scholarly journals The method of images in the pricing of barrier derivatives in three dimensions

2021 ◽  
Author(s):  
Xianzhang Wen
Keyword(s):  
Wiener Process ◽  
Three Dimensional ◽  
Three Dimensions ◽  
Financial Mathematics ◽  
Method Of Images ◽  
Linear Combinations ◽  
Correlation Matrices ◽  
Joint Distributions ◽  
Barrier Type ◽  
Spherical Triangles

The thesis describes the joint distributions of minima, maxima and endpoint values for a three dimensional Wiener process. In particular, the results provide the point cumulative distributions for the maxima and/or minima of the components of the process. The densities are obtained explicitly for special type of correlations by the method of images; the analysis requires a detailed study of partitions of the sphere by means of spherical triangles. The joint densities obtained can be used to obtain explicit expressions for price of options in financial mathematics. We provide closed-form expressions for the price of several barrier type derivatives with a three dimensional geometric Wiener process as underlying. These solutions are found for special correlation matrices and are given by linear combinations of three dimensional Gaussian cumulative distributions. In order to extend the results to a wider set of correlation matrices the method of random correlations is outlined.

scholarly journals The method of images in the pricing of barrier derivatives in three dimensions

2021 ◽  
Author(s):  
Xianzhang Wen
Keyword(s):  
Wiener Process ◽  
Three Dimensional ◽  
Three Dimensions ◽  
Financial Mathematics ◽  
Method Of Images ◽  
Linear Combinations ◽  
Correlation Matrices ◽  
Joint Distributions ◽  
Barrier Type ◽  
Spherical Triangles

The thesis describes the joint distributions of minima, maxima and endpoint values for a three dimensional Wiener process. In particular, the results provide the point cumulative distributions for the maxima and/or minima of the components of the process. The densities are obtained explicitly for special type of correlations by the method of images; the analysis requires a detailed study of partitions of the sphere by means of spherical triangles. The joint densities obtained can be used to obtain explicit expressions for price of options in financial mathematics. We provide closed-form expressions for the price of several barrier type derivatives with a three dimensional geometric Wiener process as underlying. These solutions are found for special correlation matrices and are given by linear combinations of three dimensional Gaussian cumulative distributions. In order to extend the results to a wider set of correlation matrices the method of random correlations is outlined.

scholarly journals A Note on the Distribution of Multivariate Brownian Extrema

2014 ◽  
Vol 2014 ◽  
pp. 1-6 ◽  
Author(s):  
Marcos Escobar ◽  
Julio Hernandez
Keyword(s):  
Financial Markets ◽  
Stochastic Volatility ◽  
Closed Form Solution ◽  
Joint Probability ◽  
Form Solution ◽  
Financial Mathematics ◽  
Method Of Images ◽  
Correlation Matrices ◽  
Correlation Structures ◽  
Multidimensional Wiener Process

This paper presents a closed-form solution for the joint probability of the endpoints and minimums of a multidimensional Wiener process for some correlation matrices. This is the only explicit expressions found in the literature for this joint probability. The analysis can only be carried out for special correlation structures as it is related to the fundamentals regions of irreducible spherical simplexes generated by reflections and the link to the method of images. This joint distribution can be used in financial mathematics to obtain prices of credit or market related products in high dimension. The solution could be generalized to account for stochastic volatility and other stylized features of the financial markets.

convergent-beam diffraction from surfaces

1987 ◽  
Vol 45 ◽  
pp. 30-33
Author(s):  
J. A. Eades ◽  
A. E. Smith ◽  
D. F. Lynch
Keyword(s):  
Reciprocal Lattice ◽  
Three Dimensional ◽  
Grazing Incidence ◽  
Three Dimensions ◽  
Plane Figure ◽  
Transmission Electron ◽  
Convergent Beam ◽  
Beam Patterns ◽  
Beam Diffraction

It is quite simple (in the transmission electron microscope) to obtain convergent-beam patterns from the surface of a bulk crystal. The beam is focussed onto the surface at near grazing incidence (figure 1) and if the surface is flat the appropriate pattern is obtained in the diffraction plane (figure 2). Such patterns are potentially valuable for the characterization of surfaces just as normal convergent-beam patterns are valuable for the characterization of crystals.There are, however, several important ways in which reflection diffraction from surfaces differs from the more familiar electron diffraction in transmission.GeometryIn reflection diffraction, because of the surface, it is not possible to describe the specimen as periodic in three dimensions, nor is it possible to associate diffraction with a conventional three-dimensional reciprocal lattice.

