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SIAMSC
2008
99views more  SIAMSC 2008»
13 years 7 months ago
Monte Carlo Greeks for Financial Products via Approximative Transition Densities
In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities ("Greeks"). These estimators are ba...
Jörg Kampen, Anastasia Kolodko, John Schoenma...
COLT
2007
Springer
14 years 1 months ago
On-Line Estimation with the Multivariate Gaussian Distribution
We consider on-line density estimation with the multivariate Gaussian distribution. In each of a sequence of trials, the learner must posit a mean µ and covariance Σ; the learner...
Sanjoy Dasgupta, Daniel Hsu
DCC
2003
IEEE
14 years 29 days ago
Universal Multiple Description Scalar Quantization: Analysis and Design
—This paper introduces a new high-rate analysis of the multiple description scalar quantizer (MDSQ) with balanced descriptions. The analysis provides insight into the structure o...
Chao Tian, Sheila S. Hemami
GLOBECOM
2008
IEEE
14 years 2 months ago
Noise Thresholds for Discrete LDPC Decoding Mappings
— For decoding low-density parity-check (LDPC) codes on discrete memoryless channels, a method to quantize messages and to find message-passing decoding functions for the variab...
Brian M. Kurkoski, Kazuhiko Yamaguchi, Kingo Kobay...
ICIP
1998
IEEE
14 years 9 months ago
Multiple Description Transform Coding of Images
Generalized multiple description coding (GMDC) is source coding for multiple channels such that a decoder which receives an arbitrary subset of the channels may produce a useful r...
Vivek K. Goyal, Jelena Kovacevic, Ramon Arean, Mar...