Math F412: Homework 3 Solutions February 14, Solution: By the Fundamental Theorem of Calculus applied to the coordinates of α we have
|
|
- Clyde Reynolds
- 5 years ago
- Views:
Transcription
1 1. Let k() be a mooth function on R. Let α() = ( θ() = co(θ(u)) du, k(u) du in(θ(u)) du). Show that α i a mooth unit peed curve with igned curvature κ p () = k(). By the Fundamental Theorem of Calculu applied to the coordinate of α we have Since α (t) = (co(θ(t)), in(θ(t))). co 2 (θ(t)) + in 2 (θ(t)) = 1, α (t) i a unit vector for each t T(t) = α (t). Now N p (t) = ( in(θ(t)), co(θ(t)) ince N p i obtained from T by rotating 9 degree. Since α i unit peed, Now κ p (t) = N p (t) α (t). α (t) = ( in(θ(t))θ (t), co(θ(t))θ (t)). Applying the Fundamental Theorem of Calculu to θ(t) we have Hence Since N p N p = 1, we conclude that θ (t) = k(t). α (t) = ( in(θ(t)), co(θ(t)))k(t) = N p (t)k(t). κ p (t) = k(t).
2 2. Let T R 2 R 2 be a tranlation (o T(x) = x + v for ome contant vector v). Let R R 2 R 2 be a rotation. Let S R 2 R 2 be the reflection S(x, y) = ( x, y). If α i a mooth plane curve, how that the igned curvature of T α R α are the ame a thoe of α, but the igned curvature of S α i the negative of the igned curvature of α. Without lo of generality we can aume that α i a unit peed curve. Let T be a tranlation, let β(t) = T α(t). So β(t) = α(t) + v for ome contant vector v. Then In particular we have for the unit tangent β (t) = α (t) β (t) = α (t). T β (t) = β (t) = α (t) = T α (t). Moreover, ince the planar normal N p,β N p,α are obtained from the tangent by rotating by 9 degree we have N p,β = N p,α. Finally, κ p,β = N p,β β = N p,α α = κ p,α. Let R θ be a rotation through angle θ let β = R θ α. Note that R θ can be repreented by the matrix co(θ), in(θ) R θ = ( in(θ), co(θ) ). Since R θ i a linear map, β (t) = R θ α (t) β (t) = R θ α (t). We need three propertie of rotation map, which we leave for the reader to verify. Firt, if x, y are vector, then (R θ x) (R θ y) = x y. (1) Second, if we apply the previou equation with y = x we have R θ x 2 = x 2 therefore Finally, for any two angle θ 1 θ 2 we have R θ x = x. (2) R θ1 R θ2 = R θ1 +θ 2. (3) From (2) we conclude that β (t) = R θ α (t) = α (t) = 1 2
3 o β i a unit peed curve T β = β = R θ α = R θ T α. By definition, N p,α = R /2 T α imilarly for β. So, applying our (3) we have N p,β = R /2 T β = R /2 R θ T α = R θ+/2 T α = R θ R /2 T α = R θ N p,α. Hence (applying (1)) we have κ p,β = β N p,β = R θ α R θ N p,α = α N p,α = κ p,α. Finally, let S be the given reflection let β = S α. Note that [S(a, b)] [S(c, d)] = ( a, b) ( c, d) = ( a)( c) + bd = ac + bd = (a, b) (c, d). Stated more uccinctly, if x y are vector, Sx Sy = x y. In particular, Sx = x. We have β = Sα hence β = Sα = α = 1. So β i unit peed. Alo, β = Sα. Let R be the rotation through 9 degree, o R(a, b) = ( b, a). Note that R(S(a, b)) = R( a, b) = ( b, a) S(R(a, b)) = S( b, a) = (b, a) = R(S(a, b)). Now T β = β = Sα = ST α therefore N p,β = RT β = RST α = SRT α = SN p,α = S( N p,α ). We conclude that κ p,β = β N p,β = Sα S( N p,α ) = α ( N p,α ) = κ p,α. 3
4 3. Suppoe α β are unit peed plane curve defined on the ame interval I = [a, b] uch that α(a) = β(a), α (a) = β (a) uch that their two curvature agree at every point in I. Show that α = β. Let T α N α be the tangent planar normal to α, ue imilar notation for β. Let D = T α T β + N α N β. From the Cauchy-Schwarz inequality applied to each term of D, uing the fact that all vector are unit vector, we ee that D 2 with equality if only if T α = T β N α = N β. Now D = T α T β + T α T β + N α N β + N α N β = κ p,α N p,α T β + κ p,β T α N p,β + κ p,α T α N β + κ p,β N α T β = (κ p,α κ p,α )N p,α T β + (κ p,β κ p,β )N p,β T α =. So D i contant D(a) = 2 ince the tangent ( hence normal) of α β agree at a. So D 2 the tangent normal of α β agree everywhere. Since the tangent agree on the interval, α = β on [a, b]. Since α(a) = β(a) we conclude from the Fundamental Theorem of Calculu applied to each coordinate function that α = β. 4. Ue Maple to plot the trace of a plane curve with igned curvature κ p () = 2 co(). Explain why α() lie on the x-axi. See workheet for plot. Note that where α(t) = ( Hence the y-coordinate of α() i θ(t) = co(θ(u)) du, t in(θ(u)) du) 2 co(u) du = 2 in(t). Now ubtituting u = v + we have in(2 in(u)) du. in(2 in(u)) du = 4 in(2 in(v + )) dv.
