Academic literature on the topic 'Risk-neutral probability density function'
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Journal articles on the topic "Risk-neutral probability density function"
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Rompolis, Leonidas S., and Elias Tzavalis. "Recovering Risk Neutral Densities from Option Prices: A New Approach." Journal of Financial and Quantitative Analysis 43, no. 4 (December 2008): 1037–53. http://dx.doi.org/10.1017/s0022109000014435.
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AbstractIn this paper we present a new method of approximating the risk neutral density (RND) from option prices based on the C-type Gram-Charlier series expansion (GCSE) of a probability density function. The exponential form of this type of GCSE guarantees that it will always give positive values of the risk neutral probabilities, and it can allow for stronger deviations from normality, which are two drawbacks of the A-type GCSE used in practice. To evaluate the performance of the suggested expansion of the RND, the paper presents simulation and empirical evidence.
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Malhotra, Gifty, R. Srivastava, and H. C. Taneja. "Calibration of the risk-neutral density function by maximization of a two-parameter entropy." Physica A: Statistical Mechanics and its Applications 513 (January 2019): 45–54. http://dx.doi.org/10.1016/j.physa.2018.08.148.
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Campioni, Luca, and Paolo Vestrucci. "On system failure probability density function." Reliability Engineering & System Safety 92, no. 10 (October 2007): 1321–27. http://dx.doi.org/10.1016/j.ress.2006.09.002.
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Sinha, Sonalika, and Bandi Kamaiah. "Estimating Option-implied Risk Aversion for Indian Markets." IIM Kozhikode Society & Management Review 6, no. 1 (January 2017): 90–97. http://dx.doi.org/10.1177/2277975216677600.
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What do nearly 1.5 lakh observations of options data say about risk preferences of Indian investors? This paper explores a nonparametric technique to compute probability density functions (PDFs) directly from NIFTY 50 option prices in India, based on the utility preferences of the representative investor. Use of probability density functions to estimate investor expectations of the distribution of future levels of the underlying assets has gained tremendous popularity over the last decade. Studying option prices provides information about the market participants’ probability assessment of the future outcome of the underlying asset. We compare the forecast ability of the risk-neutral PDF and risk-adjusted density functions to arrive at a unique index of relative risk aversion for Indian markets. Results indicate that risk-adjusted PDFs are reasonably better forecasts of investor expectations of future levels of the underlying assets. We find that Indian investors are not neutral to risk, contrary to the theoretical assumption of risk-neutrality among investors. The computed time-series of relative risk aversion overcomes the limitations of the VIX (implied volatility index) to yield a more reliable index, particularly useful for the Indian markets. Validity of the computed index is established by comparing with existing measures of risk and the relationships are found to be consistent with market expectations.
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Cheng, Kevin C. "A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices." IMF Working Papers 10, no. 181 (2010): 1. http://dx.doi.org/10.5089/9781455202157.001.
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Monteiro, Ana Margarida, Reha H. Tütüncü, and Luís N. Vicente. "Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity." European Journal of Operational Research 187, no. 2 (June 2008): 525–42. http://dx.doi.org/10.1016/j.ejor.2007.02.041.
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Arnerić, Josip, and Maria Čuljak. "Predictive accuracy of option pricing models considering high-frequency data." Ekonomski vjesnik 34, no. 1 (2021): 131–44. http://dx.doi.org/10.51680/ev.34.1.10.
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Purpose: Recently, considerable attention has been given to forecasting, not only the mean and the variance, but also the entire probability density function (pdf) of the underlying asset. These forecasts can be obtained as implied moments of future distribution originating from European call and put options. However, the predictive accuracy of option pricing models is not so well established. With this in mind, this research aims to identify the model that predicts the entire pdf most accurately when compared to the ex-post “true” density given by high-frequency data at expiration date. Methodology: The methodological part includes two steps. In the first step, several probability density functions are estimated using different option pricing models, considering the values of major market indices with different maturities. These implied probability density functions are risk neutral. In the second step, the implied pdfs are compared against the “true” density obtained from the high-frequency data to examine which one gives the best fit out-of-sample. Results: The results support the idea that a “true” density function, although unknown, can be estimated by employing the kernel estimator within high-frequency data and adjusted for risk preferences. Conclusion: The main conclusion is that the Shimko model outperforms the Mixture Log-Normal model as well as the Edgeworth expansion model in terms of out-of-sample forecasting accuracy. This study contributes to the existing body of research by: i) establishing the benchmark of the “true” density function using high-frequency data, ii) determining the predictive accuracy of the option pricing models and iii) providing applicative results both for market participants and public authorities.
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WENZEL, A., and M. BALDAUF. "On the one-point probability density function for the wind velocity in the neutral atmospheric surface layer." Journal of Fluid Mechanics 366 (July 10, 1998): 351–65. http://dx.doi.org/10.1017/s0022112098001487.
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The differential equation describing the one-point joint probability density function for the wind velocity given by Lundgren (1967) in neutral turbulent flows is extended by a term which also takes into consideration the pressure–mean strain interaction. For the new equation a solution is given describing the one-point probability density function for the wind velocity fluctuations if the profile of the mean wind velocity is logarithmic. The properties of this solution are discussed to identify the differences to a Gaussian having the same first and second moments.
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Zhou, Chengning, Ning-Cong Xiao, Ming J. Zuo, and Xiaoxu Huang. "AK-PDF: An active learning method combining kriging and probability density function for efficient reliability analysis." Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability 234, no. 3 (November 29, 2019): 536–49. http://dx.doi.org/10.1177/1748006x19888421.
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An important challenge in structural reliability is to reduce the number of calls to evaluate the performance function, especially the complex implicit performance functions. To reduce the computational burden and improve the reliability analysis efficiency, a new active learning method is developed to consider the probability density function of samples based on the learning function U in an active learning reliability method that combines the kriging and Monte Carlo simulation. In the proposed method, the proposed active learning function contains two parts: part A is based on function U, and part B is based on the probability density function and function U. By changing the weights of parts A and B, the sample points close the limit-state function, and those in the region with a higher probability density function have more weight to be selected compared to the others. Subsequently, the kriging model can be constructed more effectively. The proposed method avoids a large number of time-consuming function evaluations, and the recommended weight is also reported. The performance of the proposed method is evaluated through three numerical examples and one engineering example. The results demonstrate the efficiency and accuracy of the proposed method.
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Cortesi, A. B., B. L. Smith, B. Sigg, and S. Banerjee. "Numerical investigation of the scalar probability density function distribution in neutral and stably stratified mixing layers." Physics of Fluids 13, no. 4 (April 2001): 927–50. http://dx.doi.org/10.1063/1.1352622.
Full textDissertations / Theses on the topic "Risk-neutral probability density function"
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Rahikainen, I. (Ilkka). "Direct methodology for estimating the risk neutral probability density function." Master's thesis, University of Oulu, 2014. http://urn.fi/URN:NBN:fi:oulu-201404241289.
