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FS
2010
140views more  FS 2010»
13 years 8 months ago
Nonparametric estimation for a stochastic volatility model
Abstract Consider discrete time observations (X δ)1≤ ≤n+1 of the process X satisfying dXt = √ VtdBt, with Vt a one-dimensional positive diffusion process independent of the...
F. Comte, V. Genon-Catalot, Yves Rozenholc
EOR
2010
99views more  EOR 2010»
13 years 5 months ago
Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a sufficiently attractive expected gai...
Mustafa Ç. Pinar, Aslihan Salih, Ahmet Camc...
PODC
2011
ACM
13 years 29 days ago
MIS on trees
A maximal independent set on a graph is an inclusion-maximal set of mutually non-adjacent nodes. This basic symmetry breaking structure is vital for many distributed algorithms, w...
Christoph Lenzen, Roger Wattenhofer
ICSE
2001
IEEE-ACM
14 years 2 months ago
Using Transformation Systems for Software Maintenance and Reengineering
Software maintenance costs dominate software engineering costs, partly because most such engineering is done manually. Program Transformation tools leverage an engineer-provided b...
Ira D. Baxter
IWPC
2010
IEEE
13 years 8 months ago
Studying the Impact of Social Structures on Software Quality
Abstract—Correcting software defects accounts for a significant amount of resources such as time, money and personnel. To be able to focus testing efforts where needed the most,...
Nicolas Bettenburg, Ahmed E. Hassan