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ANZ VOLUME 64 ISSUE 3 COVER AND FRONT MATTER 澳新银行64卷第3期封面和封面
The ANZIAM journal Pub Date : 2022-07-01 DOI: 10.1017/s1446181121000432
M. Meylan
{"title":"ANZ VOLUME 64 ISSUE 3 COVER AND FRONT MATTER","authors":"M. Meylan","doi":"10.1017/s1446181121000432","DOIUrl":"https://doi.org/10.1017/s1446181121000432","url":null,"abstract":"","PeriodicalId":74944,"journal":{"name":"The ANZIAM journal","volume":"8 1","pages":"f1 - f2"},"PeriodicalIF":0.0,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76087290","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL 具有随机长期方差水平的修正风险中和赫斯顿模型下的波动率掉期估值
The ANZIAM journal Pub Date : 2022-07-01 DOI: 10.1017/S144618112200013X
Xin‐Jiang He, Sha Lin
{"title":"VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL","authors":"Xin‐Jiang He, Sha Lin","doi":"10.1017/S144618112200013X","DOIUrl":"https://doi.org/10.1017/S144618112200013X","url":null,"abstract":"Abstract We consider the pricing of discretely sampled volatility swaps under a modified Heston model, whose risk-neutralized volatility process contains a stochastic long-run variance level. We derive an analytical forward characteristic function under this model, which has never been presented in the literature before. Based on this, we further obtain an analytical pricing formula for volatility swaps which can guarantee the computational accuracy and efficiency. We also demonstrate the significant impact of the introduced stochastic long-run variance level on volatility swap prices with synthetic as well as calibrated parameters.","PeriodicalId":74944,"journal":{"name":"The ANZIAM journal","volume":"19 1","pages":"250 - 263"},"PeriodicalIF":0.0,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84060007","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A LOCAL PROJECTION STABILIZATION FOR CONVECTION–DIFFUSION–REACTION EQUATIONS USING BIORTHOGONAL SYSTEMS 双正交系统对流-扩散-反应方程的局部投影镇定
The ANZIAM journal Pub Date : 2022-07-01 DOI: 10.1017/S1446181123000019
B. Lamichhane, Jordan A. Shaw-Carmody
{"title":"A LOCAL PROJECTION STABILIZATION FOR CONVECTION–DIFFUSION–REACTION EQUATIONS USING BIORTHOGONAL SYSTEMS","authors":"B. Lamichhane, Jordan A. Shaw-Carmody","doi":"10.1017/S1446181123000019","DOIUrl":"https://doi.org/10.1017/S1446181123000019","url":null,"abstract":"Abstract We consider a local projection stabilization based on biorthogonal systems for convection–diffusion–reaction differential equations with mixed boundary conditions. The approach based on biorthogonal systems is numerically more efficient than other existing approaches to obtain a uniform approximation for convection dominated problems. We prove optimal a priori error estimates for the proposed numerical technique. Numerical examples are presented to demonstrate the performance of the approach.","PeriodicalId":74944,"journal":{"name":"The ANZIAM journal","volume":"8 1","pages":"205 - 226"},"PeriodicalIF":0.0,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88595414","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS 可转换债券的解析近似
The ANZIAM journal Pub Date : 2022-04-01 DOI: 10.1017/S1446181122000062
J. Goard
{"title":"AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS","authors":"J. Goard","doi":"10.1017/S1446181122000062","DOIUrl":"https://doi.org/10.1017/S1446181122000062","url":null,"abstract":"Abstract This paper looks at adapting the method of Medvedev and Scaillet for pricing short-term American options to evaluate short-term convertible bonds. However unlike their method, we provide explicit formulae for the coefficients of our series solution. This means that we do not need to solve complicated recursive systems, and can efficiently provide fast solutions. We also compare the method with numerical solutions, and find that it performs extremely well, giving accurate bond prices as well as accurate optimal conversion prices.","PeriodicalId":74944,"journal":{"name":"The ANZIAM journal","volume":"127 1","pages":"135 - 148"},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78119372","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