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The target of the study is to find out if the direct methodology could provide same information about the parameters of the risk neutral probability density function (RND) than the reference RND methodologies. The direct methodology is based on for defining the parameters of the RND from underlying asset by using futures contracts and only few at-the-money (ATM) and/or close at-the-money (ATM) options on asset. Of course for enabling the analysis of the feasibility of the direct methodology the reference RNDs must be estimated from the option data. Finally the results of estimating the parameters by the direct methodology are compared to the results of estimating the parameters by the selected reference methodologies for understanding if the direct methodology can be used for understanding the key parameters of the RND.
The study is based on S&P 500 index option data from year 2008 for estimating the reference RNDs and for defining the reference moments from the reference RNDs. The S&P 500 futures contract data is necessary for finding the expectation value estimation for the direct methodology. Only few ATM and/or close ATM options from the S&P 500 index option data are necessary for getting the standard deviation estimation for the direct methodology.
Both parametric and non-parametric methods were implemented for defining reference RNDs. The reference RND estimation results are presented so that the reference RND estimation methodologies can be compared to each other. The moments of the reference RNDs were calculated from the RND estimation results so that the moments of the direct methodology can be compared to the moments of the reference methodologies.
The futures contracts are used in the direct methodology for getting the expectation value estimation of the RND. Only few ATM and/or close ATM options are used in the direct methodology for getting the standard deviation estimation of the RND. The implied volatility is calculated from option prices using ATM and/or close ATM options only. Based on implied volatility the standard deviation can be calculated directly using time scaling equations. Skewness and kurtosis can be calculated from the estimated expectation value and the estimated standard deviation by using the assumption of the lognormal distribution.
Based on the results the direct methodology is acceptable for getting the expectation value estimation using the futures contract value directly instead of the expectation value, which is calculated from the RND of full option data, if and only if the time to maturity is relative short. The standard deviation estimation can be calculated from few ATM and/or at close ATM options instead of calculating the RND from full option data only if the time to maturity is relative short. Skewness and kurtosis were calculated from the expectation value estimation and the standard deviation estimation by using the assumption of the lognormal distribution. Skewness and kurtosis could not be estimated by using the assumption of the lognormal distribution because the lognormal distribution is not correct generic assumption for the RND distributions.
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Curto, Filipa Madeira Lopes Esteves. "Estimação da aversão ao risco através do cálculo da função densidade de probabilidade subjetiva para o caso das opções do petróleo." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20856.
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Mestrado em Mathematical FinanceO petróleo simboliza uma das mais importantes commodities trocadas mundialmente, apresentando-se como a fonte primária de produção de energia. Este pode ser trocado pelo seu spot price ou pelo recurso a contratos de derivados financeiros, sendo a troca de opções de petróleo um exemplo do segundo tipo de investimento. O estudo desta variável revela-se pertinente para compreender o seu comportamento e estimar previsões possíveis. Tal estudo pode ser conduzido através de uma função densidade de probabilidade. A análise da função densidade de probabilidade risk-neutral urge, pelas suas falhas em abraçar todas as hipóteses representativas do investidor comum, o estudo de uma função densidade de probabilidade suavizada/subjetiva. Considerando apenas a função densidade de probabilidade risk-neutral para uma análise ao preço das opções de petróleo, assumir-se-ia que todos os investidores são indiferentes ao risco, independentemente da circunstância, ou seja, colocariam as suas decisões de investimento unicamente nos eventuais retornos associados a esse investimento. No entanto, tal não vai de encontro com a realidade, o que apela ao cálculo e análise dos valores de aversão ao risco dos investidores respeitantes à variável em estudo. Através do presente ensaio, consegue-se concluir que a aversão ao risco é bastante elevada em períodos de grande volatilidade e incerteza, e consideravelmente menor em períodos de maior estabilidade económica e financeira.
Oil is considered to be one of the most important commodities traded worldwide and is deemed to be the primary source in energy production. It can be traded for its spot price or by using a financial derivatives contract, being oil option trading an example of the second type of investment mentioned. The study of this variable is relevant in order to comprehend its behaviour and estimate possible forecasts. Said study can be conducted through a probability density function. The analysis of a risk-neutral probability density function requires, because of its flaws in embracing all the hypothesis that portray the common investor, the study of a smoothed/subjective probability density function. Considering only a risk-neutral probability density function for the analysis of oil option prices, it would be assuming all investors are indifferent to risk, whichever the circumstance, which means they would place their investment decisions solely on the possible outcomes associated with that investment. However, that does not meet reality, which calls for the computation and analysis of the investors risk aversion's values with respect to the variable at play. From the present essay, it is possible to conclude that risk aversion is rather high in periods of great volatility and uncertainty, and considerably smaller in periods of greater economic and financial stability.
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Wall, Martinez Hiram Alejandro. "Evaluation probabiliste du risque lié à l'exposition à des aflatoxines et des fumonisines dû à la consommation de tortillas de maïs à la ville de Veracruz." Thesis, Brest, 2016. http://www.theses.fr/2016BRES0068/document.
