scholarly journals SWIFT Calibration of the Heston Model

Mathematics ◽  
2021 ◽  
Vol 9 (5) ◽  
pp. 529
Author(s):  
Eudald Romo ◽  
Luis Ortiz-Gracia
Keyword(s):  
Model Calibration ◽  
Numerical Experiments ◽  
State Of The Art ◽  
A Priori ◽  
Option Price ◽  
Calibration Method ◽  
Heston Model ◽  
Practical Implementation ◽  
European Options ◽  
Wide Range

In the present work, the SWIFT method for pricing European options is extended to Heston model calibration. The computation of the option price gradient is simplified thanks to the knowledge of the characteristic function in closed form. The proposed calibration machinery appears to be extremely fast, in particular for a single expiry and multiple strikes, outperforming the state-of-the-art method we compare it with. Further, the a priori knowledge of SWIFT parameters makes a reliable and practical implementation of the presented calibration method possible. A wide range of stress, speed and convergence numerical experiments is carried out, with deep in-the-money, at-the-money and deep out-of-the-money options for very short and very long maturities.

REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS

2021 ◽  
pp. 2150014
Author(s):  
HIDEHARU FUNAHASHI
Keyword(s):  
Diffusion Process ◽  
Density Function ◽  
Numerical Experiments ◽  
Analytical Formula ◽  
Option Price ◽  
Option Prices ◽  
European Options ◽  
European Option ◽  
Volatility Models ◽  
Replication Scheme

This paper proposes an efficient method for calculating European option prices under local, stochastic, and fractional volatility models. Instead of directly calculating the density function of a target underlying asset, we replicate it from a simpler diffusion process with a known analytical solution for the European option. For this purpose, we derive six functions that characterize the density function of a diffusion process, for both the original and simpler processes and match these functions so that the latter mimics the former. Using the analytical formula, we then approximate the option price of the target asset. By comparison with previous works and numerical experiments, we show that the accuracy of our approximation is high, and the calculation is fast enough for practical purposes; hence, it is suitable for calibration purposes.

Measurements method of the audio recordings acoustic quality indicator prepared for registration and processing in the Unified Biometric System

2019 ◽  
pp. 40-46 ◽  
Author(s):  
V.V. Savchenko ◽  
A.V. Savchenko
Keyword(s):  
Quality Control ◽  
Small Sample Size ◽  
Personal Data ◽  
Digital Processing ◽  
Small Sample ◽  
Practical Implementation ◽  
Acoustic Measurements ◽  
Pitch Frequency ◽  
Wide Range ◽  
Automated Quality Control

We consider the task of automated quality control of sound recordings containing voice samples of individuals. It is shown that in this task the most acute is the small sample size. In order to overcome this problem, we propose the novel method of acoustic measurements based on relative stability of the pitch frequency within a voice sample of short duration. An example of its practical implementation using aninter-periodic accumulation of a speech signal is considered. An experimental study with specially developed software provides statistical estimates of the effectiveness of the proposed method in noisy environments. It is shown that this method rejects the audio recording as unsuitable for a voice biometric identification with a probability of 0,95 or more for a signal to noise ratio below 15 dB. The obtained results are intended for use in the development of new and modifying existing systems of collecting and automated quality control of biometric personal data. The article is intended for a wide range of specialists in the field of acoustic measurements and digital processing of speech signals, as well as for practitioners who organize the work of authorized organizations in preparing for registration samples of biometric personal data.

