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A new, more accurate take on the classical approach to volatility evaluation Inside Volatility Filtering presents a new approach to volatility estimation, using financial econometrics based on a more accurate estimation of the hidden state. Based on the idea of «filtering», this book lays out a two-step framework involving a Chapman-Kolmogorov prior distribution followed by Bayesian posterior distribution to develop a robust estimation based on all available information. This new second edition includes guidance toward basing estimations on historic option prices instead of stocks, as well as Wiener Chaos Expansions and other spectral approaches. The author's statistical trading strategy has been expanded with more in-depth discussion, and the companion website offers new topical insight, additional models, and extra charts that delve into the profitability of applied model calibration. You'll find a more precise approach to the classical time series and financial econometrics evaluation, with expert advice on turning data into profit. Financial markets do not always behave according to a normal bell curve. Skewness creates uncertainty and surprises, and tarnishes trading performance, but it's not going away. This book shows traders how to work with skewness: how to predict it, estimate its impact, and determine whether the data is presenting a warning to stay away or an opportunity for profit. Base volatility estimations on more accurate data Integrate past observation with Bayesian probability Exploit posterior distribution of the hidden state for optimal estimation Boost trade profitability by utilizing «skewness» opportunities Wall Street is constantly searching for volatility assessment methods that will make their models more accurate, but precise handling of skewness is the key to true accuracy. Inside Volatility Filtering shows you a better way to approach non-normal distributions for more accurate volatility estimation.

This book is intended primarily as a handbook for engineers who must design practical systems. Its primary goal is to discuss model development in sufficient detail so that the reader may design an estimator that meets all application requirements and is robust to modeling assumptions. Since it is sometimes difficult to a priori determine the best model structure, use of exploratory data analysis to define model structure is discussed. Methods for deciding on the “best” model are also presented. A second goal is to present little known extensions of least squares estimation or Kalman filtering that provide guidance on model structure and parameters, or make the estimator more robust to changes in real-world behavior. A third goal is discussion of implementation issues that make the estimator more accurate or efficient, or that make it flexible so that model alternatives can be easily compared. The fourth goal is to provide the designer/analyst with guidance in evaluating estimator performance and in determining/correcting problems. The final goal is to provide a subroutine library that simplifies implementation, and flexible general purpose high-level drivers that allow both easy analysis of alternative models and access to extensions of the basic filtering. Supplemental materials and up-to-date errata are downloadable at http://booksupport.wiley.com.

While numerous books have been written on earthquakes, earthquake resistance design, and seismic analysis and design of structures, none have been tailored for advanced students and practitioners, and those who would like to have most of the important aspects of seismic analysis in one place. With this book, readers will gain proficiencies in the following: fundamentals of seismology that all structural engineers must know; various forms of seismic inputs; different types of seismic analysis like, time and frequency domain analyses, spectral analysis of structures for random ground motion, response spectrum method of analysis; equivalent lateral load analysis as given in earthquake codes; inelastic response analysis and the concept of ductility; ground response analysis and seismic soil structure interaction; seismic reliability analysis of structures; and control of seismic response of structures. Provides comprehensive coverage, from seismology to seismic control Contains useful empirical equations often required in the seismic analysis of structures Outlines explicit steps for seismic analysis of MDOF systems with multi support excitations Works through solved problems to illustrate different concepts Makes use of MATLAB, SAP2000 and ABAQUAS in solving example problems of the book Provides numerous exercise problems to aid understanding of the subject As one of the first books to present such a comprehensive treatment of the topic, Seismic Analysis of Structures is ideal for postgraduates and researchers in Earthquake Engineering, Structural Dynamics, and Geotechnical Earthquake Engineering. Developed for classroom use, the book can also be used for advanced undergraduate students planning for a career or further study in the subject area. The book will also better equip structural engineering consultants and practicing engineers in the use of standard software for seismic analysis of buildings, bridges, dams, and towers. Lecture materials for instructors available at www.wiley.com/go/dattaseismic

The concept of an inverse problem is a familiar one to most scientists and engineers, particularly in the field of signal and image processing, imaging systems (medical, geophysical, industrial non-destructive testing, etc.) and computer vision. In imaging systems, the aim is not just to estimate unobserved images, but also their geometric characteristics from observed quantities that are linked to these unobserved quantities through the forward problem. This book focuses on imagery and vision problems that can be clearly written in terms of an inverse problem where an estimate for the image and its geometrical attributes (contours and regions) is sought. The chapters of this book use a consistent methodology to examine inverse problems such as: noise removal; restoration by deconvolution; 2D or 3D reconstruction in X-ray, tomography or microwave imaging; reconstruction of the surface of a 3D object using X-ray tomography or making use of its shading; reconstruction of the surface of a 3D landscape based on several satellite photos; super-resolution; motion estimation in a sequence of images; separation of several images mixed using instruments with different sensitivities or transfer functions; and more.

This book is written for advanced earth science students, geologists, petroleum engineers and others who want to get quickly ‘up to speed’ on the interpretation of reflection seismic data. It is a development of material given to students on the MSc course in Petroleum Geology at Aberdeen University and takes the form of a course manual rather than a systematic textbook. It can be used as a self-contained course for individual study, or as the basis for a class programme. The book clarifies those aspects of the subject that students tend to find difficult, and provides insights through practical tutorials which aim to reinforce and deepen understanding of key topics and provide the reader with a measure of feedback on progress. Some tutorials may only involve drawing simple diagrams, but many are computer-aided (PC based) with graphics output to give insight into key steps in seismic data processing or into the seismic response of some common geological scenarios. Part I of the book covers basic ideas and it ends with two tutorials in 2-D structural interpretation. Part II concentrates on the current seismic reflection contribution to reservoir studies, based on 3-D data.