Extension of the Spatial PDI Model to Three Dimensions

1997 ◽  
Vol 84 (1) ◽  
pp. 176-178
Author(s):  
Frank O'Brien
Keyword(s):  
Population Density ◽  
Dimensional Space ◽  
Finite Lattice ◽  
Three Dimensional ◽  
Upper Bounds ◽  
Three Dimensions ◽  
Lower And Upper Bounds ◽  
Density Index ◽  
Three Dimensional Space

The author's population density index ( PDI) model is extended to three-dimensional distributions. A derived formula is presented that allows for the calculation of the lower and upper bounds of density in three-dimensional space for any finite lattice.

scholarly journals Free partition functions and an averaged holographic duality

2021 ◽  
Vol 2021 (1) ◽  
Author(s):  
Nima Afkhami-Jeddi ◽  
Henry Cohn ◽  
Thomas Hartman ◽  
Amirhossein Tajdini
Keyword(s):  
Partition Function ◽  
Spectral Gap ◽  
Central Charge ◽  
Three Dimensional ◽  
Two Dimensions ◽  
Three Dimensions ◽  
Partition Functions ◽  
General Constraints ◽  
Dimensional Gravity ◽  
Holographic Duality

Abstract We study the torus partition functions of free bosonic CFTs in two dimensions. Integrating over Narain moduli defines an ensemble-averaged free CFT. We calculate the averaged partition function and show that it can be reinterpreted as a sum over topologies in three dimensions. This result leads us to conjecture that an averaged free CFT in two dimensions is holographically dual to an exotic theory of three-dimensional gravity with U(1)c×U(1)c symmetry and a composite boundary graviton. Additionally, for small central charge c, we obtain general constraints on the spectral gap of free CFTs using the spinning modular bootstrap, construct examples of Narain compactifications with a large gap, and find an analytic bootstrap functional corresponding to a single self-dual boson.

Turbulent three-dimensional dielectric electrohydrodynamic convection between two plates

2012 ◽  
Vol 696 ◽  
pp. 228-262 ◽  
Author(s):  
A. Kourmatzis ◽  
J. S. Shrimpton
Keyword(s):  
Spatial Data ◽  
Three Dimensional ◽  
Reynolds Numbers ◽  
Two Dimensions ◽  
Three Dimensions ◽  
Energy Budgets ◽  
Turbulent Regime ◽  
Scalar Flux ◽  
Wide Range ◽  
Scalar Variance

AbstractThe fundamental mechanisms responsible for the creation of electrohydrodynamically driven roll structures in free electroconvection between two plates are analysed with reference to traditional Rayleigh–Bénard convection (RBC). Previously available knowledge limited to two dimensions is extended to three-dimensions, and a wide range of electric Reynolds numbers is analysed, extending into a fully inherently three-dimensional turbulent regime. Results reveal that structures appearing in three-dimensional electrohydrodynamics (EHD) are similar to those observed for RBC, and while two-dimensional EHD results bear some similarities with the three-dimensional results there are distinct differences. Analysis of two-point correlations and integral length scales show that full three-dimensional electroconvection is more chaotic than in two dimensions and this is also noted by qualitatively observing the roll structures that arise for both low (${\mathit{Re}}_{E} = 1$) and high electric Reynolds numbers (up to ${\mathit{Re}}_{E} = 120$). Furthermore, calculations of mean profiles and second-order moments along with energy budgets and spectra have examined the validity of neglecting the fluctuating electric field ${ E}_{i}^{\ensuremath{\prime} } $ in the Reynolds-averaged EHD equations and provide insight into the generation and transport mechanisms of turbulent EHD. Spectral and spatial data clearly indicate how fluctuating energy is transferred from electrical to hydrodynamic forms, on moving through the domain away from the charging electrode. It is shown that ${ E}_{i}^{\ensuremath{\prime} } $ is not negligible close to the walls and terms acting as sources and sinks in the turbulent kinetic energy, turbulent scalar flux and turbulent scalar variance equations are examined. Profiles of hydrodynamic terms in the budgets resemble those in the literature for RBC; however there are terms specific to EHD that are significant, indicating that the transfer of energy in EHD is also attributed to further electrodynamic terms and a strong coupling exists between the charge flux and variance, due to the ionic drift term.

scholarly journals The Everyday Life of Security: Capturing Space, Practice, and Affect

2021 ◽  
Author(s):  
Jonna Nyman
Keyword(s):  
Everyday Life ◽  
Research Methods ◽  
Lived Experiences ◽  
Three Dimensional ◽  
Three Dimensions ◽  
Conceptual Clarity ◽  
The Everyday ◽  
Participatory Photography ◽  
High Politics ◽  
Ordinary Citizens

Abstract Security shapes everyday life, but despite a growing literature on everyday security there is no consensus on the meaning of the “everyday.” At the same time, the research methods that dominate the field are designed to study elites and high politics. This paper does two things. First, it brings together and synthesizes the existing literature on everyday security to argue that we should think about the everyday life of security as constituted across three dimensions: space, practice, and affect. Thus, the paper adds conceptual clarity, demonstrating that the everyday life of security is multifaceted and exists in mundane spaces, routine practices, and affective/lived experiences. Second, it works through the methodological implications of a three-dimensional understanding of everyday security. In order to capture all three dimensions and the ways in which they interact, we need to explore different methods. The paper offers one such method, exploring the everyday life of security in contemporary China through a participatory photography project with six ordinary citizens in Beijing. The central contribution of the paper is capturing—conceptually and methodologically—all three dimensions, in order to develop our understanding of the everyday life of security.

