Search results for "101"
showing 10 items of 3819 documents
Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models
2017
Abstract European options can be priced by solving parabolic partial(-integro) differential equations under stochastic volatility and jump-diffusion models like the Heston, Merton, and Bates models. American option prices can be obtained by solving linear complementary problems (LCPs) with the same operators. A finite difference discretization leads to a so-called full order model (FOM). Reduced order models (ROMs) are derived employing proper orthogonal decomposition (POD). The early exercise constraint of American options is enforced by a penalty on subset of grid points. The presented numerical experiments demonstrate that pricing with ROMs can be orders of magnitude faster within a give…
Reduced Order Models for Pricing American Options under Stochastic Volatility and Jump-diffusion Models
2016
American options can be priced by solving linear complementary problems (LCPs) with parabolic partial(-integro) differential operators under stochastic volatility and jump-diffusion models like Heston, Merton, and Bates models. These operators are discretized using finite difference methods leading to a so-called full order model (FOM). Here reduced order models (ROMs) are derived employing proper orthogonal decomposition (POD) and non negative matrix factorization (NNMF) in order to make pricing much faster within a given model parameter variation range. The numerical experiments demonstrate orders of magnitude faster pricing with ROMs. peerReviewed
Higher-order Nonnegative CANDECOMP/PARAFAC Tensor Decomposition Using Proximal Algorithm
2019
Tensor decomposition is a powerful tool for analyzing multiway data. Nowadays, with the fast development of multisensor technology, more and more data appear in higherorder (order > 4) and nonnegative form. However, the decomposition of higher-order nonnegative tensor suffers from poor convergence and low speed. In this study, we propose a new nonnegative CANDECOM/PARAFAC (NCP) model using proximal algorithm. The block principal pivoting method in alternating nonnegative least squares (ANLS) framework is employed to minimize the objective function. Our method can guarantee the convergence and accelerate the computation. The results of experiments on both synthetic and real data demonstrate …
Curvelet-based method for orientation estimation of particles
2013
A method based on the curvelet transform is introduced for estimating from two-dimensional images the orientation distribution of small anisotropic particles. Orientation of fibers in paper is considered as a particular application of the method. Theoretical aspects of the suitability of this method are discussed and its efficiency is demonstrated with simulated and real images of fibrous systems. Comparison is made with two traditionally used methods of orientation analysis, and the new curvelet-based method is shown to perform clearly better than these traditional methods.
Comparing Conservation Value Maps and Mapping Methods in a Rural Landscape in Southern Finland
2015
We tested to what extent conservation value maps are different if the valuation and mapping method is changed. We compared 66 different conservation value and 4 different ecosystem service maps. Using remote sensing and other georeferenced data, we produced 2 different habitat type maps, which were 50 % similar. We valued each mapped habitat type based on rarity corrected potential number of vascular plant species and naturalness using 6 different valuation alternatives. We mapped habitat type connectivity and complementarity using 2 main approaches. The habitat type valuation alternatives were quite similar, but if the habitat type naturalness was taken into account, differences were large…
The challenges of GxE research: A rejoinder
2017
Cultural Politics of Love and Provision among Poor Youth in Urban Tanzania
2015
This article examines how urban youth in the poorest neighbourhoods of Dar es Salaam negotiate the terms of transactional intimacy, that is, heterosexual relations in which men are expected to provide for women materially. Using the concept of ‘affect’, I argue that this negotiation involves different levels of male providership, as well as moral values attached to notions of ‘true love’ and the Swahili concept of tamaa. Poor men and women view their agency differently within transactional intimacy, with women describing themselves as exploited by men who do not fulfil their end of the transactional bargain, and poor men portraying themselves as deeply disempowered in comparison to wealthie…
A Cluster Analysis Approach to Profile Men and Women’s Volley Positions in Professional Tennis Matches (Doubles)
2021
(1) Background: Tennis ball tracking technology allows the aquirement of novel and reliable data about several performance indicators, such as volley positions. This information is key to understand match dynamics in doubles tennis and to better help preparing players for the demands they will face in match play. As such, the purpose of this study was to describe and compare the different types of volley positions in men’s and women’s doubles professional tennis. (2) Methods: Ball tracking data were collected for 46 women (Billie Jean King Cup) and 96 men’s doubles matches (Davis Cup). The variables used were the distance to the net, the distance to the centre of the court and the height of…
La destrucció del patrimoni artístic i la seua reconstrucció. Un exercici de microhistòria: el cas de Llíria i la Confraria de la Sang (1936-1949)
2020
The problem of artistic destruction and its reconstruction has been little studied. Using a microhistorical analysis method, we study the town of Lliria (Valencia) and its brotherhood of ?La Sang de Jesucrist? (had a great heritage from the 16th to the 19th centuries), and we also analyze how and why this destruction and reconstruction was generated during the context of the civil war. We use and combine different sources (public of the ?Causa General? and private of the ?Minute Books?) for this research, with the intention of specifying the analysis of this complex process. We also explain social and artistic relationships of these two processes, that help us study the workshops of the mos…
El proyecto de un pórtico clasicista para la iglesia de los Santos Juanes de Valencia y su impacto en el entorno urbano (1788-1856)
2020
In the year 1788, the parish of Los Santos Juanes in Valencia proposed to the City Council the erection of same classical-style portico in order to beautify its outer eastern façade, surrounding the head of the temple and relying on the Plaza del Mercado. This portico was never built, but there would be an impact of such an architectural purpose in subsequent reform plans of that outstanding urban location.