Sharif Digital Repository

Numerical calculation of Value-at-Risk (VaR) for large-scale portfolios poses great challenges to financial institutions. The problem is even more daunting for large fixed-income portfolios as their underlying instruments have exposure to higher dimensions of risk factors. This article provides an efficient algorithm for calculating VaR using a historical grid-based approach with volatility updating and shows its efficiency in computational cost and accuracy. Our VaR computation algorithm is flexible and simple, while one can easily extend it to cover other nonlinear portfolios such as derivative portfolios on equities and FX securities. © 2022  

The polysaccharide, kappa-carrageenan (κC) was chemically modified to achieve a novel superabsorbent hydrogel via graft copolymerization of methacrylamide (MAM) onto the substrate followed by alkaline hydrolysis. Ammonium persulfate (APS) and N,N′-methylene bisacrylamide (MBA) were used as a free-radical initiator and a crosslinker, respectively. The saponification reaction was carried out using sodium hydroxide aqueous solution. Either κC-g-PMAM or hydrolyzed κC-g-PMAM (PMAM: polymethacrylamide) was characterized by FT-IR spectroscopy. The effect of grafting variables (i.e. concentration of MBA, MAM, and APS) and alkaline hydrolysis conditions (i.e. NaOH concentration, hydrolysis time and... 

To synthesize a novel biopolymer-based superabsorbent hydrogel, 2-acrylamido-2-methylpropanesulfonic acid (AMPS) was grafted onto kappa-carrageenan (KC) backbones. The graft copolymerization reaction was carried out in a homogeneous medium and in the presence of ammonium persulfate (APS) as an initiator, N,N,N',N'-tetramethyl ethylenediamine (TMEDA) as an accelerator, and N,N'-methylene bisacrylamide (MBA) as a crosslinker. A proposed mechanism for KC-g-AMPS formation was suggested and the hydrogel structure was confirmed using FTIR spectroscopy. The affecting variables on swelling capacity, i.e., the initiator, the crosslinker, and the monomer concentration, as well as reaction temperature,... 

In this study, a series of highly swelling hydrogels based on sodium alginate (NaAlg) and polymethacrylamide (PMAM) was prepared through free radical polymerization. The graft copolymerization reaction was performed in a homogeneous medium and in the presence of ammonium persulfate (APS) as an initiator andN,N′-methylenebisacrylamide (MBA) as a crosslinker. The crosslinked graft copolymer, alginate-graft-polymethacrylamide (Alg-g-PMAM), was then partially hydrolyzed by NaOH solution to yield a hydrogel, hydrolyzed alginate-graft-polymethacrylamide (H-Alg-g-PMAM). During alkaline hydrolysis, the carboxamide groups of Alg-g-PMAM were converted into hydrophilic carboxylate anions. Either the... 

Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools widely used by financial risk managers across the globe. However, they are time consuming and sometimes inaccurate. In this paper, a fast and accurate Monte Carlo algorithm for calculating VaR and ES based on Gaussian Mixture Models is introduced. Gaussian Mixture Models are able to cluster input data with respect to market's conditions and therefore no correlation matrices are needed for risk computation. Sampling from each cluster with respect to their weights and then calculating the volatility-adjusted stock returns leads to possible scenarios for prices of assets. Our results on a sample of US stocks show that... 

Advanced gas turbine cycles use advanced blade cooling technologies to reach high turbine inlet temperature. Accurate modeling and optimization of these cycles depend on blade cooling model. In this study, different models have been used to simulate gas turbine performance. The first model is the continuous model and the second is stage-by-stage model with alternative methods for calculating coolant, stagnation pressure loss and SPR. Variation of specific heat and enthalpy with temperature are included in both models. The composition of gas stream in turbine is changed step by step due to air cooling. These models are validated by two case study gas turbine results, which show good agreement... 

This letter presents a Ka-Band 0.1-μm GaAs pHEMT Power Amplifier with broad bandwidth. The isolating backvia wall (IBVW) has been proposed to improve the stability and performance. Over the frequency band of 31-40 GHz, implemented PA delivers 5 W saturated output power, 28% maximum power added efficiency (PAE) and 20 dB maximum small-signal gain. The chip size of the PA is 11.9 mm2. To the best of authors knowledge, the presented PA demonstrates widest bandwidth in Ka-band GaAs PAs while maintaining compact size  

Let G be a graph. The first and second Zagreb index of G is defined as M1(G)= Σ degG(V)2 and M2(G)= Σ degG(u)degG(V) respectively. In this paper we compute Zagreb indices of chain graphs  

The quantum integrability of the 1D ionic Hubbard model (IHM) is established using two independent numerical methods, namely i) energy level spacing statistics and ii) occupation profile of one-particle density matrix (OPDM) eigen-values. Both methods suggest that the 1D IHM is integrable. The calculations of energy level statistics reproduce the known results for the standard Hubbard model. Upon turning on the the ionic term, the energy level spacing distribution of this model continues to obey the Poissonian distribution. Occupation patterns as extracted from OPDM indicate that quasi-particles are sharpened upon increasing the ionic potential. This is evidenced by a larger jump in the... 

With the ionic Hubbard model (IHM) in mind, we construct a non-trivial generalization of the Bethe ansatz (BA) wave function which naturally generalizes the Lieb–Wu wave function with an ionic parameter Δ, and reduces to Lieb–Wu solution in the limit Δ→0. The resulting two-particle scattering matrix satisfies the Yang–Baxter equation. To the extent that the unit cells with more than two electrons (Choy–Haldane issue) are avoided on average, our wave function represents an effective solution for the one-dimensional IHM. The Choy–Haldane issue limits the validity of our solution to low-filling and large U≳4. This regime is attainable in cold atom realizations of the IHM. For this regime, we...