Doust P.,Royal Bank of Scotland
Journal of Computational Finance | Year: 2012
The Hagan et al SABR implied volatility approximation formula can result in a negative probability density function when applied to long-dated options. This paper presents a methodology for avoiding that problem for0 < β < 1by writing the density function as the sum of two components that are always positive. One component corresponds to the absorbing boundary at F = 0, which can be a significant part of the density function for long-dated options. An upper bound on the time to expiry for the Hagan et al formula is also derived, which shows that their formula cannot be expected to work as this upper bound is approached. © 2012, Incisive Media Ltd. All Rights Reserved. Source
Conte G.,Marche Polytechnic University |
Pennesi P.,Royal Bank of Scotland
IEEE Transactions on Automatic Control | Year: 2010
In this technical note we consider the Multi-agent Rendezvous Problem and we state new sufficient conditions for characterizing the control policies that assure rendezvous. Our condition are less restrictive than those presented until now in the literature, since, in particular, continuity is substituted by a milder requirement concerning the behavior of the control laws around points of discontinuity. In addition, our results apply to groups of agents moving in ℝn, for any finite n. © 2009 IEEE. Source
Martin I.,Royal Bank of Scotland
Telecommunications Policy | Year: 2010
There is now strong interest among governments in allocating public funds for the purpose of promoting investment in very high speed broadband. Motives include industrial policy, and the attainment of equity objectives and of economic recovery. The paper examines the various dimensions of choice over where and how to intervene. It also considers three nationwide broadband plans in Australia, New Zealand and Singapore, in each of which industrial policy appears to be the major objective, combined with equity goals. Particular attention is paid to the resolution of problems related to the incumbents' legacy assets. © 2010 Elsevier Ltd. All rights reserved. Source
LONDON (Reuters) - Royal Bank of Scotland has named three Scottish scientists -- two men and one woman -- on the shortlist of candidates to appear on its first plastic 10 pound ($14) note. The three are physicist James Clerk Maxwell, Mary Somerville, the first female member of the Royal Astronomical Society, and civil engineer Thomas Telford, known as the "Colossus of Roads". More than 400 people took part in the selection of the 128 nominees, who had to be Scottish historical figures or people who had made a major contribution to Scotland in science and innovation. Maxwell (1831-1879), a hero of Albert Einstein, discovered the unified theory of electricity and magnetism. Somerville (1780-1872) was a pioneer as a female scientist when women's participation was discouraged. Her writings ultimately led to the discovery of the planet Neptune. Telford (1757-1843) built more than 1,000 miles of roads in his lifetime and in Scotland designed harbours, tunnels and the Caledonian Canal. People can vote for one of the three to appear on the note, which will be issued in 2017. The decision on who to put on new banknotes can be controversial. The Bank of England was criticised in 2013 for the removal of the only female figure on its notes, social reformer Elizabeth Fry. Novelist Jane Austen was subsequently chosen to appear on new 10 pound notes. RBS has been issuing banknotes since 1727 and has an average of 1.5 billion pounds ($2.13 billion) of notes in circulation on a single day. Unlike England and Wales, where banknotes are issued by the Bank of England, Scotland has notes in circulation issued by local banks, guaranteed by deposits at the Bank of England. There will also be a new Scottish five pound note issued in the second half of 2016. The design for this note is due to be unveiled this year and will feature an historical literary figure. Archibald, Earl of Ilay, an 18th-century nobleman who was one of the founders of RBS, has been on all RBS notes since 1987.
News Article | January 31, 2016
Royal Bank of Scotland has named three Scottish scientists -- two men and one woman -- on the shortlist of candidates to appear on its first plastic 10 pound ($14) note. The three are physicist James Clerk Maxwell, Mary Somerville, the first female member of the Royal Astronomical Society, and civil engineer Thomas Telford, known as the "Colossus of Roads". More than 400 people took part in the selection of the 128 nominees, who had to be Scottish historical figures or people who had made a major contribution to Scotland in science and innovation.