an efficient numerical method for pricing interest rate swaptions

... mengurangkan kejituan saluran dijangka Selanjutnya, penganggaran saluran ini kemudian digunakan untuk menguji kesan penganggaran pandu menggunakan teknik penganggaran yang berbeza seperti Ralat Ganda ... kadar data yang tinggi dalam persekitaran bergerak kerana ketahanannya terhadap Gangguan Antara Simbol (ISI) pembangunan penerima cekap dengan teknik penganggaran saluran yang tepat sangat penting ... memudahkan ramalan isyarat yang diterima Pemodulatan terbantu simbol pandu diperkenalkan untuk mencapai penganggaran saluran yang bolehharap melalui penghantaran isyarat pandu bersamasama dengan simbol...

Ngày tải lên: 26/05/2013, 21:28

... 391 (worst) 271 EFFICIENT GENETIC ALGORITHM 31 Table Summary of the first 10 iterations of GA Iter Merge Draft Candidate Fitness Replace 10 and 4 and and and 2 and and and and and and 1-2-3-10-11-12 ... can solve some instances of the p-median problem with reasonable effort A typical approach is to combine Lagrangian relaxation with branch-and-bound (see, for example, (Daskin, 1995)) Galvão and ... Myroon and Strangway, 2000)) Teitz and Bart (1968) presented one of the oldest and most popular heuristic algorithms for this problem It is essentially an exchange heuristic that starts with a random...

Ngày tải lên: 08/08/2013, 08:38

... time Though this m a y not look like an efficient way at first glance, it has been performed efficiently by shared m e m o r y mechanisms and our copying methods A CSA uses two different types ... waiting for either an active edge or an inactive edge, and performs the following procedure when receiving an edge • When Pk receives an active edge (i,z - A o x B ) , 7-)k preserve the edge and ... NLP systems have many possibilities If we introduce semantic processing for instance, overall processing time may not change because the idle time is used for semantic processing Another possibility...

Ngày tải lên: 20/02/2014, 18:20

... generation algorithm which can form part of any Shakeand-Bake style MT system with suitable grammars and information transfer The transfer module is free to attempt structural transfer in order to produce ... In C Copeland, J Durand, S Krauwer, and B Maegaard, editors, The Eurotra Formal Specifications Studies in Machine Translation and Natural Language Processing 2, pages 15-124 Office for Official ... Tomita, and Kenneth Goodman 1992 Machine Translation: A Knowledge-Based Approach Morgan Kaaufmann, San Mateo, CA Fred Popowich 1994 Improving the Efficiency of a Generation Algorithm for Shake and...

Ngày tải lên: 20/02/2014, 22:20

... ∈ ΣC and are distinct, and p1 , , pk ∈ ΣP and are distinct, and where k ≤ nC If for a partial solution σ , we have that σ ⊂ σ , then we say that σ extends σ If the size of σ is k+1 and σ ... meaning, in particular, that ciphertext letters not in its range can be mapped to any plaintext letter, and not even need to be consistently mapped to the same plaintext letter in every instance ... present method, the role of the language model can be acutely perceived; both the time complexity of the algorithm and the accuracy of the results depend crucially on this characteristic of the language...

Ngày tải lên: 17/03/2014, 00:20

... price of any coupon bond can be computed from an interest rate curve In particular, if the principal and interest payment of a bond is c j dollars at time t j , for ≤ j ≤ K , then the pricing ... by (2.3) We are not interested in pricing a bond, given an interest rate curve, but in estimating an interest rate curve, given a set of bond prices We develop the model and notation that we ... spaced and the GCV method selects a relatively small value for the roughness penalty - less than 10 In those months, an extremely large pricing error can occur for the last out-of-sample bond An...

Ngày tải lên: 22/03/2014, 17:20

... 0fthe following forms: • NA stands for null adjoining and means that at node X no adjoining can take place, • SA(B) stands for selective adjoining and means that at X the adjoining of an auxil- 285 ... tree (6 B) can take place (where each tree in B h a s the same root and foot node label as X) or TWO FORM TRANSFORMATION The parsing algorithm of Vijay.Shanker and Joshi • OA(B) stands for obligalory ... is transformed in two form so that condition can be satisfied easier This transformation is accomplished by the constructive proof for the theorem that for each TAG (or TAG with Constraints for...

