Search results for "Linea"
showing 10 items of 7724 documents
Iterative Methods for Pricing American Options under the Bates Model
2013
We consider the numerical pricing of American options under the Bates model which adds log-normally distributed jumps for the asset value to the Heston stochastic volatility model. A linear complementarity problem (LCP) is formulated where partial derivatives are discretized using finite differences and the integral resulting from the jumps is evaluated using simple quadrature. A rapidly converging fixed point iteration is described for the LCP, where each iterate requires the solution of an LCP. These are easily solved using a projected algebraic multigrid (PAMG) method. The numerical experiments demonstrate the efficiency of the proposed approach. Furthermore, they show that the PAMG meth…
Exploiting ongoing EEG with multilinear partial least squares during free-listening to music
2016
During real-world experiences, determining the stimulus-relevant brain activity is excitingly attractive and is very challenging, particularly in electroencephalography. Here, spectrograms of ongoing electroencephalogram (EEG) of one participant constructed a third-order tensor with three factors of time, frequency and space; and the stimulus data consisting of acoustical features derived from the naturalistic and continuous music formulated a matrix with two factors of time and the number of features. Thus, the multilinear partial least squares (PLS) conforming to the canonical polyadic (CP) model was performed on the tensor and the matrix for decomposing the ongoing EEG. Consequently, we …
IMEX schemes for pricing options under jump–diffusion models
2014
We propose families of IMEX time discretization schemes for the partial integro-differential equation derived for the pricing of options under a jump-diffusion process. The schemes include the families of IMEX-midpoint, IMEX-CNAB and IMEX-BDF2 schemes. Each family is defined by a convex combination parameter [email protected]?[0,1], which divides the zeroth-order term due to the jumps between the implicit and explicit parts in the time discretization. These IMEX schemes lead to tridiagonal systems, which can be solved extremely efficiently. The schemes are studied through Fourier stability analysis and numerical experiments. It is found that, under suitable assumptions and time step restric…
Fractal dynamics in chaotic quantum transport
2013
Despite several experiments on chaotic quantum transport in two-dimensional systems such as semiconductor quantum dots, corresponding quantum simulations within a real-space model have been out of reach so far. Here we carry out quantum transport calculations in real space and real time for a two-dimensional stadium cavity that shows chaotic dynamics. By applying a large set of magnetic fields we obtain a complete picture of magnetoconductance that indicates fractal scaling. In the calculations of the fractality we use detrended fluctuation analysis -- a widely used method in time series analysis -- and show its usefulness in the interpretation of the conductance curves. Comparison with a s…
Symmetry breaking in ligand-protected gold clusters probed by nonlinear optics
2016
The first hyperpolarizabilities of [Au25(SR)18](-1/0) and Au38(SR)24 clusters were determined by Hyper-Rayleigh Scattering. A strong dependence on the molecular symmetry was observed, and we explore two strategies to destroy the center of inversion in [Au25(SR)18](-1/0), protection by chiral ligands and alloying of the cluster with silver. This may open new avenues to applications of Au : SR clusters in second-order nonlinear optics.
Multi-hop D2D Communications with Network Coding : From A Performance Perspective
2019
Multi-hop device-to-device (D2D) communications play an important role in expanding D2D coverage. In this paper, we study a relay-based and network-coding-assisted (in particular, XOR coding) multi-hop D2D communication system. In the system, toward jointly considering the impact of interference and network traffic conditions on the quality of D2D communications, various channel fading models and traffic models are investigated, and the packet loss probability of D2D links is meticulously computed using these models. With the packet loss probability of D2D links, the general closed-form expressions of end-to-end packet loss probability (E2EPLP) of the system with the presence (or absence) o…
Synchronization of hidden chaotic attractors on the example of radiophysical oscillators
2017
In the present paper we consider the problem of synchronization of hidden and self-excited attractors in the context of application to a system of secure communication. The system of two coupled Chua models was studied. Complete synchronization was observed as for self-excited, as hidden attractors. Beside it for hidden attractors some special type of dynamic was revealed.
How news affect the trading behavior of different categories of investors in a financial market
2015
We investigate the trading behavior of a large set of single investors trading the highly liquid Nokia stock over the period 2003-2008 with the aim of determining the relative role of endogenous and exogenous factors that may affect their behavior. As endogenous factors we consider returns and volatility, whereas the exogenous factors we use are the total daily number of news and a semantic variable based on a sentiment analysis of news. Linear regression and partial correlation analysis of data show that different categories of investors are differently correlated to these factors. Governmental and non profit organizations are weakly sensitive to news and returns or volatility, and, typica…
Riconfigurare i territori metroplitani. Forme di urbanizzazione e fenomeni di pressione insediativa sui sistemi di interesse naturale in Sicilia
2018
The consumption of the soil due to urbanization it is a phenomena already for many years under observations, but of which only the scientific environment has noticed the elevated environmental impact progress. From a disciplinary point of view, is possible to identify a line of research focusing on the analysis and identification of new morphologies of urbanization and on the interaction among different settlement patterns coexisting in a specific context. This reading complements with the scientific production about the forms of settlement pressure on environmental systems, producing change and deterioration on natural ecosystems and loss of biodiversity. A necessary reference for this lin…
Fostering Heuristic Strategies in Mathematics Teacher Education
2018
International audience; The “double discontinuity” stated by Felix Klein 1908 is still relevant in the mathematics teacher education at German universities. We are developing a course approach, which is intended to bridge the double discontinuity in a didactic dimension. We offer additional learning opportunities for teacher students, which are characterized by clarifications of mathematical methods that are fundamental to the regular lecture contents. We focus especially on reflections on heuristic strategies, which are the core part of mathematical methods according to George Pólya. Feedback shows that students consider our approach as helpful in the transition from school to university.