Prof. B V S Viswanadham, Department of Civil Engineering, IIT Bombay

Size: px
Start display at page:

Download "Prof. B V S Viswanadham, Department of Civil Engineering, IIT Bombay"

Transcription

1 57

2 Module 4: Lecture 8 on Stress-strain relationship and Shear strength of soils

3 Contents Stress state, Mohr s circle analysis and Pole, Principal stressspace, Stress pathsin p-q space; Mohr-Coulomb failure criteria and its limitations, correlation with p-q space; Stress-strain behavior; Isotropic compression and pressure dependency, confined compression, large stress compression, Definition of failure, Interlocking concept and its interpretations, Triaxial behaviour, stress state and analysis of UC, UU, CU, CD, and other special tests, Drainage conditions; Stress paths in triaxial and octahedral plane; Elastic modulus from triaxial tests.

4 The triaxial test: Introduction Most widely used shear strength test and is suitable for all types of soil. A cylindrical specimen, generally L/D = 2 is used for the test, and stresses are applied under conditions of axial symmetry. Typical specimen diameters are 38mm and 100mm Axial stress Equal all round pressure Stress system in triaxial test

5 The triaxial test: Components Loading ram Perspex cell Porous discs Pressure supply to cell Latex sheet Soil sample To pore pressure measuring device

6 The triaxial test: Mechanism Intermediate principal stress σ 2 must be equal to major σ 1 or minor σ 3 stress, so as to facilitate representation of stress state in two dimensional Mohr s circle. A cylindrical specimen is placed inside Perspex cell filled with water. The specimen is covered with latex sheet so as to avoid direct contact with water. The specimen is loaded initially by surrounding water pressure so as to achieve isotropic loading conditions. A deviatoric stress is then applied gradually on the sample with the help of Ram axially. A duct at the bottom of the sample allows water to pass through the sample which is further monitored, or conversely, in some cases, no drainage is allowed.

7 The triaxial test: Mechanism Fine grained soil can stand the mould without any support But the coarse grained soils samples have to kept in some supporting mould until the application of negative pore pressure to the sample through drainage duct. So, u = u e (negative) σ a = σ r = 0 σ a = σ r = -u e where, σ a is the axial stress, σ r is the radial stress

8 The triaxial test: Mechanism If cell pressure increased to s cp, this isotropic pressure is taken entirely by the pore water. Thus pore pressure increases, but no change occurs in effective stresses. So, u i = σ cp + u e (negative) σ a σ a = σ r = σ cp σ r thus, σ a = σ r = -u e u u e = σ cp i.e. u = σ cp

9 Drainage conditions : Combinations in triaxial test Step 1 Step 2 Under all-around cell pressure σ c Shearing (loading) drainage valve condition drainage valve condition Open Closed Open Closed Consolidated sample Unconsolidated sample Drained loading Undrained loading CD CU UU

10 Drainage conditions : Combinations in triaxial test Unconfined Compressive test (UC) Unconsolidated Undrained test (UU) Consolidated Undrained test (CU) Applying back pressure: decreases cavitation, and reduction of voids. Consolidated Drained test (CD) Specimen is taken to failure with no confinement Specimen is taken to failure with no drainage permitted Drainage valve initially opened to allow pore pressure u i to dissipate to zero, and then closed so that specimen is taken to failure without any further drainage The drainage valve is initially opened to allow the pore pressure u i to dissipate to zero, and is kept open while the specimen is taken to failure at a sufficientlyslow rate.

11 Stresses and strains on a sample in the Triaxial compression test Axisymmetric condition, σ 2 = σ 3 or σ 2 = σ 3 ; ε 2 = ε 3 p = (σ 1 + 2σ 3 )/3 and p = (σ 1 + 2σ 3 )/3 p = p- u q = σ 1 - σ 3 ; q = σ 1 - σ 3 = (σ 1 - u) (σ 3 - u) = σ 1 - σ 3 Thus, q = q; Shear is unaffected by PWP. Deviator stress σ 1 - σ 3 = σ d = P/A Deviatoric strain ε d = 2/3( ε 1 - ε 3 ) Volumetric strain ε v = ε ε 3 Schematic of a Triaxial cell Axial total stress σ 1 = σ 3 + P/A Axial strain ε 1 = z/h o Radial strain ε r = r/r o

12 Consolidated- drained test (CD Test) σ = u + σ Step 1: At the end of consolidation σ V = σ V Drainage σ h 0 σ hc = σ hc Step 2: During axial stress increase σ V + σ σ V = σ V + σ = σ 1 Drainage σ hc 0 σ h = σ h = σ 3 Step 3: At failure σ VC + σ f σ Vf = σ V + σ f = σ 1f Drainage σ hc 0 σ hf = σ h = σ 3f

13 Consolidated- drained test (CD Test) σ 1 = σ VC + σ σ 3 = σ hc Deviator stress (q or σ d ) = σ 1 σ 3

14 Consolidated- drained test (CD Test) : Volume change of sample during consolidation Volume change of the sample Expansion Compression Time

15 CD Test :- Stress-strain relationship during shearing Deviator stress, σ d ( σ d ) f ( σ d ) f Axial strain Dense sand or OC clay Loose sand or NC Clay Volume change of the sample + - Loose sand /NC Clay Axial strain Dense sand or OC clay

16 CD tests : How to determine strength parameters c and φ Deviator stress, σ d ( σ d ) fc ( σ d ) fb ( σ d ) fa Confining stress = σ 3c Confining stress = σ 3b Confining stress = σ 3a σ 1 = σ 3 + ( σ d ) f σ 3 Shear stress, τ Mohr Coulomb failure envelope σ 3a σ 3b Axial strain σ 3c σ 1a σ 1b φ σ 1c σ or σ ( σ d ) fa ( σ d ) fb

17 CD tests Strength parameters c and φ obtained from CD tests Since u = 0 in CD tests, σ = σ Therefore, c = c and φ = φ Parameters are denoted as c d and φ d

18 CD tests : Failure envelopes For sand and NC Clay, c d = 0 φ d Shear stress, τ Mohr Coulomb failure envelope σ 3a σ 1a σ or σ ( σ d ) fa Therefore, one CD test would be sufficient to determine φ d of sand or NC clay

19 CD tests : Failure envelopes For OC Clay, c d 0 τ OC NC φ c σ 3 σ 1 ( σ d ) f σ c σ or σ

20 Stress paths during CD Test Stage1: Isotropic consolidation phase σ 1 = σ 1 = σ 3 = σ 3 ; σ 1 > 0; u = 0 (end of consolidation) p = p = ( σ σ 1 )/3 = σ 1 ; q = σ 1 - σ 3 = 0 q/ p = q/ p = 0 q = σ 1 -σ 3 σ 1 = σ 1 = σ 3 = σ 3 Consolidation phase σ 1 = σ 3 + P/A σ 3 = σ 1 u = 0 Shearing phase ESP = TSP p = (σ 1 + 2σ 3 )/3 p, p 1 3 p = σ 1 /3; q = σ 1 q/ p = 3 σ 3 = σ 3 σ 3 = 0 u = 0