Ngày tải lên: 31/03/2014, 18:20

... we get explicit formulas for PDAC problem The proposed formulas deliver high-performance computing of network resources assignment under PDAC requirements Thus, an efficient method for proportional ... “Sharp bounds and simple approximations for the Erlang delay and loss formulas,” Management Sciences, vol 34, no 8, pp 959–972, 1988 [7] N Christin, J Liebeherr, and T Abdelzaher, “Enhancing classbased ... adaptive rate allocation and dropping mechanisms,” IEEE/ACM Transactions on Networking, vol 15, no 3, pp 669–682, 2007 [8] J Koo, V V Shakhov, and H Choo, An Enhanced RED-Based Scheme for Differentiated...

Ngày tải lên: 21/06/2014, 05:20

... where a and t are the bounds of operation for a Dt f t Usually, we assume lower boundary a For many engineering applications the Laplace transform methods are often used The Laplace transform of ... via different numerical methods as for example homotopy perturbation method, variational iteration method, and so on Discussion The proposed numerical method is also known as Euler method which ... can be written by using a Laplace transform of the Mittag-Leffler function : sγ−β , sγ z 3.4 Σ0 λ tE1−α,2 − t1−α μ μ 3.5 £ tβ−1 Eγ,β −ztγ and we obtain an analytical solution in the form θ t For...

Ngày tải lên: 21/06/2014, 05:20

... concentration and hence enhance the cytotoxicity of anticancer agents Meanwhile, it is observed that the inhibition effect for drug-resistant K562/AO2 cancer cells was relatively significant than that for ... into the nanocomposites and stored in the dark at 4°C for more than 12 h to form the PLA/Au nanocomposites conjugated with dauborubicin Atomic Force Microscopy Study In a relevant atomic force microscopy ... 72(4):477-485 30 Zhang RY, Wang XM, He NY: J Nanosci Nanotech 2005, 5:1245-1248 31 Lv G, He F, Wang XM, Gao F, Zhang G, Wang T, Jiang H, Wu CH, Guo DD, Li XM, Chen BA, Gu ZZ: Langmuir 2008, 24:2151-2156...

Ngày tải lên: 21/06/2014, 08:20

... variational inequalities and convergence rates,” Set-Valued Analysis, vol 6, no 4, pp 313–344, 1998 W Takahashi and M Toyoda, “Weak convergence theorems for nonexpansive mappings and monotone mappings,” ... 747–756, 1976 N Nadezhkina and W Takahashi, “Weak convergence theorem by an extragradient method for nonexpansive mappings and monotone mappings,” Journal of Optimization Theory and Applications, vol ... approximation methods for nonexpansive mappings,” Journal of Mathematical Analysis and Applications, vol 298, no 1, pp 279–291, 2004 18 E Blum and W Oettli, “From optimization and variational...

Ngày tải lên: 21/06/2014, 23:20

... convergence rates are increasing as N increases for any fixed ε Tables and thus verify the ε-uniform convergence of the numerical solutions and the computed rates are in agreement with our theoretical analysis ... pN , ≤ p ≤ m, 4.2 and consequently m ωN0 ωN,p 4.3 p g ti for any function g t , and moreover yi To simplify the notation, we set gi denotes an approximation of u t at ti For any mesh function ... Techniques for Boundary Layers, vol 16 of Applied Mathematics and Mathematical Computation, Chapman & Hall/CRC, Boca Raton, Fla, USA, 2000 H.-G Roos, M Stynes, and L Tobiska, Numerical Methods for Singularly...

Ngày tải lên: 22/06/2014, 11:20

... stability c control,” Optimization Methods & Software, vol 19, no 5, pp 595–609, 2004 D Sun, J Sun, and L Zhang, “The rate of convergence of the augmented Lagrangian method for nonlinear semidefinite programming,” ... of convergence of the classical augmented Lagrangian method and Noll 2007 investigated the convergence properties of a class of nonlinear Lagrangian methods In Section 2, we introduce preliminaries ... at x; ii for any Δx ∈ X and V ∈ ∂Φ x Φx Δx with Δx→0, Δx − Φ x − V Δx o Δx 2.4 Furthermore, Φ is said to be strongly semismooth at x ∈ O if Φ is semismooth at x and for any Δx ∈ X and V ∈ ∂Φ...

