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HPCS
2005
IEEE
14 years 1 months ago
Parallel Lattice Implementation for Option Pricing under Mixed State-Dependent Volatility Models
— With the principal goal of developing an alternative, relatively simple and tractable pricing framework for accurately reproducing a market implied volatility surface, this pap...
Giuseppe Campolieti, Roman Makarov
APPROX
2008
Springer
119views Algorithms» more  APPROX 2008»
13 years 9 months ago
The Complexity of Distinguishing Markov Random Fields
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...
Andrej Bogdanov, Elchanan Mossel, Salil P. Vadhan
ACL
1997
13 years 8 months ago
A Structured Language Model
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...
Ciprian Chelba
CVPR
1998
IEEE
14 years 9 months ago
Nonlinear PHMMs for the Interpretation of Parameterized Gesture
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...
Andrew D. Wilson, Aaron F. Bobick
ICML
2008
IEEE
14 years 8 months ago
A distance model for rhythms
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 ...
Douglas Eck, Jean-François Paiement, Samy B...