21 Stress paths during CD Test Stage 2: Shearing phase σ 1 = σ 1 > 0 ; σ 3 = σ 3 = 0 ; u = 0; p = p = ( σ 1 )/3 = σ 1 /3 ; q = σ 1 - σ 3 = 0; = σ 1 ; q/ p = q/ p = 3

22 Consolidated- Undrained test (CU Test) Total, σ = Neutral, u + Effective, σ Step 1: At the end of consolidation σ VC σ hc 0 σ VC = σ VC σ hc = σ hc Drainage Step 2: During axial stress increase σ VC + σ σ V = σ VC + σ ± u = σ 1 No drainage X σ hc ± u σ h = σ hc ± u = σ 3 Step 3: At failure σ VC + σ f σ Vf = σ VC + σ f ± u f = σ 1f No drainage X σ hc ± u f σ hf = σ hc ± u f = σ 3f

23 Consolidated- Undrained test (CU Test) Volume change of sample during consolidation Volume change of the sample Expansion Compression Time

24 CU Test :- Stress-strain relationship during shearing Deviator stress, σ d ( σ d ) f ( σ d ) f Axial strain Dense sand or OC clay Loose sand or NC Clay Pore water pressure varies with axial strain + u - Loose sand /NC Clay Axial strain Dense sand or OC clay

25 CU tests :- How to determine strength parameters c and φ Deviator stress, σ d Shear stress, τ ( σ d ) fb ( σ d ) fa Mohr Coulomb failure envelope in terms of total stresses Confining stress = σ 3b Confining stress = σ 3a Axial strain φ cu σ 1 = σ 3 + ( σ d ) f σ 3 Total stresses at failure c cu σ 3a σ 3b ( σ d ) fa σ 1a σ 1b σ or σ

26 CU tests: Strength parameters c and φ σ 1 = σ 3 + ( σ d ) f - u f Shear stress, τ Mohr Coulomb failure envelope in terms of effective stresses Mohr Coulomb failure envelope in terms of total stresses φ φ cu σ 3 = σ 3 - u f u f Effective stresses at failure u fb c c cu σ u fa 3b σ 1b σ 3a σ 3b σ 3a σ 1a ( σ d ) fa σ 1a σ 1b σ or σ

27 CU tests Strength parameters c d and ϕ d obtained from CD tests Shear strength parameters in terms of total stresses are c cu and φ cu Shear strength parameters in terms of effective stresses are c and φ c = c d and φ = φ d

28 Stress paths during CU Test Stage1: Isotropic consolidation phase σ 1 = σ 1 = σ 3 = σ 3 ; σ 1 > 0; u = 0 (end of consolidation) p = p = ( σ σ 1 )/3 = σ 1 ; q = σ 1 - σ 3 = 0 q/ p = q/ p = 0 q = σ 1 -σ 3 σ 1 = σ 1 = σ 3 = σ 3 ESP Con. phase σ 1 = σ 3 + P/A σ 1 = σ 1 - u σ 3 = σ 1 u = 0 u TSP q/ p = 3 p = (σ 1 + 2σ 3 )/3 p, p 1 Shearing phase 3 p = σ 1 /3; q = σ 1 σ 3 = 0 u 0 σ 3 = σ 3 - u = - u

29 Stress paths during CU Test Stage 2: Shearing phase σ 1 > 0; σ 3 = 0; σ 1 = σ 1 - u = 0; σ 3 = - u p = ( σ 1 )/3 ; q = σ 1, q/ p = 3 [For TSP] p = p - u = ( σ 1 )/3 - u; [For ESP] q = σ 1 ; q/ p = σ 1 /( σ 1 /3- u) = 3/[1-3( u/ σ 1 )]

30 Stress conditions for the UU test The purpose of UU test is to determine the undrained shear strength of a saturated soil. Quick test (Neither during consolidation and shearing stages, excess PWP is allowed to drain).

31 Mohr failure envelopes for UU tests For 100% saturated clay For partially saturated clay

32 Total stress path during UU Test Initial stage σ 1 = σ 3 ; u 0 p = σ 1, q= 0; q/ p = 0 q = σ 1 -σ 3 TSP σ 1 = σ 3 + P/A σ 3 u 0 Shearing phase σ 1 > 0 ; σ 3 = 0 p = σ 1 /3; q/ p = 3 3 p = σ 1 /3 ; q = σ 1 q/ p = 3 1 p = (σ 1 + 2σ 3 )/3 p

33 Unconfined compressive (UC) test To determine the un-drained shear strength of saturated clays quickly. No radial stress (σ 3 = 0) Deviator load is increased rapidly until the soil sample fails; Pore water can not drain from the soil; the soil sample is sheared at constant volume. σ 1 σ 3 = 0 (After

34 Stress conditions for the UC test

35 Total stress path during UC Test The effective stress path is unknown since PWP changes are not normally measured. If u is measured, it would be negative. Since σ 3 = 0, σ 3 = σ 3 - u = - u u must be ve because as σ 3 can not be ve (soils can not sustain tension). So σ 3 must be +ve. q = σ 1 -σ 3 TSP p = σ 1 /3; q/ p = p = (σ 1 + 2σ 3 )/3 p, p

36 Mohr Circles for UCS The results of from UC tests can lead to: Estimate the short-term bearing capacity of fine-grained soils for foundations. Estimate the short-term stability of slopes. Determine the stressstrain characteristics under fast (un-drained loading conditions. c u τ Total stress Mohr Circle Failure envelope 45 u Failure plane Effective stress Circle not determined UC test σ, σ

37 Typical variation of σ 1 with ε 1 (UCS Test) σ 1 (kpa) C u = 136/2 = 68 kpa ε 1 (-)

38 Consolidated undrained triaxial tests on Silty sand Property Unit Silty sand Specific gravity (Gs) - a 2.64 Particle size distribution Sand (S) % 80 Silt (M) % 10 Clay (C) % 10 Classification (Unified soil classification system) - a SM Compaction characteristics (standard Proctor) Maximum dry unit weight (MDD) kn/m Optimum moisture content (OMC) % 10.5 Co-efficient of permeability (k) m/sec 4.0 x 10-7

39 Deviator stress (kpa) σ' = 50 kpa σ' = 100 kpa σ' = 150 kpa Axial strain (%) Variation in deviator stress with axial strain

40 200 Excess pore water pressure (kpa) σ' = 50 kpa σ' = 100 kpa σ' = 150 kpa Axial strain (%) Variation in excess pore water pressure with axial strain

