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WSC
2004
15 years 8 months ago
Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
Mark Broadie, Özgür Kaya
UAI
2003
15 years 8 months ago
Layerwidth: Analysis of a New Metric for Directed Acyclic Graphs
We analyze a new property of directed acyclic graphs (DAGs), called layerwidth, arising from a class of DAGs proposed by Eiter and Lukasiewicz. This class of DAGs permits certain ...
Mark Hopkins
BMVC
1996
15 years 8 months ago
Spatial-Temporal Reasoning Based on Object Motion
This paper describes the continuing development of a system for tracking multiple man made objects, (typically vehicles) moving in a natural open world scene, where the detected m...
M. K. Teal, Tim J. Ellis
EUROGRAPHICS
2010
Eurographics
15 years 8 months ago
Scalable Height Field Self-Shadowing
We present a new method suitable for general purpose graphics processing units to render self-shadows on dynamic height fields under dynamic light environments in real-time. Visib...
Ville Timonen and Jan Westerholm
BIBE
2010
IEEE
181views Bioinformatics» more  BIBE 2010»
15 years 8 months ago
Multi Level Clustering of Phylogenetic Profiles
The prediction of gene function from genome sequences is one of the main issues in Bioinformatics. Most computational approaches are based on the similarity between sequences to in...
Fotis E. Psomopoulos, Pericles A. Mitkas