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Un des dangers chimiques les plus importants relevés par l'OMS concerne la contamination des céréales par les mycotoxines et notamment les aflatoxines et les fumonisines. La réglementation recommande des contaminations maximales d'aflatoxines dans les céréales inférieures à 20 mg/kg ; cependant on relève couramment des taux supérieurs à 200 mg/kg dans le maïs au Mexique. Bien qu'il ait été évalué que le processus de nixtamalisation détruit plus de 90 % des fumonisines et de 80 à 95 % des aflatoxines, le taux résiduel peut encore être élevé : certaines publications rapportent des concentrations jusqu'à 100 mg/kg dans les tortillas, ce qui représente un risque avéré vue la grande consommation de tortillas au Mexique (325g/j). Le JECFA (2001) a établi une dose maximale acceptable de 2μg/kg pc/j pour la fumonisine et recommande de réduire l'exposition aux aflatoxines au plus faible niveau possible en considérant que le seuil de 1 ng/kg pc/j ne devrait pas être atteint. Au cours de cette thèse 3 enquêtes aléatoires et représentatives ont été menées dans 40 tortillerias de la ville de Veracruz. La consommation de maïs de la population a été évaluée à partir d'un questionnaire de consommation. L'analyse des mycotoxines a été réalisée par HPLC-FD par utilisation de colonnes à immunoaffinité selon la réglementation européenne (CIRAD-Montpellier). L'analyse des données obtenues a été effectuée selon une méthode probabiliste permettant de construire une fonction de distribution de probabilités à partir de la méthode de Monte Carlo (UBO). La représentativité de la population a été validée à partir d'évaluation de quotas de population après échantillonnage aléatoire initial. La contamination des tortillas a été mesurée à 0.54-1.96 mg/kg pour les aflatoxines et à 65-136 mg/kg pour les fumonisines. La consommation moyenne de tortillas a été mesurée à 148 g de maïs par jour. L'exposition de la population aux aflatoxines apparaît alors comprise entre 0,94 et 3,14 ng/kg pc/j et celle aux fumonisines entre 146 et 315 ng/kg pc/j. Les échantillons les plus contaminés proviennent des tortillerias réalisant elles-mêmes leur procédure de nixtamalisation. L'analyse des résultats montre que 60 % de la population de Veracruz serait à risque selon les préconisations du JECFA. L'exposition aux fumonisines atteint 5 % de la dose maximale acceptable, du fait d'une relativement faible contamination du maïs à cette mycotoxine. Les résultats montrent donc un risque sanitaire pour la population de la ville de Veracruz. Une extension de ce travail à la totalité de l’Etat de Veracruz, incluant la population rurale, devrait être menée du fait du risque probablement accru de cette dernière catégorie de population en lien avec sa plus forte consommation de maïsOne of the chemical hazards that WHO has reported more frequently is cereals contamination with mycotoxins, mainly aflatoxins and fumonisins. NOM-188-SSA1-2002 establishes that aflatoxin concentration in grain should not exceed 20 mg kg-1 ; however, there are reported concentrations > 200 mg kg-1 in maize. Although it has been documented that nixtamalizacion removes more than 90% of fumonisins and between 80 and 95% of aflatoxins, the residual amount could be important, finding reports concentrations higher than 100 mg kg-1 of aflatoxin in tortilla, representing a risk due to the high consumption of tortillas in Mexico (325 g d-1). The JECFA (2001) establishes a maximum intake of 2 mg kg-1 pc d-1 for fumonisin and aflatoxin recommends reducing “as low as reasonably achievable” levels. 3 random and representative sampling in Veracruz city, each in 40 tortillerias, were made. Corn intake and weight of the population were estimated using a consumption questionnaire. Mycotoxins analysis were performed by HPLC-FD using immunoaffinity columns according to European standard UNE-EN ISO 14123 : 2008 for aflatoxins and UNE-EN 13585 : 2002 for fumonisin in the CIRAD (Montpellier, France). Statistical analysis were performed under a probabilistic approach in collaboration with the University of Bretagne Occidentale (Brest, France), building probability density function (PDF) and using the Monte Carlo method. PDF parameters of the weight of the population was 74.15kg for men (which coincides with reported by CANAIVE) and 65.83kg for women ; the pollution aflatoxin tortilla was 0.54 – 1.96mg kg-1 and fumonisin from 65.46 – 136.00mg kg-1 ; the tortilla consumption was 148.3g of corn per person per day ; the daily intake of aflatoxins was 0.94 – 3.14ng kg-1 bw d-1 and fumonisin of 146.24 – 314.99ng kg-1 bw d-1. Samples with higher aflatoxin contamination came from tortillerias that make the nixtamalization in situ. In assessing exposure it was found that up to 60% of the population could be consuming more than the recommended by JECFA (2001) for aflatoxin dose (1ng kg-1 bw d-1). Exposure to fumonisins intake was < 5% due to low contamination by these mycotoxins. The results suggest that the population of the city of Veracruz could be in food risk by eating contaminated corn tortillas AFT. It is advisable to extend this study in rural communities, where risk factors could increase
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Rosa, Francisco Eduardo Lopes Sousa. "Risk neutral probability density for currency options." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/20601.
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Mestrado em FinançasEste trabalho tem o objectivo de facilitar a previsão para investidores em mercados financeiros. Embora possa ser usado em acções e futuros de petróleo, o principal objectivo é o mercado cambial, mais especificamente, opções de moeda, extraindo com risco neutro a densidade de probabilidade da função através de uma abordagem paramétrica e não paramétrica. Consequentemente, tal foi aplicado a um caso muito recente, em 2019, entre o dólar Norte americano e a libra inglesa, tornando assim mais atractiva a leitura do comportamento da densidade, especialmente com a saída do Reino unido da União Europeia.
This work has the purpose of easing the forecast for financial market investors. Although it can be used on equities and oil futures, the main aim is the Foreign exchange. More so, it is specialized on currency options, extracting then the closer Risk Neutral Probability Density Function through a parametric approach and a nonparametric approach. Subsequently, this was applied to a very recent case, in 2019, between the United States of America dollar and United Kingdom pound, making it more attractive to assess the behaviour of the density, specially linked to the withdrawal of United Kingdom from the European Union.
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Forrester, David Edward Economics Australian School of Business UNSW. "Market probability density functions and investor risk aversion for the australia-us dollar exchange rate." Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/27199.
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This thesis models the Australian-US Dollar (AUD/USD) exchange rate with particular attention being paid to investor risk aversion. Accounting for investor risk aversion in AUD/USD exchange rate modelling is novel, so too is the method used to measure risk aversion in this thesis. Investor risk aversion is measured using a technique developed in Bliss and Panigirtzoglou (2004), which makes use of Probability Density Functions (PDFs) extracted from option markets. More conventional approaches use forward-market pricing or Uncovered Interest Parity. Several methods of estimating PDFs from option and spot markets are examined, with the estimations from currency spot-markets representing an original application of an arbitrage technique developed in Stutzer (1996) to the AUD/USD exchange rate. The option and spot-market PDFs are compared using their first four moments and if estimated judiciously, the spot-market PDFs are found to have similar shapes to the option-market PDFs. So in the absence of an AUD/USD exchange rate options market, spot-market PDFs can act as a reasonable substitute for option-market PDFs for the purpose of examining market sentiment. The Relative Risk Aversion (RRA) attached to the AUD/USD, the US Dollar-Japanese Yen, the US Dollar-Swiss Franc and the US-Canadian Dollar exchange rates is measured using the Bliss and Panigirtzoglou (2004) technique. Amongst these exchange rates, only the AUD/USD exchange rate demonstrates a significant level of investor RRA and only over a weekly forecast horizon. The Bliss and Panigirtzoglou (2004) technique is also used to approximate a time-varying risk premium for the AUD/USD exchange rate. This risk premium is added to the cointegrating vectors of fixed-price and asset monetary models of the AUD/USD exchange rate. An index of Australia???s export commodity prices is also added. The out-of-sample forecasting ability of these cointegrating vectors is tested relative to a random walk using an error-correction framework. While adding the time-varying risk premium improves this forecasting ability, adding export commodity prices does so by more. Further, including both the time-varying risk premium and export commodity prices in the cointegrating vectors reduces their forecasting ability. So the time-varying risk premium is important for AUD/USD exchange rate modelling, but not as important as export commodity prices.
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Oliveira, Luís Miguel Godinho de. "A extracção e a importância da informação contida nos preços dos derivados financeiros. Expectativas de mercado e prémios de opções: uma aplicação a opções sobre futuros de taxa de juro." Master's thesis, Instituto Superior de Economia e Gestão, 2002. http://hdl.handle.net/10400.5/635.
