We are concerned with the valuation of European options in the Heston stochastic volatility model with correlation. Based on Mellin transforms, we present new solutions for the price of European options and hedging parameters. In contrast to Fourier-based approaches, where the transformation variable is usually the log-stock price at maturity, our framework focuses on directly transforming the ...

It is important for almost all transaction processing and computer-communication systems to satisfy response time quantile targets. This paper describes HYDRA, a scalable parallel tool for the analytical determination of response time densities in large, structurally-unrestricted Markov models derived from high-level specifications. The tool exploits an efficient distributed uniformization-base...

We present a new framework for large-scale data clustering. The main idea is to modify functional dimensionality reduction techniques to directly optimize over discrete labels using stochastic gradient descent. Compared to methods like spectral clustering our approach solves a single optimization problem, rather than an ad-hoc two-stage optimization approach, does not require a matrix inversion...

We present a stochastic formulation of the inverse problem of determination of the inner radius and electromagnetic properties of metal tubes from the measured coil impedance. The inversion procedure is based on the Monte Carlo Markov chain method and the analytical impedance model developed and validated in our previous work. The impedance measurement uncertainty is included as the prior proba...

We present a new method for reducing the stochastic noise of all-to-all propagators based on stopping the inversion of the propagator before convergence. The method is easy to implement, unbiased and independent of the quark action. Applying this method to the calculation of disconnected loops needed for hadronic structure observables we find savings in computer time of factors of 4− 12 dependi...

Relative intensity fluctuations in single-mode class B lasers, i.e., a laser diode (LD) and a microchip Nd YVO(4) solid-state laser (SSL), were examined. Experimental observations revealed significant difference in the characteristics of the LD and the SSL. A stochastic laser model and the Fokker-Planck equation approach were used, and reduced moment equations were developed. A close agreement ...

In this paper, we propose an importance-sampling based method to obtain an unbiased simulator to evaluate expectations involving random variables whose probability density functions are unknown while their Fourier transforms have an explicit form. We give a general principle about how to choose appropriate importance samplers under different models. Compared with the existing methods, our metho...

This paper is concerned with a stochastic inverse methodology arising in electromagnetic imaging. Nondestructive testing using guided microwaves covers a wide range of industrial applications including early detection of anomalies in conducting materials. The focus of this paper is the identification of electromagnetic material parameters and emphasis is on one dimensional scattering of a diele...

the application of energy absorbing systems in the structures are one of the main methods in attenuation of earthquake effects. in this paper, the vibration control of structures by using of tube inversion systems is considered. in this novel system, the energy is dissipated by the inversion of a metal tube. this energy dissipater has large energy absorbing capacity along with constant stiffnes...

Snapping shrimp dominate ambient noise over 2–300 kHz in warm shallow water. To investigate spatial & temporal behaviour, a stochastic tomographic inversion experiment & signal-processing algorithm have been designed. The experiment uses a set of directional hydrophones with parabolic acoustic mirrors steered in azimuth and elevation by onboard microprocessor systems with pitch and heading sens...