Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 31 for “"CEV"”.
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Volatility level dependence and the CEV market model
… level-dependence feature motivates the use of CEV market model to model the interest rate. In this dissertation, we compare the lognormal forward LIBOR market model, the CEV market model and the normal market model through regression analysis, hedging analysis and calibration analysis to assess …
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Cross Environmental Variable Synchrony
… scales. Cross environmental variable synchrony (CEV synchrony) is when one environmental variable in one location is correlated through time with another, distinct environmental variable in another location. Here, we systematically assessed the presence and nature of CEV synchrony in temperature …
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Proximity operations of a miniature inspector satellite using emulated computer vision
… failure impacts the Crew Exploration Vehicle (CEV), it can cause life-threatening damage. Past International Space Station (ISS) and Space Shuttle repair missions have shown that inspection of a damaged system is crucial for planning the EVA to repair it. To assist the CEV team with inspection …
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Level Dependence in Volatility in Linear-Rational Term Structure Models
… a specification where the factor process follows CEV-type dynamics which allows a more flexible degree of level dependence. Parameters are estimated using an unscented Kalman filter in conjunction with quasi-maximum likelihood. An extended specification for the state price density process is …
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Functional quantization-based stratified sampling
… motion (GBM), constant elasticity of variance (CEV) and constant elasticity of variance with stochastic volatility (CEV-SV) models. The pricing algorithm is used to price knock-in, knockout, autocall, call on the max and path dependent call on the max options.
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Optimal finite-thrust Trans-Earth Injection (TEI) maneuvers for a Low Lunar Orbit (LLO) earth return mission
… engines of the Orion Crew Exploration Vehicle (CEV) for the entire mission. Additionally, higher-order necessary conditions are examined to test the extremality of the computed solution. Singular arcs that appear in a main engine variable thrust, fuel optimal trajectory are examined by applying …
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Option pricing with physics-informed neutral networks (PINNS)
… under the constant elasticity of variance (CEV) model. We then construct and train a PINN to solve the PDE and compare it to the true analytical solution of a special case of the CEV model, the square-root process.
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How do Truth Commissions try to reconcile a divided Nation?
… la Convivencia y la No Repetición en Colombia (CEV). La investigación indaga cómo estas comisiones buscaron lograr la reconciliación o convivencia a través de los Encuentros de la Verdad, un componente esencial de sus respectivos procedimientos. La Comisión en Sudáfrica emprendió la monumental …
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Screams in Silence: A Framework for the Colombian Truth Commission's Investigation into Gender-Based Violence during the Internal Armed Conflict
La Comisión de la Verdad (CEV) recientemente establecida en Colombia ha ampliado su alcance de investigación para analizar casos de violencia de género e incluir a la comunidad LGBTI (lesbianas, gays, bisexuales, transgénero e intersexuales) en su informe final. Las personas que se identifican como …
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A role for myotubularins in vaccinia virus egress
… cell. Extracellular enveloped virus (EEV) and CEV are surrounded by two membranes and are morphologically indistinguishable, but whereas EEV are released from the cell to mediate long range virus spread, CEV are retained on the cell surface and induce the formation of actin tails to propel …
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Methods for Calculating Motion Induced Interruptions as Applied to a Space Capsule After Splashdown
… (NASA) on the Orion Crew Exploration Vehicle (CEV) in post-splashdown conditions. A one-quarter scale model of the CEV was tested at the Aberdeen Test Center in Aberdeen, Maryland. Direct comparison of the analyzed data, MII sensitivity to location, and scaling analyses are examined and future …
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Essays on Dynamics Models in Finance
… in financial modelling. With the popular CEV process for the underlying stock or stochastic volatility, the martingale option pricing approach can fail. I propose a flexible damped diffusion framework to overcome these drawbacks. This framework is useful in many areas of financial …
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INNATE IMMUNITY IN ENCEPHALITIC BUNYAVIRUS INFECTION: OVERCOMING NEURONAL VULNERABILITY
… RVFV, LACV, or California encephalitis virus (CEV), and induced inflammatory responses biased towards NF-κB signaling. Neurons also responded to IFNβ stimulation, and transcribed well-known interferon stimulated genes. Despite this, type-I IFN-treated neurons were not protected from RVFV or …
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Path-dependent volatility: an application to the South African market
… FTSE JSE Top 40. The Black-Scholes, Heston and CEV models are used as comparative benchmarks for each of the other classes of models.
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Essays on continuous time diffusion models.
… we propose regime-switching Heston, GARCH, and CEV stochastic volatility models where all parameters are allowed to vary depending on the state of the economy. Then we apply these models to describe the dynamics of S&P 500 and VIX. We find strong evidence of regime shifts for all models. The CEV …
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An airbag-based crew impact attenuation system for the Orion Crew Exploration Vehicle
… of the Orion Crew Exploration Vehicle (CEV), the concept of airbag-based crew impact attenuation was identified as being a potential means for providing a low mass, reconfigurable alternative to the currently baselined pallet-strut design. This thesis presents the development effort …
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Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate
… by the Constant Elasticity of Variance (CEV) model and that the conditional volatility depends to some extent on the level of the interest rate. In addition we find evidence of a structural break in the mid- 1980s, confirming our suspicions that the financial liberalisation of that period …
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Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate
… by the Constant Elasticity of Variance (CEV) model and that the conditional volatility depends to some extent on the level of the interest rate. In addition we find evidence of a structural break in the mid-1980s, confirming our suspicions that the financial liberalisation of that period …
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Reentry guidance with extended range capability for low L/D spacecraft
… Interface (EI). The Crew Exploration Vehicle (CEV) design concept was used as the main test case for this algorithm, but the algorithm is general enough to be extensible to similar vehicle concepts with different vehicle characteristics. The algorithm was tested against various reentry …
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Analytical Solutions of the SABR Stochastic Volatility Model
… models with constant elasticity of variance (CEV) prove to be able to generate enough range of return distributions while models with volatility itself being stochastic start to become popular in terms fitting the "smile'' or "skew'' phenomenon of option implied volatilities. In 2002, the …
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