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Mestrado em Economia Monetária e FinanceiraIt's usually accepted that financial asset prices reflect market participants' expectations concerning the evolution of certain important economic and financial variables. In comparison with the majority of the other financial assets, in particular against the futures or forwards, option prices have an additional interest resulting from their ability to provide information, not only in terms of the expected future value of an asset, but also about the higher moments of the probability distribution perceived by economic agents. Regarding the relationship among option prices and their strike prices it's possible to estimate the risk-neutral probability density function (RNPDF), which allow us to characterise almost completely, market expectations regarding the price of the underlying asset at the maturity date of the option. In the Black-Sholes framework, RNPDF estimation would be a trivial issue only consisting in implied volatility estimation. However, the systematic differences observed between theoretical model prices and those observed in the market, raise some suspicions about the reality adjustment of some of its premises, namely the lognormality for the underlying price distribution and the constant volatility assumed across the time and different strike prices. In this work, a set of alternative approaches for the RNPDF estimation is presented, along with its advantages and drawbacks, as a way to characterise the current state of the art. Using EURIBOR 3-month interest rate future option prices, and considering a mixture of lognormal distributions, we estimate RNPDF for some days around ECB Council meetings, in order to analyse market views about possible changes in ECB reference interest rates in these meetings. We also study the impact in market expectations, regarding the evolution of shorter-term interest rates, from the events that occurred in the USA on the 11th of September 2001, and the "time-to-maturity" effect on RNPDF volatility.
É geralmente aceite que os preços dos activos financeiros reflectem as expectativas dos participantes nos mercados. Face à maioria dos activos financeiros, em particular aos futuros ou "forwards", os preços das opções possuem um interesse adicional oriundo da capacidade que têm de fornecer informação relativa, não só, ao valor médio esperado pelo mercado para o preço futuro do activo subjacente, mas também, sobre os momentos de ordem mais elevada da distribuição de probabilidade percepcionada pelos agentes económicos. Com base na relação entre os preços das opções e respectivos preços de exercício é possível estimar a função de densidade de probabilidade neutra ao risco (FDPNR) que permite caracterizar, de uma forma quase completa, o perfil de expectativas dos agentes relativamente ao preço do activo subjacente na maturidade opção. No universo do modelo Black-Sholes, a estimação da FDPNR seria um assunto trivial consistindo apenas na estimação da volatilidade implícita. Porém, as diferenças sistemáticas observadas, entre os preços gerados pelo modelo e os observados no mercado, levantam a suspeita que algumas das suas hipóteses são pouco realísticas, nomeadamente a lognormalidade para a distribuição do preço do activo subjacente e a volatilidade constante assumida para os diferentes preços de exercício e ao longo do tempo. Neste trabalho é apresentado um conjunto de abordagens alternativas para a estimação de FDPNR, suas vantagens e desvantagens relativas, procurando-se caracterizar o actual estado da arte. Recorrendo aos preços de opções sobre futuros da taxa de juro EURIBOR a três meses e com base numa mistura de distribuições lognormais, estimamos as FDPNR para algumas datas em torno das reuniões do Conselho do BCE, utilizando-as na análise das expectativas do mercado relativamente a possíveis alterações das taxas de juro directoras nessas reuniões. Analisamos ainda o impacto nas expectativas dos agentes, relativamente à evolução das taxas de juro, dos acontecimentos ocorridos nos EUA, em 11 de Setembro de 2001 e o efeito "time-to-maturity" na volatilidade das FDPNR.
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Hansen, Silva Erwin Guillermo. "Nonlinear conditional risk-neutral density estimation in discrete time with applications to option pricing, risk preference measurement and portfolio choice." Thesis, University of Manchester, 2013. https://www.research.manchester.ac.uk/portal/en/theses/nonlinear-conditional-riskneutral-density-estimation-in-discrete-time-with-applications-to-option-pricing-risk-preference-measurement-and-portfolio-choice(0369c1bb-0873-42c8-a0cf-d18356b3643e).html.
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In this thesis, we study the estimation of the nonlinear conditionalrisk-neutral density function (RND) in discrete time. Specifically, weevaluate the extent to which the estimated nonlinear conditional RNDvaluable insights to answer relevant economic questions regarding to optionpricing, the measurement of invertors' preferences and portfolio choice.We make use of large dataset of options contracts written on the S&P 500index from 1996 to 2011, to estimate the parameters of the conditional RNDfunctions by minimizing the squared option pricing errors delivered by thenonlinear models studied in the thesis.In the first essay, we show that a semi-nonparametric option pricing modelwith GARCH variance outperforms several benchmarks models in-sample andout-of-sample. In the second essay, we show that a simple two-state regimeswitching model in volatility is not able to fully account for the pricingkernel and the risk aversion puzzle; however, it provides a reasonablecharacterisation of the time-series properties of the estimated riskaversion.In the third essay, we evaluate linear stochastic discount factormodels using an out-of-sample financial metric. We find that multifactormodels outperform the CAPM when this metric is used, and that modelsproducing the best fit in-sample are also those exhibiting the bestperformance out-of-sample.
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Maldaner, Ivan Carlos. "Probabilidade de ocorrência de deficiência hídrica na cultura do girassol na região central do Rio Grande do Sul." Universidade Federal de Santa Maria, 2012. http://repositorio.ufsm.br/handle/1/3207.
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Coordenação de Aperfeiçoamento de Pessoal de Nível SuperiorIn Brazil over recent years the interest increased on the sunflower cultivation. Sunflower yield can be decreased by water deficit. To solve this problem, is necessary to calculate the probable water deficit in critical sunflower sub-phases and in the whole development cycle at different sowing dates. The objective of this study was to determine the probable duration values of sub-phases and the developmental cycle and get sowing dates with lower risk of water deficit and the occurrence probability in different levels of water deficit during the developmental sub-phases of sunflower crop sown at different sowing dates, considering the water storage capacity in different soils in the Central Region of Rio Grande do Sul. Also determine the probability of occurrence of water stress for different years classified as the El Niño Southern Oscilation (ENSO). Crop development was simulated using the thermal time method, for 14 sowing dates, from August until mid-February, for every year during the period from 1968 to 2011, covered by database of Meteorological Station of Santa Maria, RS. For calculating the water deficit, the 13 soils were grouped into six groups with similar water storage capacity (CAD) and infiltration capacity. The water deficit was calculated from daily water balance. Data analysis consisted of analysis of variance, means comparison tests and analysis of probability distribution for the variables: duration of crop developmental sub-phases and the whole developmental cycle of the sunflower, water deficit in the sub-phases and whole developmental cycle. The length of the sub-phases and the development cycle of the sunflower crop are variable depending on sowing date. The length of the developmental sub-phases that occur from sowing until flower bud visible of sunflower are higher in the earliest sowing date (01/08). After anthesis, the longer length of developmental sub-phases occurs in the latest sowing (16/02). The lognormal, normal and gamma distributions represent better the development of sunflower to estimate the length of the phases and the whole cycle. At sowing date of 16/12, for 90% probability level, sunflower has the shortest length of the developmental cycle ending the cycle in a maximum of 96 days. The longer length of the sunflower cycle occurs at sowing date of 01/08, which reaches 132 days, at 90% level of occurrence probability. The sowing dates from early October until early November are the ones with the highest water deficit, considering the whole development cycle of the sunflower regardless of soil, a different choice on sowing date reduces the risk and the level of water deficit in sunflower cycle. In the soils in which the water storage capacity is lower, water deficit is greater in sub-phases as in the full cycle of the sunflower compared to other soils and is little variable among the sowing dates. Sunflower Sowings in the first half of August and since December are the ones with the lowest risk occurrence of water deficit during the more critical sub-phase of sunflower crop, at least there are favorable conditions for sowing and initial establishment of plants.