41 Status of silty sand sample after CU test

42 Variation in stress path at various effective stress Cambridge stress path is plotted between p or p and q. Where, q (kpa) TSP, σ' = 50 kpa TSP, σ' = 100 kpa TSP, σ' = 150 kpa ESP, σ' = 50 kpa ESP, σ' = 100 kpa ESP, σ' = 150 kpa Failure envelope p = (σ 1 + 2σ 3 )/3 p = (σ 1 + 2σ 3 )/3 q = q = (σ 1 - σ 3 ) p, p' (kpa)

43 Mohr circles for consolidated un-drained tests on silty sand Shear stress (kpa) Effective parameter (σ' = 50 kpa) Effective parameter (σ' = 150 kpa) Effective parameter (σ' = 100 kpa) Total parameter (σ' = 50 kpa) Total parameter (σ' = 100 kpa) Total parameter (σ' = 150 kpa) Failure envelopes c' = 2 kpa φ ' =35 c = 7 kpa φ = Normal stress (kpa)

44 Results of CU triaxial tests on Fine Sand Max void ratio = Min void ratio = Void ratio after consolidation stage i) e (σ = 50 kpa) = ii) e (σ = 100 kpa) = Deviator stress (kpa) Effective stress = 50 kpa Effective stress = 100 kpa Axis Strain (%) Variation in deviator stress with axial strain

45 Excess pore water pressure (kpa) Effective stress = 50 kpa Effective stress = 100 kpa Axis strain (%) Variation in excess pore water pressure with axial strain

46 q, q' (kpa) Effective stress = 50 kpa Effective stress = 100 kpa p (kpa) Variation of ESP at various effective stresses q, q' (kpa) Variation of TSP at various effective stresses Effective stress = 50 kpa Effective stress = 100 kpa p' (kpa) At failure

47 π/ /2 Status of sample after termination of CU test

Consolidation of Clays

Consolidation of Clays Consolidation of Clays N. Sivakugan Duration: 17 minutes 1 What is Consolidation? When a saturated clay is loaded externally, GL saturated clay the water is squeezed out of the clay over a long time (due

More information

Geology 3120 Powerpoint notes available online at:

Geology 3120 Powerpoint notes available online at: Geology 3120 Powerpoint notes available online at: http://www.colorado/edu/geolsci/courses/geol3120 Geology 3120 - The Mohr Stress Diagram σ s 0 2Θ σ n Stress Space Outline Setting up the Problem The Mohr

More information

State of Stress in Three Dimensions

State of Stress in Three Dimensions State of Stress in Three Dimensions Theories of failure Introduction: Due to large numbers of examples of compound stresses met with in engineering practice, the cause of failure or permanent set under

More information

Prof. B V S Viswanadham, Department of Civil Engineering, IIT Bombay

Prof. B V S Viswanadham, Department of Civil Engineering, IIT Bombay 46 Module 3: Lecture - 8 on Compressibility and Consolidation Contents Stresses in soil from surface loads; Terzaghi s 1-D consolidation theory; Application in different boundary conditions; Ramp loading;

More information

Chapter (9) Sheet Pile Walls

Chapter (9) Sheet Pile Walls Chapter (9) Introduction Sheet piles are a temporary structures used to retain a soil or water for a specific period of time, to build a structure in the other side of this wall. For example; if we want

More information

UNIVERSITY OF CALIFORNIA College of Engineering Departments of Mechanical Engineering and Material Science & Engineering

UNIVERSITY OF CALIFORNIA College of Engineering Departments of Mechanical Engineering and Material Science & Engineering Fall 006 UNIVERSITY OF CALIFORNIA College of Engineering Departments of Mechanical Engineering and Material Science & Engineering MSEc113/MEc14 Mechanical Behavior of Materials Midterm #1 September 19

More information

OHIO DEPARTMENT OF TRANSPORTATION. PROPOSAL for the GEOTECHNICAL EXPLORATION <COUNTY-ROUTE-SECTION> <PID>

OHIO DEPARTMENT OF TRANSPORTATION. PROPOSAL for the GEOTECHNICAL EXPLORATION <COUNTY-ROUTE-SECTION> <PID> OHIO DEPARTMENT OF TRANSPORTATION OFFICE OF GEOTECHNICAL ENGINEERING PROPOSAL for the GEOTECHNICAL EXPLORATION Instructions: Enter data in the shaded cells only. (Enter state route number, project description,county,

More information

MECHANICS OF MATERIALS

MECHANICS OF MATERIALS CHAPTER 7 Transformations MECHANICS OF MATERIALS Ferdinand P. Beer E. Russell Johnston, Jr. John T. DeWolf Lecture Notes: J. Walt Oler Texas Tech Universit of Stress and Strain 006 The McGraw-Hill Companies,

More information

Hoek-Brown model for description of short and long term be. rocks

Hoek-Brown model for description of short and long term be. rocks Hoek-Brown model for description of short and long term behavior of rocks Andrzej Truty CUT & ZACE Services 31.08.2012 Hoek s web page Here we can find lot of useful information on basic H-B model and

More information

Study of Minimum Void Ratio for Soils with a Range of Grain-Size Distributions

Study of Minimum Void Ratio for Soils with a Range of Grain-Size Distributions University of Massachusetts Amherst ScholarWorks@UMass Amherst Geotechnical Engineering Masters Projects Civil and Environmental Engineering 2013 Study of Minimum Void Ratio for Soils with a Range of Grain-Size

More information

AOE 3024: Thin Walled Structures Solutions to Homework # 4

AOE 3024: Thin Walled Structures Solutions to Homework # 4 AOE 34: Thin Walled Structures Solutions to The state of stress at a point in a component is given as σ xx τ xy τ xz 4 4 [σ] = τ yx σ yy τ yz = 4 5 MPa () τ zx τ zy σ zz a) Determine the factor of safety

More information

Consumption and Savings (Continued)

Consumption and Savings (Continued) Consumption and Savings (Continued) Lecture 9 Topics in Macroeconomics November 5, 2007 Lecture 9 1/16 Topics in Macroeconomics The Solow Model and Savings Behaviour Today: Consumption and Savings Solow

More information

Subsoil Exploration. Foundation Engineering. Solution Givens:

Subsoil Exploration. Foundation Engineering. Solution Givens: Problems: 1. Site investigation is to be made for a structure of 100m length and 70m width. The soil profile is shown below, if the structure is subjected to 200 KN/m 2 what is the approximate depth of

More information

2012 Tailings Management Assessment Report Oil Sands Mining Industry

2012 Tailings Management Assessment Report Oil Sands Mining Industry 2012 Tailings Management Assessment Report Oil Sands Mining Industry June 2013 ENERGY RESOURCES CONSERVATION BOARD 2012 Tailings Management Assessment Report: Oil Sands Mining Industry June 2013 Published

