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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
WSC
1998
15 years 8 months ago
Architecture for a Non-deterministic Simulation Machine
Causality constraints of random discrete simulation make parallel and distributed processing difficult. Methods of applying reconfigurable logic to implement and accelerate simula...
Marc Bumble, Lee D. Coraor
SIGMETRICS
2010
ACM
203views Hardware» more  SIGMETRICS 2010»
15 years 7 months ago
An analytical framework to infer multihop path reliability in MANETs
Abstract Due to complexity and intractability reasons, most of the analytical studies on the reliability of communication paths in mobile ad hoc networks are based on the assumptio...
Nelson Antunes, Gonçalo Jacinto, Antó...
ICASSP
2010
IEEE
15 years 7 months ago
Predicting interruptions in dyadic spoken interactions
Interruptions occur frequently in spontaneous conversations, and they are often associated with changes in the flow of conversation. Predicting interruption is essential in the d...
Chi-Chun Lee, Shrikanth Narayanan
DAGM
2010
Springer
15 years 7 months ago
Learning of Optimal Illumination for Material Classification
We present a method to classify materials in illumination series data. An illumination series is acquired using a device which is capable to generate arbitrary lighting environment...
Markus Jehle, Christoph Sommer, Bernd Jähne