Method for measuring distortions of a speech signal during its transmission over a communication channel to a biometric identification system

2020 ◽  
pp. 65-72
Author(s):  
V. V. Savchenko ◽  
A. V. Savchenko
Keyword(s):  
Speech Signal ◽  
Communication Channel ◽  
Speaker Identification ◽  
A Priori ◽  
Small Samples ◽  
Practical Implementation ◽  
Identification System ◽  
New Information ◽  
Discrimination Criterion ◽  
A Priori Uncertainty

This paper is devoted to the presence of distortions in a speech signal transmitted over a communication channel to a biometric system during voice-based remote identification. We propose to preliminary correct the frequency spectrum of the received signal based on the pre-distortion principle. Taking into account a priori uncertainty, a new information indicator of speech signal distortions and a method for measuring it in conditions of small samples of observations are proposed. An example of fast practical implementation of the method based on a parametric spectral analysis algorithm is considered. Experimental results of our approach are provided for three different versions of communication channel. It is shown that the usage of the proposed method makes it possible to transform the initially distorted speech signal into compliance on the registered voice template by using acceptable information discrimination criterion. It is demonstrated that our approach may be used in existing biometric systems and technologies of speaker identification.

Building Attention and Edge Convolution Neural Networks for Bioactivity and Physical-Chemical Property Prediction

2019 ◽  
Author(s):  
Michael Withnall ◽  
Edvard Lindelöf ◽  
Ola Engkvist ◽  
Hongming Chen
Keyword(s):  
Message Passing ◽  
State Of The Art ◽  
A Priori ◽  
Model Performance ◽  
Learning Approaches ◽  
Physical Chemical ◽  
Chemical Descriptor ◽  
Derived Properties ◽  
Memory Schemes ◽  
Hyperparameter Selection

We introduce Attention and Edge Memory schemes to the existing Message Passing Neural Network framework for graph convolution, and benchmark our approaches against eight different physical-chemical and bioactivity datasets from the literature. We remove the need to introduce <i>a priori</i> knowledge of the task and chemical descriptor calculation by using only fundamental graph-derived properties. Our results consistently perform on-par with other state-of-the-art machine learning approaches, and set a new standard on sparse multi-task virtual screening targets. We also investigate model performance as a function of dataset preprocessing, and make some suggestions regarding hyperparameter selection.

CLINICAL AND FORENSIC ASPECTS OF PHARMACOBEZOARS

2020 ◽  
Vol 12 ◽  
Author(s):  
Francisco Basílio ◽  
Ricardo Jorge Dinis-Oliveira
Keyword(s):  
State Of The Art ◽  
Signs And Symptoms ◽  
Immediate Release ◽  
Diagnosis And Treatment ◽  
Blood Concentrations ◽  
Forensic Practice ◽  
Wide Range ◽  
Therapeutic Doses ◽  
Complete History ◽  
Lethal Blood

Background: Pharmacobezoars are specific types of bezoars formed when medicines, such as tablets, suspensions, and/or drug delivery systems, aggregate and may cause death by occluding airways with tenacious material or by eluting drugs resulting in toxic or lethal blood concentrations. Objective: This work aims to fully review the state-of-the-art regarding pathophysiology, diagnosis, treatment and other relevant clinical and forensic features of pharmacobezoars. Results: patients of a wide range of ages and in both sexes present with signs and symptoms of intoxications or more commonly gastrointestinal obstructions. The exact mechanisms of pharmacobezoar formation are unknown but is likely multifactorial. The diagnosis and treatment depend on the gastrointestinal segment affected and should be personalized to the medication and the underlying factor. A good and complete history, physical examination, image tests, upper endoscopy and surgery through laparotomy of the lower tract are useful for diagnosis and treatment. Conclusion: Pharmacobezoars are rarely seen in clinical and forensic practice. They are related to controlled or immediate-release formulations, liquid or non-digestible substances, in normal or altered digestive motility/anatomy tract, and in overdoses or therapeutic doses, and should be suspected in the presence of risk factors or patients taking drugs which may form pharmacobezoars.