More information

Influences of Strength Parameters Polymorphic Distribution on. Instability Probability of Slope Based on M-C Method

Influences of Strength Parameters Polymorphic Distribution on. Instability Probability of Slope Based on M-C Method International Forum on Energy, Environment Science and Materials (IFEESM 217) Influences of Strength Parameters Polymorphic Distribution on Instability Probability of Slope Based on M-C Method Yi Liu1,a,Ningyu

More information

SOLUTIONS TO CHAPTER 10 EXERCISES: HOPPER DESIGN

SOLUTIONS TO CHAPTER 10 EXERCISES: HOPPER DESIGN SOLUTIONS TO CHAPTER 10 EXERCISES: HOPPER DESIGN EXERCISE 10.1: Shear cell tests on a powder show that its effective angle of internal friction is 40 and its powder flow function can be represented by

More information

Plastic Failure of locally supported Silos with U-shaped longitudinal Stiffeners

Plastic Failure of locally supported Silos with U-shaped longitudinal Stiffeners Plastic Failure of locally supported Silos with U-shaped longitudinal Stiffeners *Arne Jansseune 1), Wouter De Corte 2) and Rudy Van Impe 3) 1), 2) Department of Civil Engineering, Associated Faculty of

More information

Unit M2.2 (All About) Stress

Unit M2.2 (All About) Stress Unit M. (All About) Stress Readings: CDL 4., 4.3, 4.4 16.001/00 -- Unified Engineering Department of Aeronautics and Astronautics Massachusetts Institute of Technology LEARNING OBJECTIVES FOR UNIT M. Through

More information

FOR FOR KANPUR, U.P.

FOR FOR KANPUR, U.P. NIT No.: NRO/CON/752/642 CONDITIONS OF CONTRACT FOR GEOTECHNICAL SOIL INVESTIGATION WORK FOR ARTIFICIAL LIMBS MANUFACTURING CORPORATION OF INDIA (ALIMCO) AT KANPUR, U.P. Page 1 of 11 CONDITIONS OF CONTRACT

More information

Achieving Actuarial Balance in Social Security: Measuring the Welfare Effects on Individuals

Achieving Actuarial Balance in Social Security: Measuring the Welfare Effects on Individuals Achieving Actuarial Balance in Social Security: Measuring the Welfare Effects on Individuals Selahattin İmrohoroğlu 1 Shinichi Nishiyama 2 1 University of Southern California (selo@marshall.usc.edu) 2

More information

Principal Stresses: Interpreting Principal Stresses

Principal Stresses: Interpreting Principal Stresses Principal Stresses: This document talks about the principal stresses in a gross sense than its theoretical explanations. And, here I go... Most of the times we do wonder what use are these principal stresses

More information

Using Fiber Reinforced Polymer to Restore Deteriorated Structural Members

Using Fiber Reinforced Polymer to Restore Deteriorated Structural Members International Journal of Material and Mechanical Engineering, 01, 1: 1-7 - 1 - Published Online April 01 http://www.ijm-me.org Using Fiber Reinforced Polymer to Restore Deteriorated Structural Members

More information

SAMPLE PROJECT IN LONDON DOCUMENT NO. STR-CALC UNITISED CURTAIN WALL 65 ENGINEER PROJECT. Pages REVISION TITLE

SAMPLE PROJECT IN LONDON DOCUMENT NO. STR-CALC UNITISED CURTAIN WALL 65 ENGINEER PROJECT. Pages REVISION TITLE PROJECT ENGINEER DOCUMENT NO. STR-CALC-253 0 REVISION TITLE Pages UNITISED CURTAIN WALL 65 UNITISED CURTAIN WALL 2 of 65 Contents 1 Basic Data... 3 1.1 References... 3 1.2 Materials... 3 1.3 Loads... 4

More information

18. Tensor Transformation of Stresses

18. Tensor Transformation of Stresses I Main Topics A Objective B Approach C Derivation D Eample 10/15/18 GG303 1 18. Mohr Circle for Tractions rom King et al., 1994 (ig. 11) Coulomb stress change caused b the Landers rupture. The left-lateral

More information

Outline Brownian Process Continuity of Sample Paths Differentiability of Sample Paths Simulating Sample Paths Hitting times and Maximum

Outline Brownian Process Continuity of Sample Paths Differentiability of Sample Paths Simulating Sample Paths Hitting times and Maximum Normal Distribution and Brownian Process Page 1 Outline Brownian Process Continuity of Sample Paths Differentiability of Sample Paths Simulating Sample Paths Hitting times and Maximum Searching for a Continuous-time

More information

EASTERN KENTUCKY UNIVERSITY Serving Kentuckians Since Lancaster Avenue CPO 6A-1 Richmond, KY

EASTERN KENTUCKY UNIVERSITY Serving Kentuckians Since Lancaster Avenue CPO 6A-1 Richmond, KY Office of Finance & Administration Division of Capital Construction & Project Administration EASTERN KENTUCKY UNIVERSITY Serving Kentuckians Since 1906 521 Lancaster Avenue CPO 6A-1 Richmond, KY 40475-3102

More information

MATH3075/3975 FINANCIAL MATHEMATICS TUTORIAL PROBLEMS

MATH3075/3975 FINANCIAL MATHEMATICS TUTORIAL PROBLEMS MATH307/37 FINANCIAL MATHEMATICS TUTORIAL PROBLEMS School of Mathematics and Statistics Semester, 04 Tutorial problems should be used to test your mathematical skills and understanding of the lecture material.

More information

Six Sigma Quick Switching Variables Sampling System Indexed by Six Sigma Quality Levels

Six Sigma Quick Switching Variables Sampling System Indexed by Six Sigma Quality Levels Six Sigma Quick Switching Variables Sampling System Indexed by Six Sigma Quality Levels Dr D Senthilkumar Associate Professor Department of Statistics, PSG College of Arts and Science, Coimbatore 64 04

More information

Competitive Markets. Market supply Competitive equilibrium Total surplus and efficiency Taxes and subsidies Price maintenance Application: Imports

Competitive Markets. Market supply Competitive equilibrium Total surplus and efficiency Taxes and subsidies Price maintenance Application: Imports Competitive Markets Market supply Competitive equilibrium Total surplus and efficiency Taxes and subsidies Price maintenance Application: Imports Three fundamental characteristics 1) Price taking behaviour:

More information

Numerical Methods in Option Pricing (Part III)

Numerical Methods in Option Pricing (Part III) Numerical Methods in Option Pricing (Part III) E. Explicit Finite Differences. Use of the Forward, Central, and Symmetric Central a. In order to obtain an explicit solution for the price of the derivative,