FULLY 3D FLUID OUTFLOW FROM A SPHERICAL SOURCE 完全三维流体从球形源流出
The ANZIAM journal Pub Date : 2022-04-01 DOI: 10.1017/S1446181122000098
L. Forbes, S. Walters
{"title":"FULLY 3D FLUID OUTFLOW FROM A SPHERICAL SOURCE","authors":"L. Forbes, S. Walters","doi":"10.1017/S1446181122000098","DOIUrl":"https://doi.org/10.1017/S1446181122000098","url":null,"abstract":"Abstract We consider fully three-dimensional time-dependent outflow from a source into a surrounding fluid of different density. The source is distributed over a sphere of finite radius. The nonlinear problem is formulated using a spectral approach in which two streamfunctions and the density are represented as a Fourier-type series with time-dependent coefficients that must be calculated. Linearized theories are also discussed and an approximate stability condition for early stages in the outflow is derived. Nonlinear solutions are presented and different outflow shapes adopted by the fluid interface are investigated.","PeriodicalId":74944,"journal":{"name":"The ANZIAM journal","volume":"88 1","pages":"149 - 182"},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73201003","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
ANZ VOLUME 64 ISSUE 2 COVER AND BACK MATTER 澳新银行64卷第2期封面和封底
The ANZIAM journal Pub Date : 2022-04-01 DOI: 10.1017/s1446181121000420
{"title":"ANZ VOLUME 64 ISSUE 2 COVER AND BACK MATTER","authors":"","doi":"10.1017/s1446181121000420","DOIUrl":"https://doi.org/10.1017/s1446181121000420","url":null,"abstract":"The ANZIAM Journal is typeset in LTEX. Style files are available from http://www.austms.org.au/ Publ/ANZIAM/authorinfo.shtml. The manuscript should conform to the following rules. In case of any doubt, authors are advised to refer to previous papers in the Journal. 1. Abstract, title and author details. An abstract not exceeding 300 words should be included in the manuscript. If the title is long, supply also a shortened form of the title not exceeding 40 characters, including spaces. Addresses should be shown under the authors name, including e-mail address if available. 2. Main headings. Main headings should be numbered, centred and shown thus:","PeriodicalId":74944,"journal":{"name":"The ANZIAM journal","volume":"25 1","pages":"b1 - b6"},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74781016","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
THE MAGIC OF NASH SOCIAL WELFARE IN OPTIMIZATION: DO NOT SUM, JUST MULTIPLY! 纳什社会福利优化的神奇之处在于:不要求和，只要相乘!
The ANZIAM journal Pub Date : 2022-04-01 DOI: 10.1017/S1446181122000074
H. Charkhgard, Kimia Keshanian, Rasul Esmaeilbeigi, P. Charkhgard
{"title":"THE MAGIC OF NASH SOCIAL WELFARE IN OPTIMIZATION: DO NOT SUM, JUST MULTIPLY!","authors":"H. Charkhgard, Kimia Keshanian, Rasul Esmaeilbeigi, P. Charkhgard","doi":"10.1017/S1446181122000074","DOIUrl":"https://doi.org/10.1017/S1446181122000074","url":null,"abstract":"Abstract We explain some key challenges when dealing with a single- or multi-objective optimization problem in practice. To overcome these challenges, we present a mathematical program that optimizes the Nash social welfare function. We refer to this mathematical program as the Nash social welfare program (NSWP). An interesting property of the NSWP is that it can be constructed for any single- or multi-objective optimization problem. We show that solving the NSWP could result in more desirable solutions in practice than its single- or multi-objective counterpart. We also discuss several promising approaches that could be employed to solve the NSWP in practice.","PeriodicalId":74944,"journal":{"name":"The ANZIAM journal","volume":"33 1","pages":"119 - 134"},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80874495","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
BRANCHING TECHNIQUE FOR A BI-OBJECTIVE TWO-STAGE ASSIGNMENT PROBLEM 双目标两阶段分配问题的分支技术
The ANZIAM journal Pub Date : 2022-04-01 DOI: 10.1017/S1446181122000116
Ekta Jain, Kalpana Dahiya, V. Verma
