Investigaciónhttp://hdl.handle.net/10016/161192021-04-20T21:05:51Z2021-04-20T21:05:51ZOptimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures marketLafuente Luengo, Juan Ángelhttp://hdl.handle.net/10016/98532020-07-16T08:10:23Z2000-01-01T00:00:00ZOptimal 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.
2000-01-01T00:00:00ZViolencia y acoso en el trabajo: significado y alcance del Convenio nº 190 OIT en el marco del trabajo decente (ODS 3, 5, 8 de la Agenda 2030)http://hdl.handle.net/10016/324372021-04-20T17:22:38Z2021-01-01T00:00:00ZViolencia y acoso en el trabajo: significado y alcance del Convenio nº 190 OIT en el marco del trabajo decente (ODS 3, 5, 8 de la Agenda 2030)
Correa Carrasco, Manuel; Quintero Lima, María Gema
2021-01-01T00:00:00ZAxial-azimuthal, high-frequency modes from global linear-stability model of a Hall thrusterBello Benitez, EnriqueAhedo Galilea, Eduardo Antoniohttp://hdl.handle.net/10016/324362021-04-20T15:17:33Z2021-03-15T00:00:00ZAxial-azimuthal, high-frequency modes from global linear-stability model of a Hall thruster
Bello Benitez, Enrique; Ahedo Galilea, Eduardo Antonio
Axial-azimuthal instabilities of a Hall-thruster plasma discharge are investigated using fluid model and a linear global stability approach, appropriate to the large axial inhomogeneity of the equilibrium solution. Electron pressure and electron inertia are considered in both the equilibrium and perturbed solutions. Fourier transform in time and azimuth are taken and the dispersion relation, for the resultant Sturm&amp;amp;amp;-Liouville problem governing the axial behavior of the modes, is numerically obtained. The analysis, focused in mid-to-high frequencies and large wavenumbers identifies two main instability types. The dominant mode develops in the near plume at 1-5 MHz and azimuthal mode numbers ∼10–50, has a weak ion response and seems to be triggered by negative gradients of the magnetic field. The subdominant mode develops near the anode at 10-300 kHz and azimuthal mode numbers ∼1–10, and seems of the rotating-spoke type. Both instabilities are well characterized by investigating their oblique propagation, the influence of design and operation parameters, and the effects of anode–cathode electric connection, electron inertia, and temperature perturbations. The possible impact of these instabilities on electron cross-field transport is estimated through a quasilinear approach, which yields a spatially-rippled turbulent force.
2021-03-15T00:00:00ZCoupled plasma transport and electromagnetic wave simulation of an ECR thrusterSánchez Villar, ÁlvaroZhou, JieweiAhedo Galilea, Eduardo AntonioMerino Martínez, Mariohttp://hdl.handle.net/10016/324352021-04-20T14:42:50Z2021-04-08T00:00:00ZCoupled plasma transport and electromagnetic wave simulation of an ECR thruster
Sánchez Villar, Álvaro; Zhou, Jiewei; Ahedo Galilea, Eduardo Antonio; Merino Martínez, Mario
An electron-cyclotron resonance thruster (ECRT) prototype is simulated numerically, using two coupled models: a hybrid particle-in-cell/fluid model for the integration of the plasma transport and a frequency-domain full-wave finite-element model for the computation of the fast electromagnetic (EM) fields. The quasi-stationary plasma response, fast EM fields, power deposition, particle and energy fluxes to the walls, and thruster performance figures at the nominal operating point are discussed, showing good agreement with the available experimental data. The ECRT plasma discharge contains multiple EM field propagation/evanescence regimes that depend on the plasma density and applied magnetic field that determine the flow and absorption of power in the device. The power absorption is found to be mainly driven by radial fast electric fields at the electron-cyclotron resonance region, and specifically close to the inner rod. Large cross-field electron temperature gradients are observed, with maxima close to the inner rod. This, in turn, results in large localized particle and energy fluxes to this component.
2021-04-08T00:00:00Z