"New Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation" [PDF]
In the present paper, we propose a new computational technique with the Asymptotic Expansion (AE) approach to achieve variance reduction of the Monte-Carlo integration appearing especially in finance.
Akihiko Takahashi, Yoshihiko Uchida
core
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
, 2009 In this paper we develop structural first passage models (AT1P and SBTV) with time-varying volatility and characterized by high tractability, moving from the original work of Brigo and Tarenghi (2004, 2005) [19] [20] and Brigo and Morini (2006)[15].
Brigo, Damiano +2 more
core +2 more sources
Self‐organized Criticality in Neuromorphic Nanowire Networks With Tunable and Local Dynamics
Advanced Functional Materials, EarlyView.Memristive nanowire networks (NWNs) are shown to be electrically tunable to a critical state where specific local dynamics evaluated by multiterminal characterization are exploited as feature selection in nonlinear transformation (NLT) tasks.
Fabio Michieletti +3 more
wiley +1 more source
A Proposal for Multi-asset Generalised Variance Swaps [PDF]
arXiv, 2019 This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigen-value and trace of the covariance matrix of the assets involved. We price these generalized variance swaps for financial markets with Markov-modulated volatilities.
arxiv
Programmable Liquid Crystal Elastomers Via Magnetic Field Assisted Oligomerization
Advanced Functional Materials, EarlyView.This article presents a straightforward method for designing programmable liquid crystal elastomer (LCE) actuators using magnetic field alignment. It combines thio‐Michael polyaddition for efficient LCE synthesis with a strategy that preserves the nematic phase, enabling the alignment of high molecular weight LCOs.
Rakine Mouhoubi +2 more
wiley +1 more source
Actual factors to determine cross-currency basis swaps: An empirical study on US dollar/Japanese yen basis swap rates from the late 1990s [PDF]
Cross-currency basis swap rates that exchange US-dollar (USD) and Japanese-yen (JPY) LIBORs have fluctuated since the late 1990s. It is increasingly important for market participants to figure out such swap rates, but there have not been many empirical ...
Shinada, Naoki
core +1 more source
Autonomous Control of Extrusion Bioprinting Using Convolutional Neural Networks
Advanced Functional Materials, EarlyView.This work presents a novel computer vision system for high‐fidelity monitoring of extrusion‐based bioprinting and a correction system utilizing convolutional neural networks for error mitigation. This system has demonstrated high detection accuracy and extrusion correction abilities that advance the state of the art toward accelerated printing ...
Daniel Kelly +4 more
wiley +1 more source
A model-independent maximum range for the liquidity correction of TIPS yields [PDF]
We derive a model-independent maximum range for the admissible liquidity risk premium in real Treasury bonds—also known as Treasury Inflation Protected Securities (TIPS).
James M. Gillan, Jens H.E. Christensen
core
Engineering a Spin‐Orbit Bandgap in Graphene‐Tellurium Heterostructures
Advanced Functional Materials, EarlyView.Tellurium intercalation in epitaxial graphene on Ir(111) enables the emergence of a spin–orbit‐induced bandgap with energy spin splitting. By combining STM, ARPES, spin‐resolved ARPES, and DFT, two structural phases are identified, both exhibiting tunable electronic doping.
Beatriz Muñiz Cano +14 more
wiley +1 more source
Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models [PDF]
arXiv, 2017 In this chapter, we consider volatility swap, variance swap and VIX future pricing under different stochastic volatility models and jump diffusion models which are commonly used in financial market. We use convexity correction approximation technique and Laplace transform method to evaluate volatility strikes and estimate VIX future prices.
arxiv