I. Hlivka: New Applications
http://www.maplesoft.com/applications/author.aspx?mid=5302
en-us2017 Maplesoft, A Division of Waterloo Maple Inc.Maplesoft Document SystemThu, 24 Aug 2017 06:39:22 GMTThu, 24 Aug 2017 06:39:22 GMTNew applications published by I. Hlivkahttp://www.mapleprimes.com/images/mapleapps.gifI. Hlivka: New Applications
http://www.maplesoft.com/applications/author.aspx?mid=5302
Copula function in multivariate dependency analysis
https://www.maplesoft.com/applications/view.aspx?SID=100528&ref=Feed
<p>Copula is a constructor function for multivariate distribution from univariate marginals. It is a method to link univariate samples, not necessarily from identical distributions, into joint multivariate distributions. In this way, copulas are more generic and flexible functions to study dependency arising from multivariate distributions.</p>
<p>Conceptually, copulas are based on transformation of the underlying marginal into new derived variable with uniform distribution. Consequently, any multivariate distribution can be expressed in the form of copula function. If each marginal is continuous then copula is unique. Sklar in 1959 was the first to point this out.</p>
<p>Copulas represent a broad set of functions and they generally differ by (i) number of dependency factors and (ii) construction complexity. The choose of copula depends on the nature of the multivariate study and fitting objectives to an underlying data.</p><img src="/view.aspx?si=100528/maple_icon.jpg" alt="Copula function in multivariate dependency analysis" align="left"/><p>Copula is a constructor function for multivariate distribution from univariate marginals. It is a method to link univariate samples, not necessarily from identical distributions, into joint multivariate distributions. In this way, copulas are more generic and flexible functions to study dependency arising from multivariate distributions.</p>
<p>Conceptually, copulas are based on transformation of the underlying marginal into new derived variable with uniform distribution. Consequently, any multivariate distribution can be expressed in the form of copula function. If each marginal is continuous then copula is unique. Sklar in 1959 was the first to point this out.</p>
<p>Copulas represent a broad set of functions and they generally differ by (i) number of dependency factors and (ii) construction complexity. The choose of copula depends on the nature of the multivariate study and fitting objectives to an underlying data.</p>100528Wed, 29 Dec 2010 05:00:00 ZI. HlivkaI. HlivkaGeneration of correlated random numbers
https://www.maplesoft.com/applications/view.aspx?SID=99806&ref=Feed
<p>This application is an extension of an earlier document on multivariate distributions and demonstrates how Maple can be used to generate random samples from such distribution. In a narrow sense, it presents the tool for generation of correlated samples. The sampling need for multi-factor random variables (RV) with a given correlation structure arises in many applications in economics, finance, but also in natural sciences such as genetics, physics etc. and here we show that such task can be accomplished with ease using Maple’s <em>Statistic</em>s and <em>Linear Algebra</em> packages.</p><img src="/view.aspx?si=99806/maple_icon.jpg" alt="Generation of correlated random numbers" align="left"/><p>This application is an extension of an earlier document on multivariate distributions and demonstrates how Maple can be used to generate random samples from such distribution. In a narrow sense, it presents the tool for generation of correlated samples. The sampling need for multi-factor random variables (RV) with a given correlation structure arises in many applications in economics, finance, but also in natural sciences such as genetics, physics etc. and here we show that such task can be accomplished with ease using Maple’s <em>Statistic</em>s and <em>Linear Algebra</em> packages.</p>99806Fri, 03 Dec 2010 05:00:00 ZI. HlivkaI. HlivkaMaple for Commodity Finance
https://www.maplesoft.com/applications/view.aspx?SID=35126&ref=Feed
<p>In this application we show how Maple can handle financial options models that have become popular in commodity finance. The financial trading of commodities has dramatically increased over past years as finance community started to look for non-standard instruments uncorrelated with the traditional financial products such as stocks, bonds, rates and currencies. Commodities, unlike their financial counterparts, require different approach to the process modeling: (i) commodities exhibit seasonality effects, (ii) commodity futures are exposed to many deformation modes, (iii) futures volatility is driven by the "Samuelson" effect that causes its drop as the expiry time shortens.</p><img src="/view.aspx?si=35126/thumb.jpg" alt="Maple for Commodity Finance" align="left"/><p>In this application we show how Maple can handle financial options models that have become popular in commodity finance. The financial trading of commodities has dramatically increased over past years as finance community started to look for non-standard instruments uncorrelated with the traditional financial products such as stocks, bonds, rates and currencies. Commodities, unlike their financial counterparts, require different approach to the process modeling: (i) commodities exhibit seasonality effects, (ii) commodity futures are exposed to many deformation modes, (iii) futures volatility is driven by the "Samuelson" effect that causes its drop as the expiry time shortens.</p>35126Mon, 01 Feb 2010 05:00:00 ZI. HlivkaI. Hlivka