Results 51 to 60 of about 2,502 (148)
Static hedging of Asian options under Lévy models: the comonotonicity approach. [PDF]
In this paper we present a simple static super-hedging strategy for the payoff of an arithmetic Asian option in terms of a portfolio of European options. Moreover, it is shown that the obtained hedge is optimal in some sense.
Albrecher, H +3 more
core
, 2018 Starting from CIR process, we build a new model for pricing discrete arithmetic Asian options with nonlinear transformation and stochastic time change.
Zhigang Tong, Allen Liu
core +1 more source
Numerical approximation of effective coefficients in stochastic homogenization of discrete elliptic equations [PDF]
, 2011 We introduce and analyze a numerical strategy to approximate effective coefficients in stochastic homogenization of discrete elliptic equations. In particular, we consider the simplest case possible: An elliptic equation on the $d$-dimensional lattice $Z^
Antoine Gloria, Gloria, Antoine
core +1 more source
Leveraging Large Language Models for Agent‐Based Simulation of Human‐Water System Interactions
Water Resources Research, Volume 62, Issue 6, June 2026.Abstract Modeling human–water system interactions is essential for understanding the co‐evolution of human society and hydrological extremes. Agent‐based models (ABMs) are widely used for this purpose, yet they face persistent challenges, including manually coded rules, simplified behavioral assumptions, and limited integration of qualitative ...
Y. C. Ethan Yang, Wenyu Chiou
wiley +1 more source
For reliable and powerful scientific computations
, 2001 International audienceSome arithmetics for numerical validation have been developed on sequential computer architectures: interval arithmetic, discrete stochastic arithmetic or multi-precision arithmetic.
Chesneaux, Jean-Marie +3 more
core +1 more source
A Mixed Frequency BVAR for the Australian Economy*
Economic Record, Volume 102, Issue 337, Page 182-207, June 2026.A mixed frequency vector autoregression (MFVAR) model is proposed for nowcasting, forecasting and backcasting Australian macroeconomic indicators at monthly and quarterly frequencies. A novel augmented Minnesota prior for MFVAR models is also introduced.
Kelly Trinh, Jamie L. Cross
wiley +1 more source
New Heuristics for Stable LDA Parameter Search
Computational Intelligence, Volume 42, Issue 3, June 2026.ABSTRACT The Latent Dirichlet Allocation (LDA) algorithm automatically extracts latent topics from a textual corpus, but configuring its parameters can be difficult and time‐consuming. Optimization algorithms can help determine the best parameters, but not necessarily the optimal ones.
Simon‐Olivier Harel +2 more
wiley +1 more source
Plant Biotechnology Journal, Volume 24, Issue 6, Page 4005-4026, June 2026.ABSTRACT Genomic selection (GS) is critical for accelerating genetic gain in modern plant breeding. Deep learning approaches offer powerful non‐linear representation capabilities for modelling non‐additive effects. However, their application in GS remains restricted, as high‐dimensional, low‐sample and noisy data hinder the identification of ...
Yuexin Ma +7 more
wiley +1 more source
Dynamic restarting strategy for a BICGSTAB algorithm using discrete stochastic arithmetic
, 2008 Introduction A lot of scientic elds require a resolution of a linear equation system. It gives often rise to a very large sparse unsymmetric matrix. Sometimes, we can only access its elements implicitly that is to say we only know how to make operations
Marc Montagnac
core
Some experiments on the evaluation of functional ranges using a random interval arithmetic
, 2001 International audienceA software tool using standard and special interval arithmetic operations together with an idea which is developed in the discrete stochastic arithmetic (DSA) approach for round-off error evaluation is proposed in this paper for a ...
R. Alt +3 more
core +1 more source