In this paper we will approximate the sum of the margins from a two dimensional lognormal variable by moment matching with a one dimensional lognormal variable. We will look at different cases of correlation and volatility in the two dimensional variable to analyse the accuracy of the approximation. Basket options will be valuated based on the sum of two coupled lognormal assets and a univariat...

We describe an opportunity to speed up multi-stage scenario generation and reduction using a combination of two well known methods: the moment matching method (Høyland and Wallace 2001) and the method for scenario reduction to approximately minimize a metric (Heitsch and Römish 2009). Our suggestions is to combine them rather than using them in serial by making use of a stage-wise approximation...

The effective bandwidth approximation is an attractive mechanism for performing call admission control in ATM networks. We present a methodology for evaluating the effective bandwidth of arbitrary on/off sources. An arbitrary on/off source is described by a stochastic process which alternates between on and off periods that have arbitrary probability density functions. We present two approximat...

In this paper, we present a fingerprint matching approach based on localizing the matching regions in fingerprint images. The determination of the location of such Region Of Interest (ROI) using only the information related to core points based on a novel feature vectors extracted for each fingerprint image by Zernike Moment Invariant (ZMI) as the shape descriptor. The Zernike Moments is select...

One way to rtidiate m impulse-like waveform is to employ a TEM-fed paraboloidal reflector mtenna. Various performance features of this antenna, such as prcpulse, impulse amplitude, impulse width etc., h:~vcbeen an;dyzcd in the past ( 1 to 8]. It hos been obscrveci that the low frequency or Iatc-time pcrforrmmce of this fotm of an IRA is governed by the elecrnc and magnetic dipole morncnts. A kn...

This paper extends the moment matching market implied calibration procedure [8] to Markov models with piecewise constant parameters between successive quoted option maturities. The Markov property allows us to determine the parameter set of each subprocess by a bootstrapping moment matching calibration. This sequential calibration arises naturally due to the additive property of cumulants of in...