wielu widzi w nich swego rodzaju nowe otwarcie w dziejach cywilizacji, źródło nadziei na postęp. Równocześnie zewsząd rozlegają się głosy wskazujące, że procesy te stanowią poważne zagrożenie – i jako takie mogą być dla ludzi źródłem lęku. Nie brakuje więc opinii nacechowanych wartościująco – zarówno ostrzeżeń, jak i wypowiedzi utrzymanych w optymistycznej tonacji – brakuje natomiast szerszej refleksji teoretycznej i spojrzenia strategicznego. Autor podejmuje próbę nakreślenia obrazu czekających nas zmian w decydowaniu, rządzeniu, i władzy w przestrzeni publicznej. Celem autora nie było szczegółowe analizowanie technicznego wymiaru zmian, które wiążą się z ekspansją cywilizacji cyfrowej i sztucznej inteligencji. Zastanawia się natomiast przede wszystkim nad prawdopodobnymi korelacjami między tymi zmianami a rewizją mechanizmów i rozwiązań modelowych występujących w świecie polityki, decydowania politycznego i rządzenia.
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Book chapters on the topic "Lely method"

1

Lewy, Hans. "Über die Methode der Differenzengleiehungen zur Lösung von Variations- und Randwertproblemen." In Hans Lewy Selecta, 15–32. Boston, MA: Birkhäuser Boston, 2002. http://dx.doi.org/10.1007/978-1-4612-2080-0_3.

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Churchman, Nancy. "The Capital Levy Proposal: Implications for Ricardian Method." In David Ricardo on Public Debt, 71–90. London: Palgrave Macmillan UK, 2001. http://dx.doi.org/10.1057/9780230509016_4.

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Rhebergen, Sander, and Bernardo Cockburn. "Space-Time Hybridizable Discontinuous Galerkin Method for the Advection–Diffusion Equation on Moving and Deforming Meshes." In The Courant–Friedrichs–Lewy (CFL) Condition, 45–63. Boston: Birkhäuser Boston, 2013. http://dx.doi.org/10.1007/978-0-8176-8394-8_4.

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Behera, Susanta, and Poonam Kumari. "Free Vibration Analysis of Levy-Type Smart Hybrid Plates Using Three-Dimensional Extended Kantorovich Method." In Lecture Notes in Mechanical Engineering, 467–77. Singapore: Springer Singapore, 2019. http://dx.doi.org/10.1007/978-981-13-8767-8_39.

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Kodama, Naoki, and Yasuhiro Kawase. "Computerized method for classification between dementia with Lewy bodies and Alzheimer’s disease by use of texture analysis on brain MRI." In IFMBE Proceedings, 319–21. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-03879-2_90.

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"3. Methoden." In Erwin Levy, 21–30. Göttingen: V&R unipress, 2018. http://dx.doi.org/10.14220/9783737008631.21.

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Baglio, Francesca, Maria Giulia, and Elisabetta Fari. "Neuroimaging Findings in Dementia with Lewy Body: A Review." In Neuroimaging - Methods. InTech, 2012. http://dx.doi.org/10.5772/24221.

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"Casimir Lewy and the Lvov-Warsaw School." In Formal and Informal Methods in Philosophy, 150–60. Brill | Rodopi, 2020. http://dx.doi.org/10.1163/9789004420502_009.

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Blanc, Paul David. "Body Count." In Fake Silk. Yale University Press, 2016. http://dx.doi.org/10.12987/yale/9780300204667.003.0004.

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This chapter considers the growing body of evidence confirming the health hazards of carbon disulfide in the viscose rayon industry. In her report Industrial Poisons Used in the Rubber Industry, Alice Hamilton, a leading U.S. expert on the toxicity of carbon disulfide, provides a technical primer on the rubber manufacturing process, including the carbon disulfide–based cold curing method for vulcanization. Hamilton's report also details the toxic materials used in the rubber industry, with particular emphasis on the toxic effects of carbon disulfide. In a June 1940 meeting of the American Medical Association, Friedrich Lewy presented an overview of nervous system damage from carbon disulfide, based on experimental animal research along with the limited human pathological data that were available. Lewy covered carbon disulfide's past uses in rubber vulcanizing but pushed the viscose rayon industry to the forefront.
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Taber, Douglass. "The Ley Synthesis of Rapamycin." In Organic Synthesis. Oxford University Press, 2011. http://dx.doi.org/10.1093/oso/9780199764549.003.0090.