5 But So Hence in(2 in(v + )) = in( 2 in(v)) = in(2 in(v)). in(2 in(u)) du = in(2 in(v)) dv = in(2 in(u)) du. in(2 in(u)) du = = =. in(2 in(u)) du + in(2 in(u)) du So the y-coordinate i zero α() lie on the x-axi. in(2 in(u)) du in(2 in(u)) du 5. Let α be a unit peed plane curve. It center of curvature i є() = α() + 1 κ p () N(). a) Show that the circle centered at є() i tangent to α at α() ha the ame curvature a α at that point. You hould ue fact you know about the curvature of a circle. b) The curve є() i called the evolute of α. Show that the unit tangent to є i N() the igned unit normal to є i T. c) Let v be the arclength parameter of є. Show that d) Compute the igned curvature of є(). dv d = p() κ κ 2 Solution, part a: Note that є() α() = 1/κ p ()N p () = 1/ κ p () = 1/κ(). So α() i on the circle centered at є() with radiu κ(). To how that it i tangent, it i enough to how that α () i perpendicular to the vector connecting α() to є(). But (є() α()) α () = But α () = T() T() N p () =. Hence 1 κ p () N p() α (). (є() α()) α () =. 5
6 Solution, part b: We note that But N p = κ p T α = T, o є () = α () + ( d d 1 κ p () ) N 1 p() + κ p () N p(). є () = T() ( κ p() κ p () ) N 1 p() 2 κ p () κ p()t() = κ p() κ p () N p() 2 Auming that κ () >, we have є ()/ є () = N p (). But rotating T by 9 degree obtain N p, o rotating N p by 9 degree obtain T, rotating N p by 9 degree obtain T. Letting T є N p,є be the tangent igned normal of є we have T є = N p Solution, part c: Note that If v i arclength for є, then N p,є = T. є () = κ p() κ p () 2 N p() = κ p() /κ p () 2. v () = є () = κ p() /κ p () 2. Solution, part d: Let ν = v (). Then arguing a we did in cla for non unit peed curve we have T є () = ν()κ p,є ()N p,є (). Now Hence T є () = N p() = κ p ()T() = κ p ()N p,є. ν()κ p,є () = κ p () κ p,є () = κ p() 3 κ p() 6
7 6. Exercie Let α be a unit peed curve which lie on the phere centered at p with radiu R. Since T(t), N(t), B(t) are an orthonormal frame, we can write Now α(t) p = [(α(t) p) T] T + [(α(t) p) N] N + [(α(t) p) B] B. (α(t) p) (α(t) p) = R 2. Taking a derivative with repect to t, dropping the (t) for brevity we have 2T (α p) =. Hence T (α p) =. Taking another derivative we have T (α p) + T T =. From the Frenet equation we know T = κn therefore Taking another derivative we have N (α p) = 1 κ. N (α p) + N T = ( 1 κ ). But then from the Frenet equation ( the fact that N T = ) we have We have already een that T (α p) =. Hence Hence ( κt + τb) (α p) = ( 1 κ ). B (α p) = 1 τ ( 1 κ ). α p = 1 κ N + 1 τ ( 1 κ ) B. Computing the norm of each ide of thi equation, uing the fact that N N = 1, B B = 1 N B = we have R 2 = ( 1 2 κ ) + 1 τ [( κ ) ] which i the deired equation. 7
8 7. (Thi problem to be done entirely with Maple.) Viviani curve i defined by α(t) = (co(t) 2 1/2, in(t) co(t), in(t)). a) Show that α lie on the phere of radiu 1 centered at ( 1/2,, ) on the cylinder x 2 + y 2 = 1/4. b) Make a plot in Maple to demontrate that α lie on thi phere. The comm plot[pacecurve], plottool[phere] plottool[diplay] might come in hy. Alo note that if you end a line in Maple with a colon rather than a emicolon, the output will be uppreed, which i hy for thing like the output of plottool[phere]. c) Compute the curvature torion of Viviani curve. d) Verify that the curvature torion of Viviani curve atify the formula from the previou problem. R 2 = (1/κ) 2 + ((1/κ) (1/τ)) 2 8
