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» In Praise of Numerical Computation
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WSC
2004
15 years 6 months ago
Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
Mark Broadie, Özgür Kaya
UAI
2003
15 years 6 months ago
Layerwidth: Analysis of a New Metric for Directed Acyclic Graphs
We analyze a new property of directed acyclic graphs (DAGs), called layerwidth, arising from a class of DAGs proposed by Eiter and Lukasiewicz. This class of DAGs permits certain ...
Mark Hopkins
WSCG
2003
142views more  WSCG 2003»
15 years 6 months ago
Melting Objects
This paper describes a technique for producing realistic animations of melting objects. The work presented here introduces a method that accurately models both thermal flow and t...
Mark W. Jones
ECCV
2010
Springer
15 years 5 months ago
Weakly-Paired Maximum Covariance Analysis for Multimodal Dimensionality Reduction and Transfer Learning
Abstract. We study the problem of multimodal dimensionality reduction assuming that data samples can be missing at training time, and not all data modalities may be present at appl...
Christoph H. Lampert, Oliver Krömer
ARCS
2010
Springer
15 years 4 months ago
A Tightly Coupled Accelerator Infrastructure for Exact Arithmetics
Processor speed and available computing power constantly increases, enabling computation of more and more complex problems such as numerical simulations of physical processes. In t...
Fabian Nowak, Rainer Buchty