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Rapamycin 3 is used clinically as an immunosuppressive agent. The synthesis of 3 ( Angew. Chem. Int. Ed. 2007, 46, 591) by Steven V. Ley of the University of Cambridge was based on the assembly and subsequent coupling of the iododiene 1 and the stannyl alkene 2. The lactone of 1 was prepared by Fe-mediated cyclocarbonylation of the alkenyl epoxide 5, following the protocol developed in the Ley group. The cyclohexane of 2 was constructed by SnCl4 -mediated cyclization of the allyl stannane 9, again employing a procedure developed in the Ley group. Hydroboration delivered the aldehyde 11, which was crotylated with 12, following the H. C. Brown method. The alcohol so produced (not illustrated) was used to direct the diastereoselectivity of epoxidation, then removed, to give 13. Coupling with 14 then led to 2. Combination of 1 with 2 led to 15, which was condensed with catechol to give the macrocycle 16. Exposure of 16 to base effected Dieckmann cyclization, to deliver the ringcontracted macrolactone 17, which was carried on to (-)-rapamycin 3.
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Conference papers on the topic "Lely method"

1

Saitoh, Ikuo, and Makoto Naruse. "Efficiency of Implicit Symplectic Finite-Difference Time-Domain Method for Near-Field Optics." In ASME 2012 11th Biennial Conference on Engineering Systems Design and Analysis. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/esda2012-82727.

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We proposed a new method, implicit symplectic finite difference time domain (FDTD) method) which inherits the good properties from the conventional FDTD method, simplecticity and the conservation of energy. The proposed method is free from the Courant-Friedrics-Lewy condition at the same time. In this paper, we show our method is more efficient than the conventional FDTD method using a typical problem, a polarization control in optical near and far fields of the designing the shape of a metal nanostructure.
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Chen, Zisheng, Liming Feng, and Xiong Lin. "Inverse transform method for simulating levy processes and discrete Asian options pricing." In 2011 Winter Simulation Conference - (WSC 2011). IEEE, 2011. http://dx.doi.org/10.1109/wsc.2011.6147772.

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Shergin, Vadim. "Estimating the Hurst Exponent of Fractional Levy Motion by the Fractional Moments Method." In 2019 IEEE International Scientific-Practical Conference Problems of Infocommunications, Science and Technology (PIC S&T). IEEE, 2019. http://dx.doi.org/10.1109/picst47496.2019.9061298.

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Lee, Jinkyo, and Lawrence A. Bergman. "Free and Forced Vibration of Stepped Levy Plates." In ASME 1993 Design Technical Conferences. American Society of Mechanical Engineers, 1993. http://dx.doi.org/10.1115/detc1993-0239.

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Abstract The study of the transverse vibration of thin rectangular plates has been mainly confined to plates of uniform thickness. There are few publications available on the vibration of plates with nonuniform thickness. These plates have application in various fields such as civil engineering and aerospace structures and are often found in high frequency acoustic transducers. Furthermore, it is sometimes possible to achieve minimum weight design of plates by having suitable variations in thickness. For the special case of a plate with two opposite edges simply supported and thickness discontinuities perpendicular to the simply supported edges, an analytical solution is possible using a dynamic flexibility method. Several examples are discussed.
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Zhu, Fei, and Weizhong Dai. "Numerical Simulation of Nanopulse Penetration of Biological Matters Using the ADI-FDTD Method." In ASME 2012 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/imece2012-86574.

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Study of the nanopulse bioeffects is important to ensure the appropriate application with nanopulse in biomedical and biotechnological settings. In this article, we develop an alternating-direction implicit (ADI) finite-difference time-domain (FDTD) scheme coupled with the Cole-Cole expression for dielectric coefficients of biological tissues to simulate the electromagnetic fields inside the biological tissues when exposed to nanopulses. The scheme is then tested by numerical examples with two different biological tissues. Numerical results show that the proposed ADI-FDTD scheme breaks through the Courant, Friedrichs, and Lewy (CFL) stability condition and provides a stable solution with a larger time step, where the conventional FDTD scheme fails. Results also indicate that the computational time can be reduced when using a larger time step.
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Velivelli, Aditya C., and Kenneth M. Bryden. "An Improved Lattice Boltzmann Method for Steady Fluid Flows." In ASME 2004 International Mechanical Engineering Congress and Exposition. ASMEDC, 2004. http://dx.doi.org/10.1115/imece2004-61900.