1.17 The Frenet-Serret Frame and Torsion. N(t) := T (t) κ(t).
Math 497C Oct 1, 2004 1 Curves and Surfaces Fall 2004, PSU Lecture Notes 7 1.17 The Frenet-Serret Frame and Torsion Recall that if α: I R n is a unit speed curve, then the unit tangent vector is defined
More informationHomework JWR. Feb 6, 2014
Homework JWR Feb 6, 2014 1. Exercise 1.5-12. Let the position of a particle at time t be given by α(t) = β(σ(t)) where β is parameterized by arclength and σ(t) = α(t) is the speed of the particle. Denote
More informationRiemannian Geometry, Key to Homework #1
Riemannian Geometry Key to Homework # Let σu v sin u cos v sin u sin v cos u < u < π < v < π be a parametrization of the unit sphere S {x y z R 3 x + y + z } Fix an angle < θ < π and consider the parallel
More informationPrincipal Curvatures
Principal Curvatures Com S 477/577 Notes Yan-Bin Jia Oct 26, 2017 1 Definition To furtheranalyze thenormal curvatureκ n, we make useof the firstandsecond fundamental forms: Edu 2 +2Fdudv +Gdv 2 and Ldu
More informationSurface Curvatures. (Com S 477/577 Notes) Yan-Bin Jia. Oct 23, Curve on a Surface: Normal and Geodesic Curvatures
Surface Curvatures (Com S 477/577 Notes) Yan-Bin Jia Oct 23, 2017 1 Curve on a Surface: Normal and Geodesic Curvatures One way to examine how much a surface bends is to look at the curvature of curves
More informationBLACK SCHOLES THE MARTINGALE APPROACH
BLACK SCHOLES HE MARINGALE APPROACH JOHN HICKSUN. Introduction hi paper etablihe the Black Schole formula in the martingale, rik-neutral valuation framework. he intent i two-fold. One, to erve a an introduction
More informationEuler Savary s Formula On Complex Plane C
Applied Mathematics E-Notes, 606, 65-7 c ISSN 607-50 Available free at mirror sites of http://www.math.nthu.edu.tw/ amen/ Euler Savary s Formula On Complex Plane C Mücahit Akbıyık, Salim Yüce Received
More informationDifferential Geometry: Curvature, Maps, and Pizza
Differential Geometry: Curvature, Maps, and Pizza Madelyne Ventura University of Maryland December 8th, 2015 Madelyne Ventura (University of Maryland) Curvature, Maps, and Pizza December 8th, 2015 1 /
More informationCurves on a Surface. (Com S 477/577 Notes) Yan-Bin Jia. Oct 24, 2017
Curves on a Surface (Com S 477/577 Notes) Yan-Bin Jia Oct 24, 2017 1 Normal and Geodesic Curvatures One way to examine how much a surface bends is to look at the curvature of curves on the surface. Let
More informationConfidence Intervals for One Variance using Relative Error
Chapter 653 Confidence Interval for One Variance uing Relative Error Introduction Thi routine calculate the neceary ample ize uch that a ample variance etimate will achieve a pecified relative ditance
More informationSmarandache Curves on S 2. Key Words: Smarandache Curves, Sabban Frame, Geodesic Curvature. Contents. 1 Introduction Preliminaries 52
Bol. Soc. Paran. Mat. (s.) v. (04): 5 59. c SPM ISSN-75-88 on line ISSN-00787 in press SPM: www.spm.uem.br/bspm doi:0.569/bspm.vi.94 Smarandache Curves on S Kemal Taşköprü and Murat Tosun abstract: In
More informationMath F412: Homework 4 Solutions February 20, κ I = s α κ α
All prts of this homework to be completed in Mple should be done in single worksheet. You cn submit either the worksheet by emil or printout of it with your homework. 1. Opre 1.4.1 Let α be not-necessrily
More informationBread vs. Meat: Replicating Koenker (1977) Arianto A. Patunru Department of Economics, University of Indonesia 2004
read v. Meat: Replicating Koenker (1977) Arianto A. Patunru Department of Economic, Univerity of Indoneia 2004 1. Introduction Thi exercie wa baed on my cla homework of an econometric coure in Univerity
More informationk-type null slant helices in Minkowski space-time
MATHEMATICAL COMMUNICATIONS 8 Math. Commun. 20(2015), 8 95 k-type null slant helices in Minkowski space-time Emilija Nešović 1, Esra Betül Koç Öztürk2, and Ufuk Öztürk2 1 Department of Mathematics and
More informationIntroductory Microeconomics (ES10001)
Introductory Microeconomic (ES10001) Exercie 2: Suggeted Solution 1. Match each lettered concept with the appropriate numbered phrae: (a) Cro price elaticity of demand; (b) inelatic demand; (c) long run;
More informationPROBLEM SET 3, MACROECONOMICS: POLICY, 31E23000, SPRING 2017
PROBLEM SET 3, MACROECONOMICS: POLICY, 31E23000, SPRING 2017 1. Ue the Solow growth model to tudy what happen in an economy in which the labor force increae uddenly, there i a dicrete increae in L! Aume
More informationFigure 5-1 Root locus for Problem 5.2.
