Search results for "ODS"

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

A New Augmented Lagrangian Approach for $L^1$-mean Curvature Image Denoising

2015

Variational methods are commonly used to solve noise removal problems. In this paper, we present an augmented Lagrangian-based approach that uses a discrete form of the L1-norm of the mean curvature of the graph of the image as a regularizer, discretization being achieved via a finite element method. When a particular alternating direction method of multipliers is applied to the solution of the resulting saddle-point problem, this solution reduces to an iterative sequential solution of four subproblems. These subproblems are solved using Newton’s method, the conjugate gradient method, and a partial solution variant of the cyclic reduction method. The approach considered here differs from ex…

Do videowikis on the web support better (constructivist) learning in the basics of information systems science?

2012

This paper describes the combination of a wiki and screen capture videos as a complementary addition to conventional lectures in an information management and information systems development course. Our basis was collaborative problem-based learning with the problems defined by students. The idea was that students were expected to find concepts or issues from four lecture themes which are not well-defined or clarified for them. The students worked in small groups of two or three students or they completed the coursework individually. First, the students selected the theme which was most unclear for them. Second, the students selected the problematic things from this area and created the pre…

Continuous Requirements Risk Profiling in Information Systems Development

2015

With the increasing adoption of agile, lean, and iterative development methods, information systems development (ISD) has become continuous, meaning that system development moves rapidly from release to release. This means that work practices and challenges that practitioners face have changed. Despite these changes, requirements development is still critical in ISD. However, IS literature is silent on how to manage requirements-related risks in the practice of continuous IS development. To fill this gap, we propose a continuous requirements risk profiling method. The study is informed by design science research methodology, and we apply focus group interviews and a Delphi study for data co…

Omission of Causal Indicators: Consequences and Implications for Measurement – A Rejoinder

2016

Lattice Boltzmann Simulations at Petascale on Multi-GPU Systems with Asynchronous Data Transfer and Strictly Enforced Memory Read Alignment

2015

The lattice Boltzmann method is a well-established numerical approach for complex fluid flow simulations. Recently general-purpose graphics processing units have become accessible as high-performance computing resources at large-scale. We report on implementing a lattice Boltzmann solver for multi-GPU systems that achieves 0.69 PFLOPS performance on 16384 GPUs. In addition to optimizing the data layout on the GPUs and eliminating the halo sites, we make use of the possibility to overlap data transfer between the host CPU and the device GPU with computing on the GPU. We simulate flow in porous media and measure both strong and weak scaling performance with the emphasis being on a large scale…

Visual Distraction Effects of In-Car Text Entry Methods

2017

Three text entry methods were compared in a driving simulator study with 17 participants. Ninety-seven drivers’ occlusion distance (OD) data mapped on the test routes was used as a baseline to evaluate the methods’ visual distraction potential. Only the voice recognition-based text entry tasks passed the set verification criteria. Handwriting tasks were experienced as the most demanding and the voice recognition tasks as the least demanding. An individual in-car glance length preference was found, but against expectations, drivers’ ODs did not correlate with incar glance lengths or visual short-term memory capacity. The handwriting method was further studied with 24 participants with instru…

Innovators and innovated: Newspapers and the postdigital future beyond the “death of print”

2017

Along with other cultural organizations, newspapers, through waves of digital disruption, have become subject to a dominant narrative of crisis. But newspapers have long participated in change. A constructivist approach, qualified by consideration of media materiality, draws attention to diverse but essential processes of innovation around them. We see a contraflow of migration from digital to print, opening up a shared media space; bonding strategies are bringing multimedia to ink on paper, while bridging via boundary objects such as QR (Quick Response) codes are connecting the two. Among other initiatives, development of automation of news production and experiments with transparency are …

Changing people’s attitudes and beliefs toward driving through floodwaters : Evaluation of a video infographic

2018

Abstract Despite awareness of campaigns such as ‘Turn Around, Don’t Drown’ and the Australian state of Queensland’s ‘If It’s Flooded, Forget It’, people continue to drive through floodwaters, causing loss of life, risk to rescuers, and damage to vehicles. The aim of this study was to develop a video infographic that highlights the dangers of driving through floodwaters and provide safety tips to reduce the risk, and to evaluate its effectiveness in changing the beliefs and intentions of Australian adults toward this risky driving behaviour. This study adopted an online three-wave non-controlled pretest–posttest design. Australian licensed drivers (N = 201, male = 41, female = 160; Mage = 34…