— With the principal goal of developing an alternative, relatively simple and tractable pricing framework for accurately reproducing a market implied volatility surface, this pap...
Abstract. Markov random fields are often used to model high dimensional distributions in a number of applied areas. A number of recent papers have studied the problem of reconstruc...
A new language model for speech recognition inspired by linguistic analysis is presented. The model develops hidden hierarchical structure incrementally and uses it to extract mea...
In previous work [14], we modify the hidden Markov model (HMM) framework to incorporate a global parametric variation in the output probabilities of the states of the HMM. Develop...
Modeling long-term dependencies in time series has proved very difficult to achieve with traditional machine learning methods. This problem occurs when considering music data. In ...