Abstract: A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, such as the assumption of constant interest rate and constant volatility. In fact, existing alternative models were found focusing more on demonstrating techniques for pricing, rather than empirical testing. Therefore, a mathematical model for pricing and analyzing equity warrants which comprises stochastic interest rate and stochastic volatility is essential to incorporate the dynamic relationships between the identified variables and illustrate the real market. Here, the aim is to develop dynamic pricing formulations for hybrid equity warrants by incorporating stochastic interest rates from the Cox-Ingersoll-Ross (CIR) model, along with stochastic volatility from the Heston model. The development of the model involves the derivations of stochastic differential equations that govern the model dynamics. The resulting equations which involve Cauchy problem and heat equations are then solved using partial differential equation approaches. The analytical pricing formulas obtained in this study comply with the form of analytical expressions embedded in the Black-Scholes model and other existing pricing models for equity warrants. This facilitates the practicality of this proposed formula for comparison purposes and further empirical study.
Abstract: We formulate and analyze a mathematical model
describing dynamics of the hypothalamus-pituitary-thyroid
homoeostatic mechanism in endocrine system. We introduce
to this system two types of couplings and delay. In our model,
feedback controls the secretion of thyroid hormones and delay
reflects time lags required for transportation of the hormones. The
influence of delayed feedback on the stability behaviour of the
system is discussed. Analytical results are illustrated by numerical
examples of the model dynamics. This system of equations describes
normal activity of the thyroid and also a couple of types of
malfunctions (e.g. hyperthyroidism).
Abstract: This paper presents a nonlinear differential model,
for a three-bladed horizontal axis wind turbine (HAWT) suited
for control applications. It is based on a 8-dofs, lumped
parameters structural dynamics coupled with a quasi-steady sectional
aerodynamics. In particular, using the Euler-Lagrange Equation
(Energetic Variation approach), the authors derive, and successively
validate, such model. For the derivation of the aerodynamic model,
the Greenbergs theory, an extension of the theory proposed by
Theodorsen to the case of thin airfoils undergoing pulsating flows,
is used. Specifically, in this work, the authors restricted that theory
under the hypothesis of low perturbation reduced frequency k,
which causes the lift deficiency function C(k) to be real and equal
to 1. Furthermore, the expressions of the aerodynamic loads are
obtained using the quasi-steady strip theory (Hodges and Ormiston),
as a function of the chordwise and normal components of relative
velocity between flow and airfoil Ut, Up, their derivatives, and
section angular velocity ε˙. For the validation of the proposed model,
the authors carried out open and closed-loop simulations of a 5
MW HAWT, characterized by radius R =61.5 m and by mean chord
c = 3 m, with a nominal angular velocity Ωn = 1.266rad/sec.
The first analysis performed is the steady state solution, where
a uniform wind Vw = 11.4 m/s is considered and a collective
pitch angle θ = 0.88◦ is imposed. During this step, the authors
noticed that the proposed model is intrinsically periodic due to
the effect of the wind and of the gravitational force. In order
to reject this periodic trend in the model dynamics, the authors
propose a collective repetitive control algorithm coupled with a PD
controller. In particular, when the reference command to be tracked
and/or the disturbance to be rejected are periodic signals with a
fixed period, the repetitive control strategies can be applied due to
their high precision, simple implementation and little performance
dependency on system parameters. The functional scheme of a
repetitive controller is quite simple and, given a periodic reference
command, is composed of a control block Crc(s) usually added
to an existing feedback control system. The control block contains
and a free time-delay system eτs in a positive feedback loop, and a
low-pass filter q(s). It should be noticed that, while the time delay
term reduces the stability margin, on the other hand the low pass
filter is added to ensure stability. It is worth noting that, in this
work, the authors propose a phase shifting for the controller and
the delay system has been modified as e^(−(T−γk)), where T is the
period of the signal and γk is a phase shifting of k samples of the
same periodic signal. It should be noticed that, the phase shifting
technique is particularly useful in non-minimum phase systems, such
as flexible structures. In fact, using the phase shifting, the iterative
algorithm could reach the convergence also at high frequencies.
Notice that, in our case study, the shifting of k samples depends
both on the rotor angular velocity Ω and on the rotor azimuth
angle Ψ: we refer to this controller as a spatial repetitive controller.
The collective repetitive controller has also been coupled with a C(s) = PD(s), in order to dampen oscillations of the blades.
The performance of the spatial repetitive controller is compared
with an industrial PI controller. In particular, starting from wind
speed velocity Vw = 11.4 m/s the controller is asked to maintain the
nominal angular velocity Ωn = 1.266rad/s after an instantaneous
increase of wind speed (Vw = 15 m/s). Then, a purely periodic
external disturbance is introduced in order to stress the capabilities
of the repetitive controller. The results of the simulations show that,
contrary to a simple PI controller, the spatial repetitive-PD controller
has the capability to reject both external disturbances and periodic
trend in the model dynamics. Finally, the nominal value of the
angular velocity is reached, in accordance with results obtained with
commercial software for a turbine of the same type.
Abstract: The existence of many biological systems,
especially human societies, is based on cooperative behavior
[1, 2]. If natural selection favors selfish individuals, then what
mechanism is at work that we see so many cooperative
behaviors? One answer is the effect of network structure. On a
graph, cooperators can evolve by forming network bunches
[2, 3, 4]. In a research, Ohtsuki et al used the idea of iterated
prisoners- dilemma on a graph to model an evolutionary
game. They showed that the average number of neighbors
plays an important role in determining whether cooperation is
the ESS of the system or not [3]. In this paper, we are going to
study the dynamics of evolution of cooperation in a social
network. We show that during evolution, the ratio of
cooperators among individuals with fewer neighbors to
cooperators among other individuals is greater than unity. The
extent to which the fitness function depends on the payoff of
the game determines this ratio.