No Brasil nos últimos anos elevou-se o interesse pelo cultivo do girassol. Quando submetida à deficiência hídrica a cultura do girassol apresenta redução na produtividade. Para contornar esse problema, é necessário calcular a provável deficiência hídrica nos subperíodos críticos e no ciclo de desenvolvimento do girassol para cada uma das diferentes datas de semeadura. O objetivo desse trabalho foi determinar os valores prováveis de duração dos subperíodos e do ciclo de desenvolvimento e obter as datas de semeadura com menor risco de deficiência hídrica e a probabilidade de ocorrência de diferentes níveis de déficit hídrico durante os subperíodos de desenvolvimento do girassol semeado em datas de semeadura distintas, considerando a capacidade de armazenamento de água nos diferentes solos da região central do RS. Também determinar a probabilidade de ocorrência de deficiência hídrica para os diferentes anos classificados conforme o fenômeno El Niño Oscilação Sul (ENOS). O desenvolvimento da cultura foi simulado por meio do método da soma térmica, para 14 datas de semeadura, do início do mês de agosto até meados de fevereiro, para cada ano do banco de dados da Estação Meteorológica Principal de Santa Maria, RS, utilizando o período de 1968 a 2011. Para calcular a deficiência hídrica, os 13 solos da região foram agrupados em seis grupos que apresentam características semelhantes de capacidade de armazenamento de água disponível (CAD) e capacidade de infiltração. As deficiências hídricas foram determinadas a partir do balanço hídrico diário. A análise dos dados consistiu na análise da variância, teste de comparação de médias e análise de distribuição de probabilidade para as variáveis: duração dos subperíodos e do ciclo de desenvolvimento do girassol, deficiência hídrica nos subperíodos e no ciclo do girassol. A duração dos subperíodos e do ciclo de desenvolvimento do girassol é variável conforme a data de semeadura. A duração dos subperíodos que ocorrem da semeadura até o botão floral visível do girassol são maiores na primeira data de semeadura (01/08). Após a antese a maior duração dos subperíodos ocorre na semeadura mais tardia (16/02). As distribuições lognormal, normal e gama representam melhor o desenvolvimento do girassol para estimar a duração dos subperíodos e do ciclo. Na data de semeadura de 16/12, ao nível de 90% de probabilidade de ocorrência, o girassol tem a menor duração do ciclo, completando o ciclo em no máximo de 96 dias. A maior duração do ciclo do girassol ocorre na data de semeadura de 01/08, na qual alcança 132 dias, em nível de 90% de probabilidade de ocorrência. As datas de semeadura de início de outubro até o início de novembro são as que apresentam a maior deficiência hídrica, considerando todo o ciclo de desenvolvimento do girassol independente do solo; a escolha de outra data de semeadura reduz o risco e o nível de deficiência hídrica durante o ciclo do girassol. Nos solos em que a capacidade de armazenamento de água disponível é menor, a deficiência hídrica é maior tanto nos subperíodos quanto no ciclo do girassol em relação aos demais solos e é pouco variável ao longo das datas de semeadura. Semeaduras de girassol na primeira quinzena de agosto e a partir do mês de dezembro são as que apresentam os menores riscos de ocorrer deficiência hídrica no transcorrer do subperíodo mais crítico do girassol, desde que se tenham condições favoráveis para a semeadura e o estabelecimento inicial das plantas.
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Bortoluzzi, Mateus Possebon. "Probabilidade de ocorrência de excesso hídrico para a cultura da soja em planossolos da região central do Rio Grande do Sul." Universidade Federal de Santa Maria, 2014. http://repositorio.ufsm.br/handle/1/5129.
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Coordenação de Aperfeiçoamento de Pessoal de Nível SuperiorThe expansion of soybean production area in Planosols is rather limited by the high frequency of occurrence of excess water, leading to reduced availability of oxygen in the root zone, reduced photosynthesis, as well as productivity, depending on its duration and developmental phase of plants it occurs. The aim of this study was to identify sowing dates with smaller risk of excess water to the subperiods and crop cycle, taking into account three relative maturity groups of soybean cultivars and water storage capacity of Planosols in the central region of Rio Grande do Sul State. The simulation of soybean development and the calculation of crop daily sequential water balance were performed at different sowing dates in each year from August 1968 to July 2012. Thus, the change of soil water storage and the water surpluses in the different soybean developmental phases were quantified for each sowing date. Data from days with excess water were submitted to analysis of variance and Scott-Knott test at 5% probability, and the sources of variation were sowing dates, soils and their interaction. These data also were submitted to the probability distribution analysis, using the chi-square and Kolmogorov-Smirnov tests to verify the probability density function that best fit the data distribution. The greatest number of fittings for the development cycle and subperiods were obtained by the Gamma and Weibull functions, respectively. October's sowings have the highest risk of excess water during the crop cycle. Subperiod sowing-emergence shows up as the most limiting to define the sowing date. Due to the lowest risk of excess water in this sub-period, the sowing carried out after November 1st are the most favorable for soybean sowing in Planosols.
A expansão da área de produção de soja em Planossolos é bastante limitada pela elevada frequência de ocorrência de excesso hídrico, ocasionando redução na disponibilidade de oxigênio na zona radicular, redução da fotossíntese, assim como da produtividade, dependendo da duração do excesso e do subperíodo de desenvolvimento das plantas em que ocorre. O objetivo deste trabalho foi identificar datas de semeadura com menor risco de ocorrência de excesso hídrico para os subperíodos e ciclo da cultura, considerando três grupos de maturidade relativa de cultivares de soja e a capacidade de armazenamento de água dos Planossolos da região central do Rio Grande do Sul. A simulação do desenvolvimento da soja e o cálculo do balanço hídrico sequencial diário da cultura foram realizados em diferentes datas de semeadura de cada ano do período de agosto de 1968 a julho de 2012. Assim, a variação do armazenamento hídrico no solo e a ocorrência de excedentes hídricos nos diferentes subperíodos de desenvolvimento da soja foram quantificadas para cada data de semeadura. Os dados de dias de excesso hídrico foram submetidos à análise de variância e teste de Scott-Knott, a 5% de probabilidade de erro, sendo que as fontes de variação constaram das datas de semeadura, os solos e a sua interação. Os dados também foram submetidos à análise de distribuição de probabilidades, utilizando-se os testes qui-quadrado e Kolmogorov-Smirnov para verificar a função densidade probabilidade que melhor se ajustou à distribuição dos dados. O maior número de ajustes para o ciclo de desenvolvimento e para os subperíodos foram obtidos para as funções gama e weibull, respectivamente. As semeaduras realizadas no mês de outubro são as de maior risco de ocorrência de excesso hídrico ao longo do ciclo da cultura. O subperíodo semeadura-emergência mostra-se como o mais limitante para a definição da data de semeadura. Devido ao menor risco de ocorrência de excesso hídrico neste subperíodo as semeaduras realizadas após o dia primeiro de novembro são as mais favoráveis para a semeadura da soja em Planossolos.