Computers in Geology - 25 Years of Progress

1994 ◽  
Keyword(s):  
Computer Modeling ◽  
Quantitative Methods ◽  
State Of The Art ◽  
International Association ◽  
Mathematical Geology ◽  
25Th Anniversary ◽  
The Earth ◽  
Wide Range ◽  
History Of ◽  
Mapping Techniques

This volume vividly demonstrates the importance and increasing breadth of quantitative methods in the earth sciences. With contributions from an international cast of leading practitioners, chapters cover a wide range of state-of-the-art methods and applications, including computer modeling and mapping techniques. Many chapters also contain reviews and extensive bibliographies which serve to make this an invaluable introduction to the entire field. In addition to its detailed presentations, the book includes chapters on the history of geomathematics and on R.G.V. Eigen, the "father" of mathematical geology. Written to commemorate the 25th anniversary of the International Association for Mathematical Geology, the book will be sought after by both practitioners and researchers in all branches of geology.

scholarly journals RLC-GNN: An Improved Deep Architecture for Spatial-Based Graph Neural Network with Application to Fraud Detection

2021 ◽  
Vol 11 (12) ◽  
pp. 5656
Author(s):  
Yufan Zeng ◽  
Jiashan Tang
Keyword(s):  
Numerical Experiments ◽  
State Of The Art ◽  
Single Layer ◽  
Fraud Detection ◽  
Layer By Layer ◽  
Residual Structure ◽  
Detection Algorithms ◽  
Deep Architecture ◽  
Graph Neural Networks ◽  
Node Embeddings

Graph neural networks (GNNs) have been very successful at solving fraud detection tasks. The GNN-based detection algorithms learn node embeddings by aggregating neighboring information. Recently, CAmouflage-REsistant GNN (CARE-GNN) is proposed, and this algorithm achieves state-of-the-art results on fraud detection tasks by dealing with relation camouflages and feature camouflages. However, stacking multiple layers in a traditional way defined by hop leads to a rapid performance drop. As the single-layer CARE-GNN cannot extract more information to fix the potential mistakes, the performance heavily relies on the only one layer. In order to avoid the case of single-layer learning, in this paper, we consider a multi-layer architecture which can form a complementary relationship with residual structure. We propose an improved algorithm named Residual Layered CARE-GNN (RLC-GNN). The new algorithm learns layer by layer progressively and corrects mistakes continuously. We choose three metrics—recall, AUC, and F1-score—to evaluate proposed algorithm. Numerical experiments are conducted. We obtain up to 5.66%, 7.72%, and 9.09% improvements in recall, AUC, and F1-score, respectively, on Yelp dataset. Moreover, we also obtain up to 3.66%, 4.27%, and 3.25% improvements in the same three metrics on the Amazon dataset.

scholarly journals A Systematic Review and Qualitative Synthesis Resulting in a Typology of Elementary Classroom Movement Integration Interventions

2020 ◽  
Vol 6 (1) ◽  
Author(s):  
Spyridoula Vazou ◽  
Collin A. Webster ◽  
Gregory Stewart ◽  
Priscila Candal ◽  
Cate A. Egan ◽  
...  
Keyword(s):  
Physical Activity ◽  
Teacher Collaboration ◽  
A Priori ◽  
Real Life ◽  
Dose Intensity ◽  
Routine Practice ◽  
Qualitative Synthesis ◽  
Wide Range ◽  
Meta Analyses ◽  
Movement Integration

Abstract Background/Objective Movement integration (MI) involves infusing physical activity into normal classroom time. A wide range of MI interventions have succeeded in increasing children’s participation in physical activity. However, no previous research has attempted to unpack the various MI intervention approaches. Therefore, this study aimed to systematically review, qualitatively analyze, and develop a typology of MI interventions conducted in primary/elementary school settings. Subjects/Methods Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) guidelines were followed to identify published MI interventions. Irrelevant records were removed first by title, then by abstract, and finally by full texts of articles, resulting in 72 studies being retained for qualitative analysis. A deductive approach, using previous MI research as an a priori analytic framework, alongside inductive techniques were used to analyze the data. Results Four types of MI interventions were identified and labeled based on their design: student-driven, teacher-driven, researcher-teacher collaboration, and researcher-driven. Each type was further refined based on the MI strategies (movement breaks, active lessons, other: opening activity, transitions, reward, awareness), the level of intrapersonal and institutional support (training, resources), and the delivery (dose, intensity, type, fidelity). Nearly half of the interventions were researcher-driven, which may undermine the sustainability of MI as a routine practice by teachers in schools. An imbalance is evident on the MI strategies, with transitions, opening and awareness activities, and rewards being limitedly studied. Delivery should be further examined with a strong focus on reporting fidelity. Conclusions There are distinct approaches that are most often employed to promote the use of MI and these approaches may often lack a minimum standard for reporting MI intervention details. This typology may be useful to effectively translate the evidence into practice in real-life settings to better understand and study MI interventions.