More information

Lecture 5. Xavier Gabaix. March 4, 2004

Lecture 5. Xavier Gabaix. March 4, 2004 14.127 Lecture 5 Xavier Gabaix March 4, 2004 0.1 Welfare and noise. A compliment Two firms produce roughly identical goods Demand of firm 1 is where ε 1, ε 2 are iid N (0, 1). D 1 = P (q p 1 + σε 1 > q

More information

CREATING A PERFORMANCE-BASED ASPHALT MIX DESIGN TO INCORPORATE UINTA BASIN OIL SANDS. Michael C. Vrtis

CREATING A PERFORMANCE-BASED ASPHALT MIX DESIGN TO INCORPORATE UINTA BASIN OIL SANDS. Michael C. Vrtis CREATING A PERFORMANCE-BASED ASPHALT MIX DESIGN TO INCORPORATE UINTA BASIN OIL SANDS by Michael C. Vrtis A thesis submitted to the faculty of The University of Utah in partial fulfillment of the requirements

More information

Topic 2-3: Policy Design: Unemployment Insurance and Moral Hazard

Topic 2-3: Policy Design: Unemployment Insurance and Moral Hazard Introduction Trade-off Optimal UI Empirical Topic 2-3: Policy Design: Unemployment Insurance and Moral Hazard Johannes Spinnewijn London School of Economics Lecture Notes for Ec426 1 / 27 Introduction

More information

Connecting Garage Door Jambs to Building Framing

Connecting Garage Door Jambs to Building Framing Connecting Garage Door Jambs to Building Framing Introduction The members of DASMA recognize that connecting garage doors to building framing is as important as the design of garage doors themselves. The

More information

The Higgs Particle Mass, Width and Couplings Seminar Particle Physics at the LHC

The Higgs Particle Mass, Width and Couplings Seminar Particle Physics at the LHC The Higgs Particle, and Seminar Particle Physics at the LHC Freiburg, 22.07.2014 Albert-Ludwigs-Universität Freiburg Michael Schubert Contents 2/54 introduction We found a Higgs boson! So... What now?

More information

Comprehensive Exam. August 19, 2013

Comprehensive Exam. August 19, 2013 Comprehensive Exam August 19, 2013 You have a total of 180 minutes to complete the exam. If a question seems ambiguous, state why, sharpen it up and answer the sharpened-up question. Good luck! 1 1 Menu

More information

Normal Distribution. Definition A continuous rv X is said to have a normal distribution with. the pdf of X is

Normal Distribution. Definition A continuous rv X is said to have a normal distribution with. the pdf of X is Normal Distribution Normal Distribution Definition A continuous rv X is said to have a normal distribution with parameter µ and σ (µ and σ 2 ), where < µ < and σ > 0, if the pdf of X is f (x; µ, σ) = 1

More information

REVIEW : STRESS TRANFORMATIONS II SAMPLE PROBLEMS INTRODUCION TO MOHR S CIRCLE

REVIEW : STRESS TRANFORMATIONS II SAMPLE PROBLEMS INTRODUCION TO MOHR S CIRCLE LECTURE #16 : 3.11 MECHANICS OF MATERIALS F03 INSTRUCTOR : Professor Christine Ortiz OFFICE : 13-40 PHONE : 45-3084 WWW : http://web.mit.edu/cortiz/www REVIEW : STRESS TRANFORMATIONS II SAMPLE PROBLEMS

More information

Evaluation of stress intensity factor for cracks in graded materials using digital image correlation

Evaluation of stress intensity factor for cracks in graded materials using digital image correlation Evaluation of stress intensity factor for cracks in graded materials using digital image correlation Amit Kumar and Venkitanarayanan Parameswaran * Department of Mechanical Engineering Indian Institute

More information

Monte Carlo Methods for Uncertainty Quantification

Monte Carlo Methods for Uncertainty Quantification Monte Carlo Methods for Uncertainty Quantification Abdul-Lateef Haji-Ali Based on slides by: Mike Giles Mathematical Institute, University of Oxford Contemporary Numerical Techniques Haji-Ali (Oxford)

More information

INVITATION FOR QUOTATION. TEQIP-III/2018/gcej/Shopping/57

INVITATION FOR QUOTATION. TEQIP-III/2018/gcej/Shopping/57 INVITATION FOR QUOTATION TEQIP-III/2018/gcej/Shopping/57 26-Oct-2018 To, Sub: Invitation for Quotations for supply of Goods (Soil Lab.) Dear Sir, 1. You are invited to submit your most competitive quotation

More information

Combined mode I stress intensity factors of slanted cracks

Combined mode I stress intensity factors of slanted cracks IOP Conference Series: Materials Science and Engineering PAPER OPEN ACCESS Combined mode I stress intensity factors of slanted cracks To cite this article: A.E Ismail et al 2017 IOP Conf. Ser.: Mater.

More information

. Social Security Actuarial Balance in General Equilibrium. S. İmrohoroğlu (USC) and S. Nishiyama (CBO)

. Social Security Actuarial Balance in General Equilibrium. S. İmrohoroğlu (USC) and S. Nishiyama (CBO) ....... Social Security Actuarial Balance in General Equilibrium S. İmrohoroğlu (USC) and S. Nishiyama (CBO) Rapid Aging and Chinese Pension Reform, June 3, 2014 SHUFE, Shanghai ..... The results in this

More information

Investigation of Interaction between Guidewire and Native Vessel Using Finite Element Analysis

Investigation of Interaction between Guidewire and Native Vessel Using Finite Element Analysis Visit the SIMULIA Resource Center for more customer examples. Investigation of Interaction between Guidewire and Native Vessel Using Finite Element Analysis Atul Gupta 1, Subham Sett 2, Srinivasan Varahoor

More information

CIVL Confidence Intervals

CIVL Confidence Intervals CIVL 3103 Confidence Intervals Learning Objectives - Confidence Intervals Define confidence intervals, and explain their significance to point estimates. Identify and apply the appropriate confidence interval

More information

Lattice Model of System Evolution. Outline

Lattice Model of System Evolution. Outline Lattice Model of System Evolution Richard de Neufville Professor of Engineering Systems and of Civil and Environmental Engineering MIT Massachusetts Institute of Technology Lattice Model Slide 1 of 48

More information

Modelling the Sharpe ratio for investment strategies

Modelling the Sharpe ratio for investment strategies Modelling the Sharpe ratio for investment strategies Group 6 Sako Arts 0776148 Rik Coenders 0777004 Stefan Luijten 0783116 Ivo van Heck 0775551 Rik Hagelaars 0789883 Stephan van Driel 0858182 Ellen Cardinaels

More information

Topic 1: Policy Design: Unemployment Insurance and Moral Hazard

Topic 1: Policy Design: Unemployment Insurance and Moral Hazard Introduction Trade-off Optimal UI Empirical Topic 1: Policy Design: Unemployment Insurance and Moral Hazard Johannes Spinnewijn London School of Economics Lecture Notes for Ec426 1 / 39 Introduction Trade-off