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Kato, Fernando Hideki. "Análise de carteiras em tempo discreto." Universidade de São Paulo, 2004. http://www.teses.usp.br/teses/disponiveis/12/12139/tde-24022005-005812/.
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Nesta dissertação, o modelo de seleção de carteiras de Markowitz será estendido com uma análise em tempo discreto e hipóteses mais realísticas. Um produto tensorial finito de densidades Erlang será usado para aproximar a densidade de probabilidade multivariada dos retornos discretos uniperiódicos de ativos dependentes. A Erlang é um caso particular da distribuição Gama. Uma mistura finita pode gerar densidades multimodais não-simétricas e o produto tensorial generaliza este conceito para dimensões maiores. Assumindo que a densidade multivariada foi independente e identicamente distribuída (i.i.d.) no passado, a aproximação pode ser calibrada com dados históricos usando o critério da máxima verossimilhança. Este é um problema de otimização em larga escala, mas com uma estrutura especial. Assumindo que esta densidade multivariada será i.i.d. no futuro, então a densidade dos retornos discretos de uma carteira de ativos com pesos não-negativos será uma mistura finita de densidades Erlang. O risco será calculado com a medida Downside Risk, que é convexa para determinados parâmetros, não é baseada em quantis, não causa a subestimação do risco e torna os problemas de otimização uni e multiperiódico convexos. O retorno discreto é uma variável aleatória multiplicativa ao longo do tempo. A distribuição multiperiódica dos retornos discretos de uma seqüência de T carteiras será uma mistura finita de distribuições Meijer G. Após uma mudança na medida de probabilidade para a composta média, é possível calcular o risco e o retorno, que levará à fronteira eficiente multiperiódica, na qual cada ponto representa uma ou mais seqüências ordenadas de T carteiras. As carteiras de cada seqüência devem ser calculadas do futuro para o presente, mantendo o retorno esperado no nível desejado, o qual pode ser função do tempo. Uma estratégia de alocação dinâmica de ativos é refazer os cálculos a cada período, usando as novas informações disponíveis. Se o horizonte de tempo tender a infinito, então a fronteira eficiente, na medida de probabilidade composta média, tenderá a um único ponto, dado pela carteira de Kelly, qualquer que seja a medida de risco. Para selecionar um dentre vários modelos de otimização de carteira, é necessário comparar seus desempenhos relativos. A fronteira eficiente de cada modelo deve ser traçada em seu respectivo gráfico. Como os pesos dos ativos das carteiras sobre estas curvas são conhecidos, é possível traçar todas as curvas em um mesmo gráfico. Para um dado retorno esperado, as carteiras eficientes dos modelos podem ser calculadas, e os retornos realizados e suas diferenças ao longo de um backtest podem ser comparados.In this thesis, Markowitzs portfolio selection model will be extended by means of a discrete time analysis and more realistic hypotheses. A finite tensor product of Erlang densities will be used to approximate the multivariate probability density function of the single-period discrete returns of dependent assets. The Erlang is a particular case of the Gamma distribution. A finite mixture can generate multimodal asymmetric densities and the tensor product generalizes this concept to higher dimensions. Assuming that the multivariate density was independent and identically distributed (i.i.d.) in the past, the approximation can be calibrated with historical data using the maximum likelihood criterion. This is a large-scale optimization problem, but with a special structure. Assuming that this multivariate density will be i.i.d. in the future, then the density of the discrete returns of a portfolio of assets with nonnegative weights will be a finite mixture of Erlang densities. The risk will be calculated with the Downside Risk measure, which is convex for certain parameters, is not based on quantiles, does not cause risk underestimation and makes the single and multiperiod optimization problems convex. The discrete return is a multiplicative random variable along the time. The multiperiod distribution of the discrete returns of a sequence of T portfolios will be a finite mixture of Meijer G distributions. After a change of the distribution to the average compound, it is possible to calculate the risk and the return, which will lead to the multiperiod efficient frontier, where each point represents one or more ordered sequences of T portfolios. The portfolios of each sequence must be calculated from the future to the present, keeping the expected return at the desired level, which can be a function of time. A dynamic asset allocation strategy is to redo the calculations at each period, using new available information. If the time horizon tends to infinite, then the efficient frontier, in the average compound probability measure, will tend to only one point, given by the Kellys portfolio, whatever the risk measure is. To select one among several portfolio optimization models, it is necessary to compare their relative performances. The efficient frontier of each model must be plotted in its respective graph. As the weights of the assets of the portfolios on these curves are known, it is possible to plot all curves in the same graph. For a given expected return, the efficient portfolios of the models can be calculated, and the realized returns and their differences along a backtest can be compared.
Books on the topic "Risk-neutral probability density function"
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Bahra, Bhupinder. Implied risk-neutral probability density functions from option prices: Theory and application. London: Bank of England, 1997.
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Bahra, Bhupinder. Implied risk-neutral probability density functions from option prices: Theory and application. London: Bank of England, 1997.
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Fornari, Fabio. Recovering the probability density function of asset prices using GARCH as diffusion approximations. [Roma]: Banca d'Italia, 2001.
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Bahra, B. Implied risk-neural probability density functions from option prices: Theory and application. Bank of England, 1997.
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N, Singhal Surendra, Chamis C. C, and United States. National Aeronautics and Space Administration., eds. Reliability, risk and cost trade-offs for composite designs. [Washington, DC]: National Aeronautics and Space Administration, 1996.
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Back, Kerry E. Term Structure Models. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0018.
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Bond yields and forward rates are defined. The fundamental PDE is derived. Affine term strucure models are explained, including the Vasicek model and the Cox‐Ingersoll‐Ross square root model. Gaussian affine models, completely affine models, and multifactor CIR models are explained. Quadratic models are described. The various versions of the expectations hypothesis are explained. We can fit a given yield curve by adding a deterministic function of time to an interest rate model or allowing model parameters to be time varying. Heath‐Jarrow‐Morton models are explained, and it is shown that drifts of forward rates under the risk neutral probability are determined by their volatilities.