K K( +) 5.3 () i KG() = (ii) KG() = ( + )( + 5) ( + 3)( + 5) 6 4 Imag Axi - -4 Imag Axi -6-8 -6-4 - Real Axi 5 4 3 - - -3-4 Figure 5- Root locu for Problem 5.3 (i) -5-8 -6-4 - Real Axi Figure 5-3 Root
More informationConfidence Intervals for One Variance with Tolerance Probability
Chapter 65 Confidence Interval for One Variance with Tolerance Probability Introduction Thi procedure calculate the ample ize neceary to achieve a pecified width (or in the cae of one-ided interval, the
More informationChapter 7: Portfolio Theory
Chapter 7: Portfolio Theory 1. Introduction 2. Portfolio Basics 3. The Feasible Set 4. Portfolio Selection Rules 5. The Efficient Frontier 6. Indifference Curves 7. The Two-Asset Portfolio 8. Unrestriceted
More informationTangent Lévy Models. Sergey Nadtochiy (joint work with René Carmona) Oxford-Man Institute of Quantitative Finance University of Oxford.
Tangent Lévy Models Sergey Nadtochiy (joint work with René Carmona) Oxford-Man Institute of Quantitative Finance University of Oxford June 24, 2010 6th World Congress of the Bachelier Finance Society Sergey
More information1-TYPE CURVES AND BIHARMONIC CURVES IN EUCLIDEAN 3-SPACE
International Electronic Journal of Geometry Volume 4 No. 1 pp. 97-101 (2011) c IEJG 1-TYPE CURVES AND BIHARMONIC CURVES IN EUCLIDEAN 3-SPACE (Communicated by Shyuichi Izumiya) Abstract. We study 1-type
More informationInvariant Variational Problems & Integrable Curve Flows. Peter J. Olver University of Minnesota olver
Invariant Variational Problems & Integrable Curve Flows Peter J. Olver University of Minnesota http://www.math.umn.edu/ olver Cocoyoc, November, 2005 1 Variational Problems x = (x 1,..., x p ) u = (u 1,...,
More informationSystems of Ordinary Differential Equations. Lectures INF2320 p. 1/48
Systems of Ordinary Differential Equations Lectures INF2320 p. 1/48 Lectures INF2320 p. 2/48 ystems of ordinary differential equations Last two lectures we have studied models of the form y (t) = F(y),
More informationItô-Skorohod stochastic equations and applications to finance
Itô-Skorohod tochatic equation and application to finance Ciprian A. Tudor Laboratoire de Probabilité et Modèle Aléatoire Univerité de Pari 6 4, Place Juieu F-755 Pari Cedex 5, France Abtract We prove
More informationSNELL S LAW AND UNIFORM REFRACTION. Contents
SNELL S LAW AND UNIFORM REFRACTION CRISTIAN E. GUTIÉRREZ Contents 1. Snell s law of refraction 1 1.1. In vector form 1 1.2. κ < 1 2 1.3. κ > 1 3 1.4. κ = 1 4 2. Uniform refraction 4 2.1. Surfaces with
More information5.1 Gauss Remarkable Theorem
5.1 Gauss Remarkable Theorem Recall that, for a surface M, its Gauss curvature is defined by K = κ 1 κ 2 where κ 1, κ 2 are the principal curvatures of M. The principal curvatures are the eigenvalues of
More informationMarginal Deadweight Loss when the Income Tax is Nonlinear
Marginal Deadweight Loss when the Income Tax is Nonlinear Sören Blomquist and Laurent Simula Uppsala University and Uppsala Center for Fiscal Studies SCW 2010, Moscow S. Blomquist and L. Simula (Uppsala
More informationAdvanced Stochastic Processes.
Advanced Stochastic Processes. David Gamarnik LECTURE 16 Applications of Ito calculus to finance Lecture outline Trading strategies Black Scholes option pricing formula 16.1. Security price processes,
More informationA Characterization for Bishop Equations of Parallel Curves according to Bishop Frame in E 3
Bol. Soc. Paran. Mat. (3s.) v. 33 1 (2015): 33 39. c SPM ISSN-2175-1188 on line ISSN-00378712 in press SPM: www.spm.uem.br/bspm doi:10.5269/bspm.v33i1.21712 A Characterization for Bishop Equations of Parallel
More informationOn Toponogov s Theorem
On Toponogov s Theorem Viktor Schroeder 1 Trigonometry of constant curvature spaces Let κ R be given. Let M κ be the twodimensional simply connected standard space of constant curvature κ. Thus M κ is
More informationWeek #15 - Word Problems & Differential Equations Section 8.6
Week #15 - Word Problems & Differential Equations Section 8.6 From Calculus, Single Variable by Hughes-Hallett, Gleason, McCallum et. al. Copyright 5 by John Wiley & Sons, Inc. This material is used by
More informationMathematics (Project Maths Phase 2)
L.17 NAME SCHOOL TEACHER Pre-Leaving Certificate Examination, 2013 Mathematics (Project Maths Phase 2) Paper 1 Higher Level Time: 2 hours, 30 minutes 300 marks For examiner Question 1 Centre stamp 2 3
More informationIntermediate Macroeconomic Theory II, Winter 2009 Solutions to Problem Set 1
Intermediate Macroeconomic Theor II, Winter 2009 Solution to Problem Set 1 1. (18 point) Indicate, when appropriate, for each of the tatement below, whether it i true or fale. Briefl explain, upporting
More informationUsing derivatives to find the shape of a graph
Using derivatives to find the shape of a graph Example 1 The graph of y = x 2 is decreasing for x < 0 and increasing for x > 0. Notice that where the graph is decreasing the slope of the tangent line,
More informationThe stochastic calculus
Gdansk A schedule of the lecture Stochastic differential equations Ito calculus, Ito process Ornstein - Uhlenbeck (OU) process Heston model Stopping time for OU process Stochastic differential equations
More informationUnderstand general-equilibrium relationships, such as the relationship between barriers to trade, and the domestic distribution of income.