{"title":"BRANCHING TECHNIQUE FOR A BI-OBJECTIVE TWO-STAGE ASSIGNMENT PROBLEM","authors":"Ekta Jain, Kalpana Dahiya, V. Verma","doi":"10.1017/S1446181122000116","DOIUrl":"https://doi.org/10.1017/S1446181122000116","url":null,"abstract":"Abstract We discuss a bi-objective two-stage assignment problem (BiTSAP) that aims at minimizing two objective functions: one comprising a nonlinear cost function defined explicitly in terms of assignment variables and the other a total completion time. A two-stage assignment problem deals with the optimal allocation of n jobs to n agents in two stages, where \u0000$n_1$\u0000 out of n jobs are primary jobs which constitute Stage-1 and the rest of the jobs are secondary jobs constituting Stage-2. The paper proposes an algorithm that seeks an optimal solution for a BiTSAP in terms of various efficient time-cost pairs. An algorithm for ranking all feasible assignments of a two-stage assignment problem in order of increasing total completion time is also presented. Theoretical justification and numerical illustrations are included to support the proposed algorithms.","PeriodicalId":74944,"journal":{"name":"The ANZIAM journal","volume":"98 1","pages":"183 - 204"},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79037407","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ANZ VOLUME 64 ISSUE 2 COVER AND FRONT MATTER 澳新银行64卷第2期封面和封面
The ANZIAM journal Pub Date : 2022-04-01 DOI: 10.1017/s1446181121000419
M. Meylan
{"title":"ANZ VOLUME 64 ISSUE 2 COVER AND FRONT MATTER","authors":"M. Meylan","doi":"10.1017/s1446181121000419","DOIUrl":"https://doi.org/10.1017/s1446181121000419","url":null,"abstract":"","PeriodicalId":74944,"journal":{"name":"The ANZIAM journal","volume":"2 1","pages":"f1 - f2"},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88790957","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Improving the accuracy of retrieved cardiac electrical conductivities. 提高心脏电导率检索的准确性。
The ANZIAM journal Pub Date : 2022-01-01 DOI: 10.21914/anziamj.v63.17148
A Kamalakkanna, P R Johnston, B M Johnston
{"title":"Improving the accuracy of retrieved cardiac electrical conductivities.","authors":"A Kamalakkanna,&nbsp;P R Johnston,&nbsp;B M Johnston","doi":"10.21914/anziamj.v63.17148","DOIUrl":"https://doi.org/10.21914/anziamj.v63.17148","url":null,"abstract":"<p><p>Accurate values for the six cardiac conductivities of the bidomain model are crucial for meaningful electrophysiological simulations of cardiac tissue and are yet to be achieved. A two-stage optimisation process is used to retrieve the cardiac conductivities from cardiac potentials measured on a multi-electrode array-the first stage simultaneously fits all six conductivities, and the second stage fits a subset of the conductivities (intracellular conductivities), while holding the remainder of the conductivities (extracellular conductivities) constant. Previous studies have shown that the intracellular conductivities are retrieved to a lesser degree of accuracy than extracellular conductivities. This study tests the proposition that there exists a relationship between the extracellular and intracellular conductivities during the second stage of the optimisation that affects the accuracy of the retrieved intracellular conductivities. A measure to quantify this relationship is developed using polynomial chaos. The results show that a significant relationship does exist, and thus any errors in the extracellular conductivities are magnified in the retrieved intracellular conductivities. Thus, it is suggested that future protocols for retrieving conductivities incorporate the uncertainty in the extracellular conductivities.</p>","PeriodicalId":74944,"journal":{"name":"The ANZIAM journal","volume":"63 EMAC","pages":"C154-C167"},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10183297/pdf/nihms-1893698.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9980883","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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