Open Access. Powered by Scholars. Published by Universities.®
Physical Sciences and Mathematics Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 2 of 2
Full-Text Articles in Physical Sciences and Mathematics
Tropical Cyclone Wind Hazard Assessment For Southeast Part Of Coastal Region Of China, Sihan Li
Tropical Cyclone Wind Hazard Assessment For Southeast Part Of Coastal Region Of China, Sihan Li
Electronic Thesis and Dissertation Repository
Tropical cyclone (TC) or typhoon wind hazard and risk are significant for China. The return period value of the maximum typhoon wind speed is used to characterize the typhoon wind hazard and assign wind load in building design code. Since the historical surface observations of typhoon wind speed are often scarce and of short period, the typhoon wind hazard assessment is often carried out using the wind field model and TC track model. For a few major cities in the coastal region of mainland China, simple or approximated wind field models and a circular subregion method (CSM) have been used …
Quantitative Techniques For Spread Trading In Commodity Markets, Mir Hashem Moosavi Avonleghi
Quantitative Techniques For Spread Trading In Commodity Markets, Mir Hashem Moosavi Avonleghi
Electronic Thesis and Dissertation Repository
This thesis investigates quantitative techniques for trading strategies on two commodities, the difference of whose prices exhibits a long-term historical relationship known as mean-reversion. A portfolio of two commodity prices with very similar characteristics, the spread may be regarded as a distinct process from the underlying price processes so deserves to be modeled directly. To pave the way for modeling the spread processes, the fundamental concepts, notions, properties of commodity markets such as the forward prices, the futures prices, and convenience yields are described. Some popular commodity pricing models including both one and two factor models are reviewed. A new …