Review of Production Theory: Chapter 2 1 Why? Understand the determinants of what goods and services a country produces efficiently and which inefficiently. Understand how the processes of a market economy
More informationChapter 8: CAPM. 1. Single Index Model. 2. Adding a Riskless Asset. 3. The Capital Market Line 4. CAPM. 5. The One-Fund Theorem
Chapter 8: CAPM 1. Single Index Model 2. Adding a Riskless Asset 3. The Capital Market Line 4. CAPM 5. The One-Fund Theorem 6. The Characteristic Line 7. The Pricing Model Single Index Model 1 1. Covariance
More information14.02 Principles of Macroeconomics Problem Set 2 Fall 2005 ***Solution***
4.02 Principle of Macroeconomic Problem Set 2 Fall 2005 ***Solution*** Pote: Weneay, September 2, 2005 Due: Weneay, September 28, 2005 Pleae write your name AND your TA name on your problem et. Thank!
More informationCURVATURE AND TORSION FORMULAS FOR CONFLICT SETS
GEOMETRY AND TOPOLOGY OF CAUSTICS CAUSTICS 0 BANACH CENTER PUBLICATIONS, VOLUME 6 INSTITUTE OF MATHEMATICS POLISH ACADEMY OF SCIENCES WARSZAWA 004 CURVATURE AND TORSION FORMULAS FOR CONFLICT SETS MARTIJN
More informationTopic #1: Evaluating and Simplifying Algebraic Expressions
John Jay College of Criminal Justice The City University of New York Department of Mathematics and Computer Science MAT 105 - College Algebra Departmental Final Examination Review Topic #1: Evaluating
More informationMultiple Optimal Stopping Problems and Lookback Options
Multiple Optimal Stopping Problems and Lookback Options Yue Kuen KWOK Department of Mathematics Hong Kong University of Science & Technology Hong Kong, China web page: http://www.math.ust.hk/ maykwok/
More informationSymmetric Game. In animal behaviour a typical realization involves two parents balancing their individual investment in the common
Symmetric Game Consider the following -person game. Each player has a strategy which is a number x (0 x 1), thought of as the player s contribution to the common good. The net payoff to a player playing
More informationRMSC 4005 Stochastic Calculus for Finance and Risk. 1 Exercises. (c) Let X = {X n } n=0 be a {F n }-supermartingale. Show that.
1. EXERCISES RMSC 45 Stochastic Calculus for Finance and Risk Exercises 1 Exercises 1. (a) Let X = {X n } n= be a {F n }-martingale. Show that E(X n ) = E(X ) n N (b) Let X = {X n } n= be a {F n }-submartingale.
More informationQuantitative Techniques (Finance) 203. Derivatives for Functions with Multiple Variables
Quantitative Techniques (Finance) 203 Derivatives for Functions with Multiple Variables Felix Chan October 2006 1 Introduction In the previous lecture, we discussed the concept of derivative as approximation
More informationL 2 -theoretical study of the relation between the LIBOR market model and the HJM model Takashi Yasuoka
Journal of Math-for-Industry, Vol. 5 (213A-2), pp. 11 16 L 2 -theoretical study of the relation between the LIBOR market model and the HJM model Takashi Yasuoka Received on November 2, 212 / Revised on
More informationBrownian Motion. Richard Lockhart. Simon Fraser University. STAT 870 Summer 2011
Brownian Motion Richard Lockhart Simon Fraser University STAT 870 Summer 2011 Richard Lockhart (Simon Fraser University) Brownian Motion STAT 870 Summer 2011 1 / 33 Purposes of Today s Lecture Describe
More informationA Structural Model for Carbon Cap-and-Trade Schemes
A Structural Model for Carbon Cap-and-Trade Schemes Sam Howison and Daniel Schwarz University of Oxford, Oxford-Man Institute The New Commodity Markets Oxford-Man Institute, 15 June 2011 Introduction The
More informationOptimal Government Debt Maturity
Optimal Government Debt Maturity Davide Debortoli Ricardo Nune Pierre Yared October 13, 214 Abtract Thi paper develop a model of optimal government debt maturity in which the government cannot iue tate-contingent
More informationGeneral Examination in Microeconomic Theory
HARVARD UNIVERSITY DEPARTMENT OF ECONOMICS General Examination in Microeconomic Theory Fall 06 You have FOUR hour. Anwer all quetion Part A(Glaeer) Part B (Makin) Part C (Hart) Part D (Green) PLEASE USE
More informationICSE Mathematics-2001
ICSE Mathematics-2001 Answers to this Paper must be written on the paper provided separately. You will not be allowed to write during the first 15 minutes. This time is to be spent in reading the question
More informationParametric Inference and Dynamic State Recovery from Option Panels. Nicola Fusari
Parametric Inference and Dynamic State Recovery from Option Panels Nicola Fusari Joint work with Torben G. Andersen and Viktor Todorov July 2012 Motivation Under realistic assumptions derivatives are nonredundant
