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Instantaneous frequency estimation using double-sided exponentially forgetting transform
2004 IEEE International Conference on Acoustics, Speech, and Signal Processing, 2004In this paper, we propose a new type of time-frequency distribution, named double-sided exponentially forgetting transform (DSEFT). In addition, an algorithm for instantaneous frequency estimation using DSEFT is presented. It is shown that the DSEFT offers good time-frequency resolution and that stable reconstruction of a signal from samples of the ...
Tao Li, Shao-quan Yang, Jian-long Tang
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A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
Operations Research, 2005This paper develops algorithms for the pricing of discretely sampled barrier, lookback, and hindsight options and discretely exercisable American options. Under the Black-Scholes framework, the pricing of these options can be reduced to evaluation of a series of convolutions of the Gaussian distribution and a known function.
M. Broadie, Y. Yamamoto
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International Journal of Circuit Theory and Applications, 1997
In this paper a new tool, i.e. the double exponential transform, is introduced for characterizing a non-linear dynamic circuit directly on the basis of its elements. The resulting characterization aims to improve the computational cost connected with the analysis and to add flexibility to the identification procedure of unknown elements in a circuit of
Giuseppe Martinelli, C. D'Acunto
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In this paper a new tool, i.e. the double exponential transform, is introduced for characterizing a non-linear dynamic circuit directly on the basis of its elements. The resulting characterization aims to improve the computational cost connected with the analysis and to add flexibility to the identification procedure of unknown elements in a circuit of
Giuseppe Martinelli, C. D'Acunto
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Journal of Mathematical Imaging and Vision, 2021
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Bin Ma 0003 +6 more
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Bin Ma 0003 +6 more
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Nonlinear filtering using the double exponential transformation
Signal Processing, Sensor/Information Fusion, and Target Recognition XXXIIINonlinear Gaussian filters have traditionally used cubature rules and/or Gaussian quadrature to compute multidimensional expectation integrals recursively, which provide mean and covariance estimates of the state and state error, respectively. Minimal and near minimal-point filters attain moderate accuracy while avoiding the so-called “curse of ...
Butler Q +4 more
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Wavefront dependent dielectric strength of transformer oil under double-exponential impulse voltage
IEEE Transactions on Dielectrics and Electrical Insulation, 2018Lightning impulse withstand test is extremely important to the insulation examination of oil-immersed equipment, but the increase of the entrance capacitance of ultrahigh voltage equipment usually makes the front time T 1 of test impulses exceed the upper limit regulated by IEC 60060-1.
Heli Ni +7 more
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International Journal of Theoretical and Applied Finance, 2004
We derive explicit formulas for pricing double (single) barrier and touch options with time-dependent rebates assuming that the asset price follows a double-exponential jump diffusion process. We also consider incorporating time-dependent volatility.
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We derive explicit formulas for pricing double (single) barrier and touch options with time-dependent rebates assuming that the asset price follows a double-exponential jump diffusion process. We also consider incorporating time-dependent volatility.
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SSRN Electronic Journal, 2018
While the idea of pricing options by Fourier methods has been around for more than two decades, the numerical evaluation of the necessary semi-infinite Fourier style integrals remains a challenging problem. Existing methods in the literature frequently lack robustness, and in practice often result in disappointing precision, especially when the ...
Leif B.G. Andersen, Mark Lake
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While the idea of pricing options by Fourier methods has been around for more than two decades, the numerical evaluation of the necessary semi-infinite Fourier style integrals remains a challenging problem. Existing methods in the literature frequently lack robustness, and in practice often result in disappointing precision, especially when the ...
Leif B.G. Andersen, Mark Lake
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Communications in Nonlinear Science and Numerical Simulation, 2020
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Afshin Babaei +3 more
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Afshin Babaei +3 more
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