scholarly journals Representation Learning for Fine-Grained Change Detection

Sensors ◽  
2021 ◽  
Vol 21 (13) ◽  
pp. 4486
Author(s):  
Niall O’Mahony ◽  
Sean Campbell ◽  
Lenka Krpalkova ◽  
Anderson Carvalho ◽  
Joseph Walsh ◽  
...  
Keyword(s):  
Deep Learning ◽  
Change Detection ◽  
Model Calibration ◽  
State Of The Art ◽  
Representation Learning ◽  
Machine Intelligence ◽  
The State ◽  
Sensor Data ◽  
Fine Grained ◽  
Learning Techniques

Fine-grained change detection in sensor data is very challenging for artificial intelligence though it is critically important in practice. It is the process of identifying differences in the state of an object or phenomenon where the differences are class-specific and are difficult to generalise. As a result, many recent technologies that leverage big data and deep learning struggle with this task. This review focuses on the state-of-the-art methods, applications, and challenges of representation learning for fine-grained change detection. Our research focuses on methods of harnessing the latent metric space of representation learning techniques as an interim output for hybrid human-machine intelligence. We review methods for transforming and projecting embedding space such that significant changes can be communicated more effectively and a more comprehensive interpretation of underlying relationships in sensor data is facilitated. We conduct this research in our work towards developing a method for aligning the axes of latent embedding space with meaningful real-world metrics so that the reasoning behind the detection of change in relation to past observations may be revealed and adjusted. This is an important topic in many fields concerned with producing more meaningful and explainable outputs from deep learning and also for providing means for knowledge injection and model calibration in order to maintain user confidence.

scholarly journals Analysis of the Practical Implementation of Flicker Measurement Coprocessor for AMI Meters

Energies ◽  
2021 ◽  
Vol 14 (6) ◽  
pp. 1589
Author(s):  
Krzysztof Kołek ◽  
Andrzej Firlit ◽  
Krzysztof Piątek ◽  
Krzysztof Chmielowiec
Keyword(s):  
Code Generation ◽  
State Of The Art ◽  
Power Grids ◽  
Practical Implementation ◽  
System A ◽  
Measuring Devices ◽  
Point Representation ◽  
Measurement Algorithm ◽  
On Chip ◽  
Vhdl Code

Monitoring power quality (PQ) indicators is an important part of modern power grids’ maintenance. Among different PQ indicators, flicker severity coefficients Pst and Plt are measures of voltage fluctuations. In state-of-the-art PQ measuring devices, the flicker measurement channel is usually implemented as a dedicated processor subsystem. Implementation of the IEC 61000-4-15 compliant flicker measurement algorithm requires a significant amount of computational power. In typical PQ analysers, the flicker measurement is usually implemented as a part of the meter’s algorithm performed by the main processor. This paper considers the implementation of the flicker measurement as an FPGA module to offload the processor subsystem or operate as an IP core in FPGA-based system-on-chip units. The measurement algorithm is developed and validated as a Simulink diagram, which is then converted to a fixed-point representation. Parts of the diagram are applied for automatic VHDL code generation, and the classifier block is implemented as a local soft-processor system. A simple eight-bit processor operates within the flicker measurement coprocessor and performs statistical operations. Finally, an IP module is created that can be considered as a flicker coprocessor module. When using the coprocessor, the main processor’s only role is to trigger the coprocessor and read the results, while the coprocessor independently calculates the flicker coefficients.

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