More informationChapter 3: Black-Scholes Equation and Its Numerical Evaluation
Chapter 3: Black-Scholes Equation and Its Numerical Evaluation 3.1 Itô Integral 3.1.1 Convergence in the Mean and Stieltjes Integral Definition 3.1 (Convergence in the Mean) A sequence {X n } n ln of random
More informationExercise sheet 10. Discussion: Thursday,
Exercise sheet 10 Discussion: Thursday, 04.02.2016. Exercise 10.1 Let K K n o, t > 0. Show that N (K, t B n ) N (K, 4t B n ) N (B n, (t/16)k ), N (B n, t K) N (B n, 4t K) N (K, (t/16)b n ). Hence, e.g.,
More informationPortfolio Margin Methodology
Portfolio Margin Methodology Initial margin methodology applied for the interest rate derivatives market. JSE Clear (Pty) Ltd Reg No: 1987/002294/07 Member of CCP12 The Global Association of Central Counterparties
More informationMartingale Measure TA
Martingale Measure TA Martingale Measure a) What is a martingale? b) Groundwork c) Definition of a martingale d) Super- and Submartingale e) Example of a martingale Table of Content Connection between
More informationDANIEL FIFE is a postdoctoral fellow in the department of biostatistics, School of Public Health, University of Michigan.
KILLING THE GOOSE By Daniel Fife DANIEL FIFE i a potdoctoral fellow in the department of biotatitic, School of Public Health, Univerity of Michigan. Environment, Vol. 13, No. 3 In certain ituation, "indutrial
More informationSPDE and portfolio choice (joint work with M. Musiela) Princeton University. Thaleia Zariphopoulou The University of Texas at Austin
SPDE and portfolio choice (joint work with M. Musiela) Princeton University November 2007 Thaleia Zariphopoulou The University of Texas at Austin 1 Performance measurement of investment strategies 2 Market
More informationvon Thunen s Model Industrial Land Use the von Thunen Model Moving Forward von Thunen s Model Results
von Thunen Model Indutrial Land Ue the von Thunen Model Philip A. Viton September 17, 2014 In 1826, Johann von Thunen, in Der iolierte Stadt (The iolated city) conidered the location of agricultural activitie
More informationIlliquidity, Credit risk and Merton s model
Illiquidity, Credit risk and Merton s model (joint work with J. Dong and L. Korobenko) A. Deniz Sezer University of Calgary April 28, 2016 Merton s model of corporate debt A corporate bond is a contingent
More informationProblem set Fall 2012.
Problem set 1. 14.461 Fall 2012. Ivan Werning September 13, 2012 References: 1. Ljungqvist L., and Thomas J. Sargent (2000), Recursive Macroeconomic Theory, sections 17.2 for Problem 1,2. 2. Werning Ivan
More informationECON 815. A Basic New Keynesian Model II
ECON 815 A Basic New Keynesian Model II Winter 2015 Queen s University ECON 815 1 Unemployment vs. Inflation 12 10 Unemployment 8 6 4 2 0 1 1.5 2 2.5 3 3.5 4 4.5 5 Core Inflation 14 12 10 Unemployment
More informationRisk Neutral Valuation
copyright 2012 Christian Fries 1 / 51 Risk Neutral Valuation Christian Fries Version 2.2 http://www.christian-fries.de/finmath April 19-20, 2012 copyright 2012 Christian Fries 2 / 51 Outline Notation Differential
More informationPortfolio Choice. := δi j, the basis is orthonormal. Expressed in terms of the natural basis, x = j. x j x j,
Portfolio Choice Let us model portfolio choice formally in Euclidean space. There are n assets, and the portfolio space X = R n. A vector x X is a portfolio. Even though we like to see a vector as coordinate-free,
More informationChain conditions, layered partial orders and weak compactness
Chain conditions, layered partial orders and weak compactness Philipp Moritz Lücke Joint work with Sean D. Cox (VCU Richmond) Mathematisches Institut Rheinische Friedrich-Wilhelms-Universität Bonn http://www.math.uni-bonn.de/people/pluecke/
More informationAnalysis of Variance in Matrix form
Analysis of Variance in Matrix form The ANOVA table sums of squares, SSTO, SSR and SSE can all be expressed in matrix form as follows. week 9 Multiple Regression A multiple regression model is a model
More informationarxiv: v1 [math.dg] 31 Mar 2014 Generalized Similar Frenet Curves
arxiv:14037908v1 [mathdg] 31 Mar 2014 Generalize Similar Frenet Curves Fatma GÖKÇELİK, Seher KAYA, Yusuf YAYLI, an F Nejat EKMEKCİ Abstract The paper is evote to ifferential geometric invariants etermining
More informationEco 504, Macroeconomic Theory II Final exam, Part 1, Monetary Theory and Policy, with Solutions
Eco 504, Part 1, Spring 2006 504_F1s_S06.tex Lars Svensson 3/16/06 Eco 504, Macroeconomic Theory II Final exam, Part 1, Monetary Theory and Policy, with Solutions Answer all questions. You have 120 minutes
More informationP VaR0.01 (X) > 2 VaR 0.01 (X). (10 p) Problem 4