Ngày tải lên: 22/06/2014, 18:20

... convergence analysis of (9) is accurate for L = For each simulation run, a ten-by-ten matrix W(0) is generated with random orthonormal real-valued left and right singular vectors and a set√ ten ... 2D z-transform of {W p,q (t)} and [·]N here denotes M truncation of its two-dimensional polynomial argument to the individual powers for z1 and z2 within the range [M, N] We can illustrate the ... testing the iterative procedure in a method that we use to explore its intrinsic numerical performance in the next section 6 VERIFICATION OF NUMERICAL PERFORMANCE η(t) = (L−1)/2 l=−(L−1)/2 L−1...

Ngày tải lên: 22/06/2014, 23:20

... buffer, are only efficient for a range of species or for one type of plant material Last but not least, most of the protocols are simply not efficient for difficult material Many protocols may ... 360 000) and a variety of reductants (DTT, ascorbic acid, β-mercaptoethanol) PVP and reductants are used to avoid the formation of insoluble complexes between phenolic substances and DNA ... sources of plant material The method of Sul and Korban [12] was originally designed for extracting DNA from in vitro cultures of apple tree, Italian stone pine, rose and tobacco Applied to plant material...

Ngày tải lên: 08/08/2014, 14:21

... NSP 0.08 0.10 Drop rate Drop rate Figure Accuracy versus ADPs for CRLMM (orange) and BRLMM (purple) Accuracy versus ADPs for CRLMM (orange) and BRLMM (purple) Drop rates between and 10% are examined ... step and demonstrate important practical implications Across datasets from multiple laboratories and by different methods of validation, CRLMM is just as, and in many cases more, accurate than ... HapMap and Affymetrix and, thus, these SNPs were corrected by hand For the replicate data, high quality chips (operationally defined as having an SNR greater than 4.5 and 2.36 for the 100K and 500K...

Ngày tải lên: 14/08/2014, 08:21

... 1.2.1 1.2.2 1.2.3 1.2.4 Analytical Methods Numerical Methods Moving Element Methods Disk Model 1.3 Objectives and Scope 1.4 Layout of Thesis METHODOLOGY AND FORMULATION 2.1 Formulation of Plate ... and Scope This thesis aims to develop an accurate and efficient methodology for the dynamic analysis of disk subjected to transverse load with relative motion using MEM A program written in Fortran ... adopted by most analytical solutions, in-plane membrane forces of rotation are assumed to be unaffected by transverse motion of the plate The inplane and transverse solutions are uncoupled and equilibrium...

Ngày tải lên: 16/09/2015, 15:43

... implement an efficient HTS on low speed platforms, speeding up the performance of core-engine is on demand This work uses a co-processor to accelerate the performance of HTS built on FPGA-based platform ... consume about 10% and 90% of total time-cost, respectively [15] The performance of HTS-engine on FPGA-based platform is shown in Table Table Performance of HTS-engine on FPGA-based platform FPGA device ... and cosine FPU is shared for the arbiters and sub-modules of SPG and SSG In order to avoid the conflict, at any time, at most one arbiter or one sub-module can use FPU, i.e., other arbiters and...

Ngày tải lên: 12/06/2016, 08:07

... 5572 (2004) NUMERICAL METHOD FOR CHOICE OF WEIGHTING MATRICES 57 first one, i.e Jopt(W) For example, for the performance index J described in Equation (1) W collects the matrices Q and R or their ... quadratic performance index At the second step the weighting coefficients for the performance index used in the first one is carried out It means that the second criterion is a working criterion for the ... direct criteria for structural control of seismically excited buildings However, the feedback optimal control solutions are known for performance indices in the form of matrix norms and for linear...

Ngày tải lên: 17/06/2016, 14:09

... Deutsche Bank AG, Goldman Sachs & Co., HSBC Group, J.P Morgan, Morgan Stanley, The Royal Bank of Scotland Group, Société Générale, UBS AG, and Wachovia Bank N.A A similar analysis was performed for ... price-forming transactions, non-price-forming transactions, and excluded transactions (The box on page describes the non-price forming and excluded transactions.) The definition of price-forming ... Golay, Jeanmarie Davis, Erik Heitfield, Frank Keane, Suzette McGann, Patricia Mosser, Wendy Ng, Johanna Schwab, and Janine Tramontana The views expressed in this paper are those of the authors and...

Ngày tải lên: 06/03/2014, 03:20