Search results for "oftware"
showing 10 items of 7396 documents
Contingent claim valuation in a market with different interest rates
1995
The problem of contingent claim valuation in a market with a higher interest rate for borrowing than for lending is discussed. We give results which cover especially the European call and put options. The method used is based on transforming the problem to suitable auxiliary markets with only one interest rate for borrowing and lending and is adapted from a paper of Cvitanic and Karatzas (1992) where the authors study constrained portfolio problems.
Integrated simulation and optimization models for tracking international fixed income indices
2001
Portfolio managers in the international fixed income markets must address jointly the interest rate risk in each market and the exchange rate volatility across markets. This paper develops integrated simulation and optimization models that address these issues in a common framework. Monte Carlo simulation procedures generate jointly scenarios of interest and exchange rates and, thereby, scenarios of holding period returns of the available securities. The portfolio manager’s risk tolerance is incorporated either through a utility function or a (modified) mean absolute deviation function. The optimization models prescribe asset allocation weights among the different markets and also resolve b…
Value preserving portfolio strategies and the minimal martingale measure
1998
We consider some relations between the minimal martingale measure and the value preserving martingale measure in a continuous-time securities market. Under the assumption of continuous share prices we show that under a structure condition both these martingale measures exist and indeed coincide. This however does not mean that the corresponding concepts of value preserving portfolio strategies and (local) risk minimisation in the area of option hedging in incomplete markets are identical.
Combining Benford's Law and machine learning to detect money laundering. An actual Spanish court case.
2017
Abstract Objectives This paper is based on the analysis of the database of operations from a macro-case on money laundering orchestrated between a core company and a group of its suppliers, 26 of which had already been identified by the police as fraudulent companies. In the face of a well-founded suspicion that more companies have perpetrated criminal acts and in order to make better use of what are very limited police resources, we aim to construct a tool to detect money laundering criminals. Methods We combine Benford’s Law and machine learning algorithms (logistic regression, decision trees, neural networks, and random forests) to find patterns of money laundering criminals in the conte…
A Hierarchical Detection and Response System to Enhance Security Against Lethal Cyber-Attacks in UAV Networks
2018
International audience; Unmanned aerial vehicles (UAVs) networks have not yet received considerable research attention. Specifically, security issues are a major concern because such networks, which carry vital information, are prone to various attacks. In this paper, we design and implement a novel intrusion detection and response scheme, which operates at the UAV and ground station levels, to detect malicious anomalies that threaten the network. In this scheme, a set of detection and response techniques are proposed to monitor the UAV behaviors and categorize them into the appropriate list (normal, abnormal, suspect, and malicious) according to the detected cyber-attack. We focus on the m…
Case study : curriculum access accommodations in preschool student with cerebral palsy
2012
Se presenta el contenido de una intervención con un alumno de educación infantil afectado de parálisis cerebral. La intervención se basa en una adaptación de acceso al currículum consistente en el diseño de tareas y actividades educativas con soporte informático accesible al alumno y adecuadas al nivel curricular propio para su edad y curso académico. Esta metodología garantiza al alumno un acceso al currículum minimizando los efectos de sus problemas de movilidad.
Middleware with QoS Support to Control Intelligent Systems
2008
This paper presents the architecture of a middleware for control component-based distributed systems. The fundamental idea underlying this architecture is the use of a hierarchical communications structure called "logical namespace tree" and a structured set of control processes interconnected, called "logical sensors graph". This architecture is named frame sensor adapter control (FSA-Ctrl). The aim of FSA-Ctrl is to provide a simple interface to specify the control actions and ensure a communication with some specified QoS parameters restrictions. In this architecture both systems, communication and control, manages the QoS policies. The communication system is based on the data distribut…
Distributed Adaptive Control for Asymptotically Consensus Tracking of Uncertain Nonlinear Systems With Intermittent Actuator Faults and Directed Comm…
2019
In this article, we investigate the output consensus tracking problem for a class of high-order nonlinear systems with unknown parameters, uncertain external disturbances, and intermittent actuator faults. Under the directed topology conditions, a novel distributed adaptive controller is proposed. The common time-varying trajectory is allowed to be totally unknown by part of subsystems. Therefore, the assumption on the linearly parameterized trajectory signal in most literature is no longer needed. To achieve the relaxation, extra distributed parameter estimators are introduced in all subsystems. Besides, to handle the actuator faults occurring at possibly infinite times, a new adaptive com…
Engineering Self-adaptive Systems: From Experiences with MUSA to a General Design Process
2019
Designing and developing complex self-adaptive systems require design processes having specific features fitting and representing the complexity of these systems. Changing requirements, users’ needs and dynamic environment have to be taken in consideration, also considering that, due of the self-adaptive nature of the system, the solution is not fixed at design time but it is a run-time outcome. Traditional design approach and life cycles are not suitable to design software systems where requirements continuously change at runtime. A new design process paradigm is needed to design such systems. In this Chapter, we present a retrospective analysis based on three projects developed in the las…
Adaptive scheduling of acceleration and gyroscope for motion artifact cancelation in photoplethysmography
2022
Background and objective: Recently, various algorithms have been introduced using wrist-worn photo-plethysmography (PPG) to provide high accuracy of instantaneous heart rate (HR) estimation, including during high-intensity exercise. Most studies focus on using acceleration and/or gyroscope signals for the motion artifact (MA) reference, which attenuates or cancels out noise from the MA-corrupted PPG signals. We aim to open and pave the path to find an appropriate MA reference selection for MA cancelation in PPG.Methods: We investigated how the acceleration and gyroscope reference signals correlate with the MAs of the distorted PPG signals and derived both mathematically and experimentally a…