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FS
2006
87views more  FS 2006»
15 years 6 months ago
Generic market models
Abstract. Currently, there are two market models for valuation and risk management of interest rate derivatives, the LIBOR and swap market models. We introduce arbitrage-free const...
Raoul Pietersz, Marcel van Regenmortel
FS
2006
84views more  FS 2006»
15 years 6 months ago
Iterative construction of the optimal Bermudan stopping time
Abstract. We present an iterative procedure for computing the optimal Bermudan stopping time, hence the Bermudan Snell envelope. The method produces an increasing sequence of appro...
Anastasia Kolodko, John Schoenmakers
CGF
2007
134views more  CGF 2007»
15 years 6 months ago
3D Lip-Synch Generation with Data-Faithful Machine Learning
This paper proposes a new technique for generating three-dimensional speech animation. The proposed technique takes advantage of both data-driven and machine learning approaches. ...
Ig-Jae Kim, Hyeong-Seok Ko
CN
2007
116views more  CN 2007»
15 years 6 months ago
Joint call and packet QoS in cellular packet networks
This paper proposes a novel call admission control scheme capable of providing a combination of call and packet level quality of service requirements in cellular packet networks. ...
Majid Ghaderi, Raouf Boutaba, Gary W. Kenward
IOR
2008
109views more  IOR 2008»
15 years 6 months ago
Polynomial-Time Algorithms for Stochastic Uncapacitated Lot-Sizing Problems
In 1958, Wagner and Whitin published a seminal paper on the deterministic uncapacitated lot-sizing problem, a fundamental model that is embedded in many practical production plann...
Yongpei Guan, Andrew J. Miller