scholarly journals Topological correlators and surface defects from equivariant cohomology

2020 ◽  
Vol 2020 (9) ◽  
Author(s):  
Rodolfo Panerai ◽  
Antonio Pittelli ◽  
Konstantina Polydorou
Keyword(s):  
Quantum Mechanics ◽  
Equivariant Cohomology ◽  
Surface Defects ◽  
Star Product ◽  
Three Dimensional ◽  
Three Dimensions ◽  
Dimensional System ◽  
The Novel ◽  
One Dimensional ◽  
Dual Quantum

Abstract We find a one-dimensional protected subsector of $$ \mathcal{N} $$ N = 4 matter theories on a general class of three-dimensional manifolds. By means of equivariant localization we identify a dual quantum mechanics computing BPS correlators of the original model in three dimensions. Specifically, applying the Atiyah-Bott-Berline-Vergne formula to the original action demonstrates that this localizes on a one-dimensional action with support on the fixed-point submanifold of suitable isometries. We first show that our approach reproduces previous results obtained on S3. Then, we apply it to the novel case of S2× S1 and show that the theory localizes on two noninteracting quantum mechanics with disjoint support. We prove that the BPS operators of such models are naturally associated with a noncom- mutative star product, while their correlation functions are essentially topological. Finally, we couple the three-dimensional theory to general $$ \mathcal{N} $$ N = (2, 2) surface defects and extend the localization computation to capture the full partition function and BPS correlators of the mixed-dimensional system.

scholarly journals Rethinking student-teacher relationships in higher education: a multidimensional approach

2021 ◽  
Author(s):  
Roland Tormey
Keyword(s):  
Higher Education ◽  
Classroom Management ◽  
Student Teacher ◽  
Three Dimensional ◽  
Three Dimensions ◽  
Theoretical Development ◽  
Multidimensional Model ◽  
Three Dimensional Model ◽  
Teacher Relationships ◽  
Student Teacher Relationships

AbstractStudent-teacher relationships play an important role in both teacher and student experiences in higher education and have been found to be linked to learning, classroom management, and to student absenteeism. Although historically conceptualised in terms of immediacy or distance and measured with reference to behaviours, the growing recognition of the role of emotions and of power—as well as the development of a range of multidimensional models of social relationships—all suggest it is time to re-evaluate how student-teacher relationships are understood. This paper develops a theoretical model of student-teacher affective relationships in higher education based on three dimensions: affection/warmth, attachment/safety, and assertion/power. The three-dimensional model was tested using the Classroom Affective Relationships Inventory (CARI) with data from 851 students. The data supported the use of this multidimensional model for student-teacher relationships with both two- and three-dimensional models of relationships being identified as appropriate. The theoretical development of a multidimensional model and the empirical development of an instrument with which to explore these dimensions has important implications for higher education teachers, administrators and researchers.

scholarly journals Principal Component Analysis of Munich Functional Developmental Diagnosis

2021 ◽  
Vol 13 (2) ◽  
pp. 227-233
Author(s):  
Grażyna Pazera ◽  
Marta Młodawska ◽  
Jakub Młodawski ◽  
Kamila Klimowska
Keyword(s):  
Principal Component Analysis ◽  
Social Skills ◽  
Motor Development ◽  
Three Dimensional ◽  
Principal Component ◽  
Component Analysis ◽  
Three Dimensions ◽  
Matrix Analysis ◽  
Psychomotor Development ◽  
First Year Of Life

Objectives: Munich Functional Developmental Diagnosis (MFDD) is a scale for assessing the psychomotor development of children in the first months or years of life. The tool is based on standardized tables of physical development and is used to detect developmental deficits. It consists of eight axes on which the following skills are assessed: crawling, sitting, walking, grasping, perception, speaking, speech understanding, social skills. Methods: The study included 110 children in the first year of life examined with the MFDD by the same physician. The score obtained on a given axis was coded as a negative value (defined in months) below the child’s age-specific developmental level. Next, we examined the dimensionality of the scale and the intercorrelation of its axes using polychoric correlation and principal component analysis. Results: Correlation matrix analysis showed high correlation of MFDD axes 1–4, and MFDD 6–8. The PCA identified three principal components consisting of children’s development in the areas of large and small motor skills (axis 1–4), perception (axis 5), active speech, passive speech and social skills (axis 6–8). The three dimensions obtained together account for 80.27% of the total variance. Conclusions: MFDD is a three-dimensional scale that includes motor development, perception, and social skills and speech. There is potential space for reduction in the number of variables in the scale.

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