Investigaciónhttp://hdl.handle.net/10016/161192023-06-04T17:45:47Z2023-06-04T17:45:47ZOptimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures marketLafuente Luengo, Juan Ángelhttp://hdl.handle.net/10016/98532023-05-23T14:07:42Z2000-01-01T00:00:00ZOptimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures market
Lafuente Luengo, Juan Ángel
Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
This paper provides an a~alytical discussion of the optimal hedge ratio when discrepancies between the futures trading price and its theoretical valuation according to the cost-of-carry model occurs. Under the assumption of a geometric Brownian motion for spot prices we model the mispricing by a new specific noise in the theoretical dynamic of futures market. Empirical evidence above the model is provided for the Spanish stock index futures. Ex-post simulations reveal that hedging effectiveness applying the estimated ratio is similar to the achieved with a systematic unitary hedge ratio, the optimal one when a mispricing does not appear. However, a small number of futures contracts is needed.
2000-01-01T00:00:00ZInP integrated optical frequency comb generator using an amplified recirculating loopTough, Euan J.Fice, Martyn J.Carpintero del Barrio, GuillermoRenaud, Cyril C.Seeds, Alwyn J.Balakier, Katarzynahttp://hdl.handle.net/10016/374192023-06-03T00:00:41Z2022-11-09T00:00:00ZInP integrated optical frequency comb generator using an amplified recirculating loop
Tough, Euan J.; Fice, Martyn J.; Carpintero del Barrio, Guillermo; Renaud, Cyril C.; Seeds, Alwyn J.; Balakier, Katarzyna
A novel realisation of photonically integrated optical frequency comb generation is demonstrated on indium phosphide (InP) using a generic foundry platform. The architecture, based on the amplified recirculating loop technique, consists of cascaded electro-optic phase modulators embedded within a short waveguide loop. While an injected continuous wave laser signal is recirculated by the loop, the modulators are driven with a modulation frequency corresponding to the round-trip loop length frequency. This results in many phase coherent, evenly spaced optical comb lines being generated. The choice of InP as an integration platform allows immediate optical amplification of the modulated signal by embedded semiconductor optical amplifiers, enabling loop losses to be compensated and expanding the comb across broad optical bandwidths. This approach reduces the requirement for external, high-power optical amplifiers, improving the compactness and power efficiency of the full system. The system was modelled to identify off-resonance behaviour, outlining limits in matching both the modulation frequency and seed laser frequency to the round-trip loop frequency for optimal comb line generation to be achieved. The experimental device occupied a fraction of the 6 x 2 mm2 InP chip and operated at round-trip loop frequencies of 6.71 GHz to produce 59 comb lines within a 20 dB power envelope. All comb lines exhibited strong phase coherence as characterised by low composite phase noise measurements of -105 dBc/Hz at 100 kHz. A second device is also presented with a shorter loop length operating at ~10 GHz which generated 57 comb lines. Both loop configurations included short waveguide phase shifters providing a degree of tunability of the free spectral range with a tuning range of 150 MHz for small injection currents of less than 2.5 mA.
2022-11-09T00:00:00ZHigh-accuracy patternless calibration of multiple 3D LiDARs for autonomous vehiclesMiguel Paraiso, Miguel Ángel deGuindel Gómez, CarlosAl Kaff, Abdulla Hussein AbdulrahmanGarcía Fernández, Fernandohttp://hdl.handle.net/10016/374182023-06-03T00:00:33Z2023-06-01T00:00:00ZHigh-accuracy patternless calibration of multiple 3D LiDARs for autonomous vehicles
Miguel Paraiso, Miguel Ángel de; Guindel Gómez, Carlos; Al Kaff, Abdulla Hussein Abdulrahman; García Fernández, Fernando
This article proposes a new method for estimating the extrinsic calibration parameters between any pair of multibeam LiDAR sensors on a vehicle. Unlike many state-of-the-art works, this method does not use any calibration pattern or reflective marks placed in the environment to perform the calibration; in addition, the sensors do not need to have overlapping fields of view. An iterative closest point (ICP)-based process is used to determine the values of the calibration parameters, resulting in better convergence and improved accuracy. Furthermore, a setup based on the car learning to act (CARLA) simulator is introduced to evaluate the approach, enabling quantitative assessment with ground-truth data. The results show an accuracy comparable with other approaches that require more complex procedures and have a more restricted range of applicable setups. This work also provides qualitative results on a real setup, where the alignment between the different point clouds can be visually checked. The open-source code is available at https://github.com/midemig/pcd_calib .
2023-06-01T00:00:00ZNon-locality of the Willis coupling in fluid laminatesMalléjac, MatthieuCavalieri, ThéoRomero-García, VicentMerkel, AurélienTorrent, DanielChristensen, JohanLi, JensenGroby, Jean-Philippehttp://hdl.handle.net/10016/374172023-06-03T00:00:28Z2022-03-01T00:00:00ZNon-locality of the Willis coupling in fluid laminates
Malléjac, Matthieu; Cavalieri, Théo; Romero-García, Vicent; Merkel, Aurélien; Torrent, Daniel; Christensen, Johan; Li, Jensen; Groby, Jean-Philippe
The closed form expressions of the effective properties in periodic fluid laminates are derived thanks to the Padé approximation of the transfer matrix. A second-order Taylor expansion of the transfer matrix elements exhibits Willis coupling. This coupling is the sum of a local term and a nonlocal term. The nonlocal term arises from the apparent bulk modulus in quasi one-dimensional problems. The nonlocality directly impacts the governing equations modeling the acoustic wave propagation in these Willis materials, which then involve convolution products in space. As an example, a two-orthotropic porous material laminate is considered. The theoretically derived effective properties and scattering coefficients are found in excellent agreement with those numerically calculated. The Willis coupling widens the frequency range of validity and accuracy of the effective properties and thus of the calculated scattering coefficients when compared to classical homogenization results for which the Willis coupling is absent. This widening mostly relies on the effect of Willis coupling on the impedance of the fluid laminate. The effective properties are finally derived for a general laminate.
2022-03-01T00:00:00Z