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The use of the lattice Boltzmann method in computational fluid dynamics has been steadily increasing. The highly local nature of lattice Boltzmann computations have allowed for easy cache optimization and parallelization. This bestows the lattice Boltzmann method with considerable superiority in computational performance over traditional finite difference methods for solving unsteady flow problems. When solving steady flow problems, the explicit nature of the lattice Boltzmann discretization limits the time step size. The time step size is limited by the Courant-Friedrichs-Lewy (CFL) condition and local gradients in the solution, the latter limitation being more extreme. This paper describes a novel explicit discretization for the lattice Boltzmann method that can perform simulations with larger time step sizes. The new algorithm is applid to the steady Burger’s equation, uux = μ(uxx + uyy), which is a nonlinear partial differential equation containing both convection and diffusion terms. A comparison between the original lattice Boltzmann method and the new algorithm is performed with regard to time for computation and accuracy.
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Ibraheem, Sarafa O., and Michael A. Adewumi. "Application of Higher-Order TVD Resolution for Investigation of Transients Problems in Natural Gas Pipelines." In 1996 1st International Pipeline Conference. American Society of Mechanical Engineers, 1996. http://dx.doi.org/10.1115/ipc1996-1928.

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A higher-order numerical procedure is applied to simulate typical transient phenomena in natural gas transportation. Reliable modeling and prediction of transients features in transmission pipelines are desirable for optimal control of gas deliverability, design and implementation of active controls, and modeling of operational behavior of network peripheral equipment (e.g., chokes, valves, compressors, etc.). As an alternative to the Method of Characteristics (MOC) that is widely used presently, a higher-order Total Variation Diminishing (TVD) method is used to model some transient problems. This, class of methods has the capability to capture fine-scale phenomena and provides a better resolution of frontal discontinuities. In this study, the TVD method is utilized in conjunction with upwind methods. Also, in order to ensure a stable time-stepping scheme over a wide range of Courant-Friedrich-Lewy (CFL) number, a special Runge-Kutta method is employed as the base solution algorithm to integrate the highly non-linear, hyperbolic equations which govern the transportation of natural gas in pipelines. The overall procedure is stable, robust and accurate when applied to solve practical problems with simulated pressure waves.
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Bucher, Christian, Alberto Di Matteo, Mario Di Paola, and Antonina Pirrotta. "PATH INTEGRAL METHOD FOR FIRST-PASSAGE PROBABILITY DETERMINATION OF NONLINEAR SYSTEMS UNDER LEVY WHITE NOISE." In 1st International Conference on Uncertainty Quantification in Computational Sciences and Engineering. Athens: Institute of Structural Analysis and Antiseismic Research School of Civil Engineering National Technical University of Athens (NTUA) Greece, 2015. http://dx.doi.org/10.7712/120215.4277.730.

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Ortigueira, Manuel Duarte, Duarte Vale´rio, and Jose´ Sa´ da Costa. "Identifying a Transfer Function From a Frequency Response." In ASME 2007 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. ASMEDC, 2007. http://dx.doi.org/10.1115/detc2007-35256.

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In this paper, the classic Levy identification method is reviewed and reformulated using a complex representation. This new formulation is able to solve the well known bias of the classic method at low frequencies. The formulation is generic, addressing both integer order and fractional order transfer functions. A new algorithm based on a stacked matrix and its pseudo-inverse is proposed to accommodate the data over a wide range of frequencies. Several simulation results are presented, together with a real system identification. This system is the Archimedes Wave Swing, a prototype of a device to convert the energy of sea waves into electricity.
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Pagnini, Gianni, and YangQuan Chen. "Mellin Convolution for Signal Filtering and Its Application to the Gaussianization of Le´vy Noise." In ASME 2011 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. ASMEDC, 2011. http://dx.doi.org/10.1115/detc2011-47392.

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Noises are usually assumed to be Gaussian so that many existing signal processing techniques can be applied with no worry. However, in many real world natural or man-made systems, noises are usually heavy-tailed. It is increasingly desirable to address the problem of finding an opportune filter function for a given input noise in order to generate a desired output noise. By filtering theory, the probability density function of the output noise can be expressed by the integral of the product of the density of the input noise and the filter function. Adopting Mellin transformation rules, the Mellin transform of the unknown filter is determined by the Mellin transforms of the known density of the input noise and the desired density for the output noise. Finally, after the inversion, the Mellin-Barnes integral representation of the filter function is derived. The method is applied to compute the filter function to convert a Levy noise into a Gaussian noise.
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Reports on the topic "Lely method"

1

Carasso, Alfred S. The apex method in image sharpening and the use of low exponent levy stable laws. Gaithersburg, MD: National Institute of Standards and Technology, 2001. http://dx.doi.org/10.6028/nist.ir.6749.

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White, Eugene. California Banking in the Nineteenth Century: The Art and Method of the Bank of A. Levy. Cambridge, MA: National Bureau of Economic Research, June 1999. http://dx.doi.org/10.3386/w7187.

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Carasso, Alfred S. The Use of ‘Slow Motion’ Levy Stable Fractional Diffusion Smoothing In Alternative Methods of Latent Fingerprint Enhancement. National Institute of Standards and Technology, April 2013. http://dx.doi.org/10.6028/nist.ir.7932.

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