KTH Mathematics Examination in SF2980 Risk Management, December 13, 2012, 8:00 13:00. Examiner : Filip indskog, tel. 790 7217, e-mail: lindskog@kth.se Allowed technical aids and literature : a calculator,
More informationPlayer B ensure a. is the biggest payoff to player A. L R Assume there is no dominant strategy That means a
Endogenou Timing irt half baed on Hamilton & Slutky. "Endogenizing the Order of Move in Matrix Game." Theory and Deciion. 99 Second half baed on Hamilton & Slutky. "Endogenou Timing in Duopoly Game: Stackelberg
More informationRisk Neutral Measures
CHPTER 4 Risk Neutral Measures Our aim in this section is to show how risk neutral measures can be used to price derivative securities. The key advantage is that under a risk neutral measure the discounted
More informationEuropean call option with inflation-linked strike
Mathematical Statistics Stockholm University European call option with inflation-linked strike Ola Hammarlid Research Report 2010:2 ISSN 1650-0377 Postal address: Mathematical Statistics Dept. of Mathematics
More informationInterest rate models and Solvency II
www.nr.no Outline Desired properties of interest rate models in a Solvency II setting. A review of three well-known interest rate models A real example from a Norwegian insurance company 2 Interest rate
More informationModeling Portfolios that Contain Risky Assets Risk and Reward III: Basic Markowitz Portfolio Theory
Modeling Portfolios that Contain Risky Assets Risk and Reward III: Basic Markowitz Portfolio Theory C. David Levermore University of Maryland, College Park Math 420: Mathematical Modeling March 26, 2014
More informationThe Smarandache Curves on H 0
Gazi University Journal of Science GU J Sci 9():69-77 (6) The Smarandache Curves on H Murat SAVAS, Atakan Tugkan YAKUT,, Tugba TAMIRCI Gazi University, Faculty of Sciences, Department of Mathematics, 65
More informationLinear-Rational Term-Structure Models
Linear-Rational Term-Structure Models Anders Trolle (joint with Damir Filipović and Martin Larsson) Ecole Polytechnique Fédérale de Lausanne Swiss Finance Institute AMaMeF and Swissquote Conference, September
More informationAmerican options and early exercise
Chapter 3 American options and early exercise American options are contracts that may be exercised early, prior to expiry. These options are contrasted with European options for which exercise is only
More informationA Note on the No Arbitrage Condition for International Financial Markets
A Note on the No Arbitrage Condition for International Financial Markets FREDDY DELBAEN 1 Department of Mathematics Vrije Universiteit Brussel and HIROSHI SHIRAKAWA 2 Department of Industrial and Systems
More informationIt is a measure to compare bonds (among other things).
It is a measure to compare bonds (among other things). It provides an estimate of the volatility or the sensitivity of the market value of a bond to changes in interest rates. There are two very closely
More informationLab 10: Optimizing Revenue and Profits (Including Elasticity of Demand)
Lab 10: Optimizing Revenue and Profits (Including Elasticity of Demand) There's no doubt that the "bottom line" is the maximization of profit, at least to the CEO and shareholders. However, the sales director
More informationCharacterizing large cardinals in terms of layered partial orders
Characterizing large cardinals in terms of layered partial orders Philipp Moritz Lücke Joint work with Sean D. Cox (VCU Richmond) Mathematisches Institut Rheinische Friedrich-Wilhelms-Universität Bonn
More informationProblem Set 6 Solutions
Economic 3070 roblem et 6 olution. In a competitive market with no government intervention, the equilibrium price i $ an the equilibrium quantity i, 000 unit. Explain whether the market will clear uner
More informationLIBOR models, multi-curve extensions, and the pricing of callable structured derivatives
Weierstrass Institute for Applied Analysis and Stochastics LIBOR models, multi-curve extensions, and the pricing of callable structured derivatives John Schoenmakers 9th Summer School in Mathematical Finance
More information4: SINGLE-PERIOD MARKET MODELS
4: SINGLE-PERIOD MARKET MODELS Marek Rutkowski School of Mathematics and Statistics University of Sydney Semester 2, 2016 M. Rutkowski (USydney) Slides 4: Single-Period Market Models 1 / 87 General Single-Period
More information1 SE = Student Edition - TG = Teacher s Guide
Mathematics State Goal 6: Number Sense Standard 6A Representations and Ordering Read, Write, and Represent Numbers 6.8.01 Read, write, and recognize equivalent representations of integer powers of 10.