More information

Unemployment Fluctuations and Nominal GDP Targeting

Unemployment Fluctuations and Nominal GDP Targeting Unemployment Fluctuations and Nominal GDP Targeting Roberto M. Billi Sveriges Riksbank 3 January 219 Abstract I evaluate the welfare performance of a target for the level of nominal GDP in the context

More information

DATA ANALYSIS EXAM QUESTIONS

DATA ANALYSIS EXAM QUESTIONS DATA ANALYSIS EXAM QUESTIONS Question 1 (**) The number of phone text messages send by 11 different students is given below. 14, 25, 31, 36, 37, 41, 51, 52, 55, 79, 112. a) Find the lower quartile, the

More information

SAQ KONTROLL AB Box 49306, STOCKHOLM, Sweden Tel: ; Fax:

SAQ KONTROLL AB Box 49306, STOCKHOLM, Sweden Tel: ; Fax: ProSINTAP - A Probabilistic Program for Safety Evaluation Peter Dillström SAQ / SINTAP / 09 SAQ KONTROLL AB Box 49306, 100 29 STOCKHOLM, Sweden Tel: +46 8 617 40 00; Fax: +46 8 651 70 43 June 1999 Page

More information

Repeated Games. EC202 Lectures IX & X. Francesco Nava. January London School of Economics. Nava (LSE) EC202 Lectures IX & X Jan / 16

Repeated Games. EC202 Lectures IX & X. Francesco Nava. January London School of Economics. Nava (LSE) EC202 Lectures IX & X Jan / 16 Repeated Games EC202 Lectures IX & X Francesco Nava London School of Economics January 2011 Nava (LSE) EC202 Lectures IX & X Jan 2011 1 / 16 Summary Repeated Games: Definitions: Feasible Payoffs Minmax

More information

Microeconomic Foundations of Incomplete Price Adjustment

Microeconomic Foundations of Incomplete Price Adjustment Chapter 6 Microeconomic Foundations of Incomplete Price Adjustment In Romer s IS/MP/IA model, we assume prices/inflation adjust imperfectly when output changes. Empirically, there is a negative relationship

More information

INTERTEMPORAL ASSET ALLOCATION: THEORY

INTERTEMPORAL ASSET ALLOCATION: THEORY INTERTEMPORAL ASSET ALLOCATION: THEORY Multi-Period Model The agent acts as a price-taker in asset markets and then chooses today s consumption and asset shares to maximise lifetime utility. This multi-period

More information

Tests for Two ROC Curves

Tests for Two ROC Curves Chapter 65 Tests for Two ROC Curves Introduction Receiver operating characteristic (ROC) curves are used to summarize the accuracy of diagnostic tests. The technique is used when a criterion variable is

More information

Chapter URL:

Chapter URL: This PDF is a selection from an out-of-print volume from the National Bureau of Economic Research Volume Title: Orders, Production, and Investment: A Cyclical and Structural Analysis Volume Author/Editor:

More information

FIN FINANCIAL INSTRUMENTS SPRING 2008

FIN FINANCIAL INSTRUMENTS SPRING 2008 FIN-40008 FINANCIAL INSTRUMENTS SPRING 2008 OPTION RISK Introduction In these notes we consider the risk of an option and relate it to the standard capital asset pricing model. If we are simply interested

More information

Confronting Theory with Experimental Data and vice versa. Lecture IV Procedural rationality. The Norwegian School of Economics

Confronting Theory with Experimental Data and vice versa. Lecture IV Procedural rationality. The Norwegian School of Economics Confronting Theory with Experimental Data and vice versa Lecture IV Procedural rationality The Norwegian School of Economics Procedural rationality How subjects come to make decisions that are consistent

More information

No. F. DTU/SP/211/04-01/18-19 NOTICE INVITING TENDER

No. F. DTU/SP/211/04-01/18-19 NOTICE INVITING TENDER GOVERNMENT OF NATIONAL CAPITAL TERRITORY OF DELHI DELHI TECHNOLOGICAL UNIVERSITY (FORMERLY DELHI COLLEGE OF ENGINEERING) Ph. 27871018 SHAHBAD DAULATPUR: BAWANA ROAD: DELHI-110 042 No. F. DTU/SP/211/04-01/18-19

More information

Tests for the Difference Between Two Linear Regression Intercepts

Tests for the Difference Between Two Linear Regression Intercepts Chapter 853 Tests for the Difference Between Two Linear Regression Intercepts Introduction Linear regression is a commonly used procedure in statistical analysis. One of the main objectives in linear regression

More information

Final Exam (Solutions) ECON 4310, Fall 2014

Final Exam (Solutions) ECON 4310, Fall 2014 Final Exam (Solutions) ECON 4310, Fall 2014 1. Do not write with pencil, please use a ball-pen instead. 2. Please answer in English. Solutions without traceable outlines, as well as those with unreadable

More information

Mixed Models Tests for the Slope Difference in a 3-Level Hierarchical Design with Random Slopes (Level-3 Randomization)

Mixed Models Tests for the Slope Difference in a 3-Level Hierarchical Design with Random Slopes (Level-3 Randomization) Chapter 375 Mixed Models Tests for the Slope Difference in a 3-Level Hierarchical Design with Random Slopes (Level-3 Randomization) Introduction This procedure calculates power and sample size for a three-level

More information

DATA SUMMARIZATION AND VISUALIZATION

DATA SUMMARIZATION AND VISUALIZATION APPENDIX DATA SUMMARIZATION AND VISUALIZATION PART 1 SUMMARIZATION 1: BUILDING BLOCKS OF DATA ANALYSIS 294 PART 2 PART 3 PART 4 VISUALIZATION: GRAPHS AND TABLES FOR SUMMARIZING AND ORGANIZING DATA 296

More information

Lectures 9 and 10: Optimal Income Taxes and Transfers

Lectures 9 and 10: Optimal Income Taxes and Transfers Lectures 9 and 10: Optimal Income Taxes and Transfers Johannes Spinnewijn London School of Economics Lecture Notes for Ec426 1 / 36 Agenda 1 Redistribution vs. Effi ciency 2 The Mirrlees optimal nonlinear

More information

Financial Risk Management

Financial Risk Management Financial Risk Management Professor: Thierry Roncalli Evry University Assistant: Enareta Kurtbegu Evry University Tutorial exercices #4 1 Correlation and copulas 1. The bivariate Gaussian copula is given

More information

ECE6604 PERSONAL & MOBILE COMMUNICATIONS. Lecture 3. Interference and Shadow Margins, Handoff Gain, Coverage