Book chapters on the topic "Risk-neutral probability density function"
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Tyuleneva, S. G., and S. L. Yunga. "Dispersion and Probability Density Function for Focal Mechanism Tensors." In Earthquake Hazard and Risk, 77–84. Dordrecht: Springer Netherlands, 1996. http://dx.doi.org/10.1007/978-94-009-0243-5_7.
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Bahra, Bhupinder. "Implied risk-neutral probability density functions from option prices." In Forecasting Volatility in the Financial Markets, 201–26. Elsevier, 2007. http://dx.doi.org/10.1016/b978-075066942-9.50011-x.
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Zhu, H. "Stationary probability density function of a vibro-impact Duffing oscillator driven by Gaussian white noise." In Safety, Reliability, Risk and Life-Cycle Performance of Structures and Infrastructures, 5011–15. CRC Press, 2014. http://dx.doi.org/10.1201/b16387-726.
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"- Inversion of Option Prices for Implied Risk-Neutral Probability Density Functions: General Theory and Its Applications to the Natural Gas Market." In Commodities, 186–207. Chapman and Hall/CRC, 2015. http://dx.doi.org/10.1201/b19020-14.
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Falsone, G., and D. Settineri. "A method for the evaluation of the response probability density function of some linear dynamic systems subjected to non Gaussian random load." In Safety, Reliability, Risk and Life-Cycle Performance of Structures and Infrastructures, 987–93. CRC Press, 2014. http://dx.doi.org/10.1201/b16387-146.
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McCullough, M., and A. Kareem. "Simulation of correlated multivariate processes with non-Gaussian marginal and joint probability density functions." In Safety, Reliability, Risk and Life-Cycle Performance of Structures and Infrastructures, 2825–32. CRC Press, 2014. http://dx.doi.org/10.1201/b16387-409.
Full textConference papers on the topic "Risk-neutral probability density function"
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Hai-Yan, Luan, and Jiang Hua. "Vicinal Risk Minimization Based Probability Density Function Estimation Algorithm Using SVM." In 2010 Third International Conference on Information and Computing Science (ICIC). IEEE, 2010. http://dx.doi.org/10.1109/icic.2010.311.
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Alevras, P., D. Yurchenko, and A. Naess. "Energy Response Probability Density Function of a Rotating Parametric Pendulum." In Second International Conference on Vulnerability and Risk Analysis and Management (ICVRAM) and the Sixth International Symposium on Uncertainty, Modeling, and Analysis (ISUMA). Reston, VA: American Society of Civil Engineers, 2014. http://dx.doi.org/10.1061/9780784413609.187.
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Koita, Abdourahmane, Dimitri Daucher, and Michel Fogli. "Vehicle Risk Level Estimation by Using Experimental Trajectories in Bend." In ASME 2011 International Mechanical Engineering Congress and Exposition. ASMEDC, 2011. http://dx.doi.org/10.1115/imece2011-62055.
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This paper tackles the general context of road safety, focussing on the light vehicles safety in bends. It consists to use a reliability analysis in order to estimate the failure probability of vehicle trajectories. Firstly, we build probabilistic models able to describe measured trajectories in a given bend. The models are transforms of scalar normalized second order stochastic processes which are stationary, ergodic and non-Gaussian. The process is characterized by its probability density function and its power spectral density estimated starting from the experimental trajectories. The probability density is approximated by a development on the Hermite polynomials basis. The second part is devoted to apply a reliability strategy intended to associate a risk level to each class of trajectories. Based on the joint use of probabilistic methods for modelling uncertainties, reliability analysis for assessing risk levels and statistics for classifying the trajectories, this approach provides a realistic answer to the tackled problem.
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Oltrogge, Daniel L., and David A. Vallado. "Debris Risk Evolution And Dispersal (DREAD) for post-fragmentation modeling." In 2019 15th Hypervelocity Impact Symposium. American Society of Mechanical Engineers, 2019. http://dx.doi.org/10.1115/hvis2019-054.
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Abstract The Debris Risk Evolution And Dispersal (DREAD) tool facilitates the 3D modeling and risk analysis of the fragmentation cloud after a collision or explosion. This tool uses the NASA Standard Breakup Model and other breakup models “under the hood” that are capable of estimating the Probability Density Function (PDF) of induced relative velocity, mass and area of fragments as a function of object size. DREAD can be further enhanced by incorporation of alternate, more detailed hypervelocity simulations that enforce conservation laws (conservation of mass, angular and linear momentum and kinetic energy). We also discuss our recent incorporation of an improved technique to normalize risk by the expansion volume occupied by debris fragments. DREAD is then used to examine the likely debris fragmentation cloud created by the Fengyun 1C (FY1C) antisatellite (ASAT) intercept test conducted by the Chinese in 2007 and the risk it subsequently posed to other spacecraft and the cloud’s evolution and dispersal.
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Ogutcu, Gokcen, and Serhat Akin. "Risk Assessment of Petroleum Transportation Pipeline in Some Turkish Oil Fields." In 2004 International Pipeline Conference. ASMEDC, 2004. http://dx.doi.org/10.1115/ipc2004-0667.
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This study concentrates on risk factors in oil field pipeline systems and covers identification of failure rate and reasons of failure comparison of the failure data, which are collected from oilfield pipeline systems located in South East Turkey. There are many methods and techniques to reduce or eliminate risk factors in pipeline systems. In this study, quantitative risk assessment method, which depends on statistical calculations, was applied. Monte Carlo Simulation was used to assess the risk in the system. This study focuses on identification of relationship between all parameters. History matching frequency, identification of critical factors, probability of density function have been estimated and calculated. The most significant failures are identified as corrosion, third party damage, mechanical failure, operational failure, weather effect and sabotage.
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Faber, Michael Havbro, Marc A. Maes, and Kazuyoshi Nishijima. "Optimal Design and Portfolio Risk Management for Groups of Structures." In ASME 2004 23rd International Conference on Offshore Mechanics and Arctic Engineering. ASMEDC, 2004. http://dx.doi.org/10.1115/omae2004-51430.
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The present paper addresses the problem of optimal design of portfolios of fixed offshore structures. A new framework for design is developed where the effect of dependency in the performance of structures subject to common extreme load events is taken into account in the design by inclusion of the follow-up consequences resulting from the simultaneous failure of several structures in the portfolio. First the special aspects of optimal design subject to follow-up consequences are addressed from the perspective of structures portfolio risk management. Thereafter the problem of optimal design of groups of structures is defined with special considerations to the assessment of the relation between the design, the probability density function of the life cycle benefits and the number of structures considered (in a group). Using this model basis the optimum design of fixed steel offshore platforms where the capacity of the structures against extreme wave loads can be expressed as function of the Reserve Strength Ratio (RSR) is considered. Thereafter parametric studies are conducted to illustrate the significance of the number of structures considered in a group, the correlation between the extreme loads acting on the different structures and the significance of including the follow-up consequences into the design optimization problem.