More information25. Interest rates models. MA6622, Ernesto Mordecki, CityU, HK, References for this Lecture:
25. Interest rates models MA6622, Ernesto Mordecki, CityU, HK, 2006. References for this Lecture: John C. Hull, Options, Futures & other Derivatives (Fourth Edition), Prentice Hall (2000) 1 Plan of Lecture
More informationConditional Square Functions and Dyadic Perturbations of the Sine-Cosine decomposition for Hardy Martingales
Conditional Square Functions and Dyadic Perturbations of the Sine-Cosine decomposition for Hardy Martingales arxiv:1611.02653v1 [math.fa] 8 Nov 2016 Paul F. X. Müller October 16, 2016 Abstract We prove
More informationNon replication of options
Non replication of options Christos Kountzakis, Ioannis A Polyrakis and Foivos Xanthos June 30, 2008 Abstract In this paper we study the scarcity of replication of options in the two period model of financial
More information3.4 Copula approach for modeling default dependency. Two aspects of modeling the default times of several obligors
3.4 Copula approach for modeling default dependency Two aspects of modeling the default times of several obligors 1. Default dynamics of a single obligor. 2. Model the dependence structure of defaults
More informationMethod of Characteristics
The Ryan C. Trinity University Partial Differential Equations January 22, 2015 Linear and Quasi-Linear (first order) PDEs A PDE of the form A(x,y) u x +B(x,y) u y +C 1(x,y)u = C 0 (x,y) is called a (first
More informationNotes on a Basic Business Problem MATH 104 and MATH 184 Mark Mac Lean (with assistance from Patrick Chan) 2011W
Notes on a Basic Business Problem MATH 104 and MATH 184 Mark Mac Lean (with assistance from Patrick Chan) 2011W This simple problem will introduce you to the basic ideas of revenue, cost, profit, and demand.
More informationCoale & Kisker approach
Coale & Kisker approach Often actuaries need to extrapolate mortality at old ages. Many authors impose q120 =1but the latter constraint is not compatible with forces of mortality; here, we impose µ110
More informationValuation of derivative assets Lecture 6
Valuation of derivative assets Lecture 6 Magnus Wiktorsson September 14, 2017 Magnus Wiktorsson L6 September 14, 2017 1 / 13 Feynman-Kac representation This is the link between a class of Partial Differential
More informationPigouvian Taxes as a Long-run Remedy for Externalities
Pigouvian Taxe a a Long-run Remedy for Externalitie Henrik Vetter Abtract: It ha been uggeted that price taking firm can not be regulated efficiently uing Pigouvian taxe when damage are enitive to cale
More informationChapter 2 Portfolio Management and the Capital Asset Pricing Model
Chapter 2 Portfolio Management and the Capital Asset Pricing Model In this chapter, we explore the issue of risk management in a portfolio of assets. The main issue is how to balance a portfolio, that
More informationLecture 8: Asset pricing
BURNABY SIMON FRASER UNIVERSITY BRITISH COLUMBIA Paul Klein Office: WMC 3635 Phone: (778) 782-9391 Email: paul klein 2@sfu.ca URL: http://paulklein.ca/newsite/teaching/483.php Economics 483 Advanced Topics
More informationUniform Refraction in Negative Refractive Index Materials
Haverford College Haverford Scholarship Faculty Publications Mathematics 2015 Uniform Refraction in Negative Refractive Index Materials Eric Stachura Haverford College, estachura@haverford.edu Cristian
More informationThe Lognormal Interest Rate Model and Eurodollar Futures
GLOBAL RESEARCH ANALYTICS The Lognormal Interest Rate Model and Eurodollar Futures CITICORP SECURITIES,INC. 399 Park Avenue New York, NY 143 Keith Weintraub Director, Analytics 1-559-97 Michael Hogan Ex
More informationSensing limitations in the Lion and Man problem
Sensing limitations in the Lion and Man problem Shaunak D. Bopardikar Francesco Bullo João P. Hespanha Abstract We address the discrete-time Lion and Man problem in a bounded, convex, planar environment
More informationarxiv: v1 [math.ap] 29 Dec 2018
Flow of elastic networks: long-time existence result Anna Dall Acqua Chun-Chi Lin and Paola Pozzi arxiv:1812.11367v1 [math.ap] 29 Dec 2018 January 1, 2019 Astract We provide a long-time existence and su-convergence
More informationModeling Portfolios that Contain Risky Assets Risk and Reward III: Basic Markowitz Portfolio Theory
Modeling Portfolios that Contain Risky Assets Risk and Reward III: Basic Markowitz Portfolio Theory C. David Levermore University of Maryland, College Park Math 420: Mathematical Modeling January 30, 2013
More information