ECE6604 PERSONAL & MOBILE COMMUNICATIONS. Lecture 3. Interference and Shadow Margins, Handoff Gain, Coverage ECE6604 PERSONAL & MOBILE COMMUNICATIONS Lecture 3 Interference and Shadow Margins, Handoff Gain, Coverage 1 Interference Margin As the subscriber load increases, additional interference is generated from

More information

Lecture notes on risk management, public policy, and the financial system Credit risk models

Lecture notes on risk management, public policy, and the financial system Credit risk models Lecture notes on risk management, public policy, and the financial system Allan M. Malz Columbia University 2018 Allan M. Malz Last updated: June 8, 2018 2 / 24 Outline 3/24 Credit risk metrics and models

More information

Heterogeneous borrowers in quantitative models of sovereign default

Heterogeneous borrowers in quantitative models of sovereign default Heterogeneous borrowers in quantitative models of sovereign default J.C. Hatchondo, L. Martinez and H. Sapriza October, 2012 1 / 25 Elections and Sovereign Bond in Brasil 2 / 25 Stylized facts Declaration

More information

Optimally Thresholded Realized Power Variations for Lévy Jump Diffusion Models

Optimally Thresholded Realized Power Variations for Lévy Jump Diffusion Models Optimally Thresholded Realized Power Variations for Lévy Jump Diffusion Models José E. Figueroa-López 1 1 Department of Statistics Purdue University University of Missouri-Kansas City Department of Mathematics

More information

INSTITUTE AND FACULTY OF ACTUARIES. Curriculum 2019 SPECIMEN SOLUTIONS

INSTITUTE AND FACULTY OF ACTUARIES. Curriculum 2019 SPECIMEN SOLUTIONS INSTITUTE AND FACULTY OF ACTUARIES Curriculum 2019 SPECIMEN SOLUTIONS Subject CM1A Actuarial Mathematics Institute and Faculty of Actuaries 1 ( 91 ( 91 365 1 0.08 1 i = + 365 ( 91 365 0.980055 = 1+ i 1+

More information

SELFIS: A Short Tutorial

SELFIS: A Short Tutorial SELFIS: A Short Tutorial Thomas Karagiannis (tkarag@csucredu) November 8, 2002 This document is a short tutorial of the SELF-similarity analysis software tool Section 1 presents briefly useful definitions

More information

145 V PTC Thermistors For Overload Protection

145 V PTC Thermistors For Overload Protection FEATURES Wide range of trip and non-trip currents: From 47 ma up to A for the non-trip current Small ratio between trip and non-trip currents (I t /I nt =.5 at 25 C) High maximum inrush current (up to

More information

ETN Evo. Plastic Lined Magnetic Drive Centrifugal Pumps. ETN Evo 50 ETFE. Pompe S.r.l. Comply to : 2006/42/CE. Design to : sub - ISO 2858

ETN Evo. Plastic Lined Magnetic Drive Centrifugal Pumps. ETN Evo 50 ETFE. Pompe S.r.l. Comply to : 2006/42/CE. Design to : sub - ISO 2858 ETN Evo Plastic Lined Magnetic Drive Centrifugal Pumps ETN Evo 50 ETFE Plastic and Fluoroplastic Lined Magnetic drive Horizontal - Single Stage - Centrifugal pumps Sub-ISO designed Lining: PP (Polypropylene),

More information

SOLANO COMMUNITY COLLEGE DISTRICT GOVERNING BOARD AGENDA ITEM

SOLANO COMMUNITY COLLEGE DISTRICT GOVERNING BOARD AGENDA ITEM AGENDA ITEM MEETING DATE June 21, 2017 SOLANO COMMUNITY COLLEGE DISTRICT GOVERNING BOARD AGENDA ITEM TO: SUBJECT: Members of the Governing Board CONTRACT AWARD TO NINYO & MOORE FOR SPECIAL INSPECTION AND

More information

IAPM June 2012 Second Semester Solutions

IAPM June 2012 Second Semester Solutions IAPM June 202 Second Semester Solutions The calculations are given below. A good answer requires both the correct calculations and an explanation of the calculations. Marks are lost if explanation is absent.

More information

THE TRAVELING SALESMAN PROBLEM FOR MOVING POINTS ON A LINE

THE TRAVELING SALESMAN PROBLEM FOR MOVING POINTS ON A LINE THE TRAVELING SALESMAN PROBLEM FOR MOVING POINTS ON A LINE GÜNTER ROTE Abstract. A salesperson wants to visit each of n objects that move on a line at given constant speeds in the shortest possible time,

More information

Default Fund Manual. Calculation Methodology of the Contribution Quota to the Default Fund Energy Derivatives Section

Default Fund Manual. Calculation Methodology of the Contribution Quota to the Default Fund Energy Derivatives Section Default Fund Manual Calculation Methodology of the Contribution Quota to the Default Fund Energy Derivatives Section Version 1.3 - September 2017 Contents 1.0 Foreword...3 2.0 Parameters...4 3.0 Calculation

More information

Energy Price Processes

Energy Price Processes Energy Processes Used for Derivatives Pricing & Risk Management In this first of three articles, we will describe the most commonly used process, Geometric Brownian Motion, and in the second and third

More information

Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios On Line Appendix

Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios On Line Appendix Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios On Line Appendix Daniel Paravisini Veronica Rappoport Enrichetta Ravina LSE, BREAD LSE, CEP Columbia GSB April 7, 2015 A Alternative

More information

Oracle Financial Services Market Risk User Guide

Oracle Financial Services Market Risk User Guide Oracle Financial Services User Guide Release 8.0.1.0.0 August 2016 Contents 1. INTRODUCTION... 1 1.1 PURPOSE... 1 1.2 SCOPE... 1 2. INSTALLING THE SOLUTION... 3 2.1 MODEL UPLOAD... 3 2.2 LOADING THE DATA...

More information

Review of Derivatives I. Matti Suominen, Aalto

Review of Derivatives I. Matti Suominen, Aalto Review of Derivatives I Matti Suominen, Aalto 25 SOME STATISTICS: World Financial Markets (trillion USD) 2 15 1 5 Securitized loans Corporate bonds Financial institutions' bonds Public debt Equity market

More information

ECO410H: Practice Questions 2 SOLUTIONS

ECO410H: Practice Questions 2 SOLUTIONS ECO410H: Practice Questions SOLUTIONS 1. (a) The unique Nash equilibrium strategy profile is s = (M, M). (b) The unique Nash equilibrium strategy profile is s = (R4, C3). (c) The two Nash equilibria are

More information

Copyright 2011 Pearson Education, Inc. Publishing as Addison-Wesley.