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Bai, Xiao-Dong, Yun-Peng Zhao, Guo-Hai Dong, and Chun-Wei Bi. "Investigation on the Probabilistic Distribution of the Stress Range of Net Cage Floater of Fish Cage for Fatigue Life Prediction." In ASME 2018 37th International Conference on Ocean, Offshore and Arctic Engineering. American Society of Mechanical Engineers, 2018. http://dx.doi.org/10.1115/omae2018-78760.
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The failure risk of fish cages has increased in the harsher environmental conditions as fish farms have moved into the open sea in recent years. Fatigue failure is an important limit state for the floating system of the fish cage under the long-term action of waves. This study is presented to investigate the applicable probability density function for estimating fatigue life of the high-density polyethylene (HDPE) floating collars. The stress response of the floating collars system in random wave is firstly analyzed based on the finite element analysis combined with a hydrodynamic model. The stress histories of floating collars under each sea state are counted using the rainflow method as a benchmark for fatigue frequency domain analysis. The distribution of stress range was fitted by various probability density functions including Rayleigh, Weibull, Gamma and generalized extreme value (GEV) distributions. Comparisons of the estimated fatigue life using different distributions with rainflow statistic results were performed. Results indicate fatigue estimation based on the GEV and Gamma distributions by removing the negligible low stress range give much more accurate fatigue damage results of the short-term stress range distribution. While Weibull distribution overestimates the fatigue lifetime of the floating collar based on the short-term distribution of stress ranges.
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Shahidi, Parham, Reza A. Soltan, Steve C. Southward, and Mehdi Ahmadian. "Estimating Changes in Speech Metrics Indicative of Fatigue Levels." In ASME 2010 Rail Transportation Division Fall Technical Conference. ASMEDC, 2010. http://dx.doi.org/10.1115/rtdf2010-42010.
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In this paper, we are presenting a novel approach to estimate fatigue levels of train conductors, by analyzing the speech signal. An independent neural network joined with a Markov Model, will output the probability density, which illustrates the likelihood of the result of the first step to be accurate. Vigilance research has shown that, for most operators engaged in attention-intensive and monotonous tasks, retaining a constant level of alertness is almost impossible. Sleeping disorders, reduced hours of rest and disrupted circadian rhythms amplify this effect and lead to significantly increased fatigue levels. Increased fatigue levels manifest themselves in alterations of speech metrics, as compared to alert states of mind. To make a decision about the level of fatigue, we are proposing an alertness estimation system which uses speech metrics to generate a fatigue quotient indicative of the fatigue level. A speech pre-processor extracts metrics such as speech duration, word production rate and speech intensity from a continuous speech signal and uses a Fuzzy Logic algorithm to generate the fatigue quotient at any moment in time when speech is present. However, the nature of human interaction introduces levels of uncertainty, which make fatigue level recognition difficult. In other words, even with a perfectly trained neural network and Fuzzy Logic algorithm, we cannot make definite conclusions about the level of alertness. The reason being, that there is no guarantee that the estimated level of alertness is robust for a certain amount of time and didn’t come from drinking half a cup of coffee. Moreover, coming up with a perfect model of speech-fatigue (i.e. input-output) for humans, to train the Fuzzy algorithm is almost impossible. For this reason the study of “Risk and Uncertainty” is an integral part of this research. Motivated by the distinction between “risk” (randomness that can be fully captured by probability and statistics) and “uncertainty” (all other types of randomness), we propose a fine taxonomy: fully reducible, partially reducible, and irreducible uncertainty, that can explain some of the key differences between long term alertness and a short term change of state that makes the operator alert. An experimental study is conducted where a hyper articulated speech signal with three different levels of simulated fatigue is analyzed by the algorithm and a probability density function is assigned to the fatigue quotient to take the risk and uncertainty into account and make the overall result more reliable.
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Zhang, Xiaodong, Hezhen Yang, Peter Francis Bernad Adaikalaraj, Ying Min Low, and Chan Ghee Koh. "Structural Reliability Analysis for Offshore Drilling Riser Deployment Operability." In ASME 2017 36th International Conference on Ocean, Offshore and Arctic Engineering. American Society of Mechanical Engineers, 2017. http://dx.doi.org/10.1115/omae2017-61575.
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Drilling riser system provides a short-term connection between subsea oil well and drilling vessel or platform. The analysis of different operability envelopes are required for drilling riser analysis, for example, connected drilling, connected non-drilling and hang-off analysis. The operability envelope analysis could provide operators statistical information for riser operational management. The current practice to calculate the drilling operability envelope is to use deterministic approach. However, deterministic approach could not take the randomness from environmental loadings and structures into consideration. Structural reliability method is an analysis tool to quantify probability of failure of components or systems accounting for uncertainties in environmental conditions and system parameters. It is particularly useful in cases where limited experience exists or a risk-based evaluation of design is required. It is gaining increasing popularity in the offshore and marine industry to predict failure probability. In this paper, structural reliability analysis is adopted to analyze the offshore drilling riser deployment. The uncertainties are mainly from wave and current loadings. The significant wave height HS is modeled by a Weibull probability density function, the zero-crossing wave period TZ conditional on HS is modeled by a lognormal distribution, and the surface current speed is modeled as Weibull distribution. Multiple simulations are performed by software Flexcom [1] and efficient structural reliability methods are adopted to get the failure probabilities. The deployment operability will be calculated based on structural reliability methods and the results will be compared with those calculated based on deterministic approach.
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Dimentberg, Mikhail F., Adriana Hera, and Arvid Naess. "Short-Term Instability in Stochastic Aeroelasticity." In ASME 2010 3rd Joint US-European Fluids Engineering Summer Meeting collocated with 8th International Conference on Nanochannels, Microchannels, and Minichannels. ASMEDC, 2010. http://dx.doi.org/10.1115/fedsm-icnmm2010-30121.
Full textAbstract:
Dynamic systems with lumped parameters are considered which interact with fluid flow with random temporal variations of speed. The variations may lead to “short-term” dynamic instability of a system — which is nominally stable in the classical sense — whereby occasional random excursions beyond neutral stability boundary result in rare short outbreaks in response. As long as it may be impractical to preclude completely such outbreaks for a designed system, subject to highly uncertain dynamic loads, the corresponding system’s response should be analyzed to evaluate its reliability. Linear models of the systems are studied to this end for the case of slow variations in the flow speed using parabolic approximation for the variations during the excursions together with Krylov-Bogoliubov (KB) averaging for the transient response. This results in a solution for probability density function (PDF) of the response in terms of PDF of the flow speed; the results may be of importance for predicting fatigue life. First-passage problem for the random response is also reduced to that for the flow speed. The analysis is used also to derive on-line identification procedure for the system from its observed intermittent response with set of rare outbreaks. Specific examples for analytical and numerical solutions for systems with random temporal variations of flow speed include: 1D and 2D galloping of elastically suspended rigid bodies in cross-flow; classical two-degrees-of-freedom flutter; bundles of heat exchanger tubes in cross-flow with potential for flutter-type instability.