43 search results - page 4 / 9 » An algorithm for estimating time-varying commodity price mod... |
WSC
2001
13 years 8 months ago
2001
We address performance issues associated with simulationbased algorithms for optimizing Markov reward processes. Specifically, we are concerned with algorithms that exploit the re...
WSC
2001
13 years 8 months ago
2001
In this paper we present an algorithm for simulating functions of the minimum and terminal value for a random walk with Gaussian increments. These expectations arise in connection...
RTS
2002
13 years 7 months ago
2002
This paper presents a Feedback Control real-time Scheduling (FCS) framework for adaptive realtime systems. An advantage of the FCS framework is its use of feedback control theory ...
SAC
2002
ACM
13 years 7 months ago
2002
ACM
The theoretical price of a financial option is given by the expectation of its discounted expiry time payoff. The computation of this expectation depends on the density of the val...
SIGECOM
2011
ACM
12 years 10 months ago
2011
ACM
Market making refers broadly to trading strategies that seek to profit by providing liquidity to other traders, while avoiding accumulating a large net position in a stock. In th...