Copyright 2011 Pearson Education, Inc. Publishing as Addison-Wesley. Appendix: Statistics in Action Part I Financial Time Series 1. These data show the effects of stock splits. If you investigate further, you ll find that most of these splits (such as in May 1970) are 3-for-1

More information

Macroeconomic Analysis ECON 6022A Fall 2011 Problem Set 4

Macroeconomic Analysis ECON 6022A Fall 2011 Problem Set 4 Macroeconomic Analysis ECON 6022A Fall 2011 Problem Set 4 November 2, 2011 1 The price level and money demand Suppose the price level in the economy is P. Real money demand L(Y, i) is the same as we ve

More information

Calibration to Implied Volatility Data

Calibration to Implied Volatility Data Calibration to Implied Volatility Data Jean-Pierre Fouque University of California Santa Barbara 2008 Daiwa Lecture Series July 29 - August 1, 2008 Kyoto University, Kyoto 1 Calibration Formulas The implied

More information

University of Illinois at Urbana-Champaign College of Engineering

University of Illinois at Urbana-Champaign College of Engineering University of Illinois at Urbana-Champaign College of Engineering CEE 570 Finite Element Methods (in Solid and Structural Mechanics) Spring Semester 2014 Quiz #1 March 3, 2014 Name: SOLUTION ID#: PS.:

More information

Chapter 5. Continuous Random Variables and Probability Distributions. 5.1 Continuous Random Variables

Chapter 5. Continuous Random Variables and Probability Distributions. 5.1 Continuous Random Variables Chapter 5 Continuous Random Variables and Probability Distributions 5.1 Continuous Random Variables 1 2CHAPTER 5. CONTINUOUS RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS Probability Distributions Probability

More information

STATE UNIVERSITY OF NEW YORK AT ALBANY Department of Economics. Ph. D. Comprehensive Examination: Macroeconomics Fall, 2016

STATE UNIVERSITY OF NEW YORK AT ALBANY Department of Economics. Ph. D. Comprehensive Examination: Macroeconomics Fall, 2016 STATE UNIVERSITY OF NEW YORK AT ALBANY Department of Economics Ph. D. Comprehensive Examination: Macroeconomics Fall, 2016 Section 1. (Suggested Time: 45 Minutes) For 3 of the following 6 statements, state

More information

The Binomial Distribution

The Binomial Distribution The Binomial Distribution Properties of a Binomial Experiment 1. It consists of a fixed number of observations called trials. 2. Each trial can result in one of only two mutually exclusive outcomes labeled

More information

Extended field of application (EXAP) for reaction-to-fire Euro-classification of optical fibre cables

Extended field of application (EXAP) for reaction-to-fire Euro-classification of optical fibre cables SP Technical Research Institute of Sweden Extended field of application (EXAP) for reaction-to-fire Euro-ification of optical fibre cables Richard Johansson, Johan Post, Michael Försth SP Report 2015:32

More information

AC Line Rated Ceramic Disc Capacitors Class X1, 400 V AC / Class Y4, 125 V AC

AC Line Rated Ceramic Disc Capacitors Class X1, 400 V AC / Class Y4, 125 V AC AC Line Rated Ceramic Disc Capacitors Class X1, V AC / Class Y4, 125 V AC FEATURES Complying with IEC 6384-14 3 rd edition High reliability Complete range of capacitance values Radial leads Singlelayer

More information

Multi-Asset Options. A Numerical Study VILHELM NIKLASSON FRIDA TIVEDAL. Master s thesis in Engineering Mathematics and Computational Science

Multi-Asset Options. A Numerical Study VILHELM NIKLASSON FRIDA TIVEDAL. Master s thesis in Engineering Mathematics and Computational Science Multi-Asset Options A Numerical Study Master s thesis in Engineering Mathematics and Computational Science VILHELM NIKLASSON FRIDA TIVEDAL Department of Mathematical Sciences Chalmers University of Technology

More information

Skew Hedging. Szymon Borak Matthias R. Fengler Wolfgang K. Härdle. CASE-Center for Applied Statistics and Economics Humboldt-Universität zu Berlin

Skew Hedging. Szymon Borak Matthias R. Fengler Wolfgang K. Härdle. CASE-Center for Applied Statistics and Economics Humboldt-Universität zu Berlin Szymon Borak Matthias R. Fengler Wolfgang K. Härdle CASE-Center for Applied Statistics and Economics Humboldt-Universität zu Berlin 6 4 2.22 Motivation 1-1 Barrier options Knock-out options are financial

More information

Y t )+υ t. +φ ( Y t. Y t ) Y t. α ( r t. + ρ +θ π ( π t. + ρ

Y t )+υ t. +φ ( Y t. Y t ) Y t. α ( r t. + ρ +θ π ( π t. + ρ Macroeconomics ECON 2204 Prof. Murphy Problem Set 6 Answers Chapter 15 #1, 3, 4, 6, 7, 8, and 9 (on pages 462-63) 1. The five equations that make up the dynamic aggregate demand aggregate supply model

More information

Request for Proposal (RFP) for

Request for Proposal (RFP) for Charter Township of Canton Request for Proposal (RFP) for CANTON SPORTS CENTER BALL FIELD RENOVATION Contact: Brad Sharp Phone: 734 394-5363 E-mail: brad.sharp@canton-mi.org Date Issued: 3/16/2017 Due

More information

F A S C I C U L I M A T H E M A T I C I

F A S C I C U L I M A T H E M A T I C I F A S C I C U L I M A T H E M A T I C I Nr 38 27 Piotr P luciennik A MODIFIED CORRADO-MILLER IMPLIED VOLATILITY ESTIMATOR Abstract. The implied volatility, i.e. volatility calculated on the basis of option

More information

State Dependency of Monetary Policy: The Refinancing Channel

State Dependency of Monetary Policy: The Refinancing Channel State Dependency of Monetary Policy: The Refinancing Channel Martin Eichenbaum, Sergio Rebelo, and Arlene Wong May 2018 Motivation In the US, bulk of household borrowing is in fixed rate mortgages with

More information

Statistical Intervals. Chapter 7 Stat 4570/5570 Material from Devore s book (Ed 8), and Cengage

Statistical Intervals. Chapter 7 Stat 4570/5570 Material from Devore s book (Ed 8), and Cengage 7 Statistical Intervals Chapter 7 Stat 4570/5570 Material from Devore s book (Ed 8), and Cengage Confidence Intervals The CLT tells us that as the sample size n increases, the sample mean X is close to

More information

Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?

Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution? Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution? Jens H. E. Christensen & Glenn D. Rudebusch Federal Reserve Bank of San Francisco Term Structure Modeling and the Lower Bound Problem

More information

Debt Covenants and the Macroeconomy: The Interest Coverage Channel

Debt Covenants and the Macroeconomy: The Interest Coverage Channel Debt Covenants and the Macroeconomy: The Interest Coverage Channel Daniel L. Greenwald MIT Sloan EFA Lunch, April 19 Daniel L. Greenwald Debt Covenants and the Macroeconomy EFA Lunch, April 19 1 / 6 Introduction

More information