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Swap rate variance swaps [PDF]

open access: possibleQuantitative Finance, 2008
We study the hedging and valuation of generalized variance swaps defined on a forward swap interest rate. Our motivation is the fundamental role of variance swaps in the transfer of variance risk, and the extensive empirical evidence documenting that the variance realized by interest rates is stochastic.
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On the swapping algorithm

Random Structures & Algorithms, 2002
AbstractThe Metropolis‐coupled Markov chain method (or “Swapping Algorithm”) is an empirically successful hybrid Monte Carlo algorithm. It alternates between standard transitions on parallel versions of the system at different parameter values, and swapping two versions.
Neal Madras, Zhongrong Zheng
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The swapping problem

Networks, 1992
AbstractEach vertex of a graph initially may contain an object of a known type. A final state, specifying the type of object desired at each vertex, is also given. A single vehicle of unit capacity is available for shipping objects among the vertices.
Shoshana Anily, Refael Hassin
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Network Swapping

2005
Wireless mobile terminals have limited storage memory due to weight, size and power constraints. Potentially unlimited virtual memory could be found on remote servers made accessible through a wireless link, but power hungry wireless network interface cards (WNIC) may reduce the battery lifetime if not efficiently exploited, actually limiting the ...
LATTANZI, EMANUELE   +2 more
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Approximate swapped matching

Information Processing Letters, 2000
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Amihood Amir   +2 more
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