1,720,989 research outputs found
A numerical method to compute the volatility of the fractional Brownian motion implied by American options
No full textWe develop a highly efficient approach to compute the volatility of the Fractional Brownian Motion (FBM) implied by American options. To this aim, the theoretical values of American option prices under the FBM are calculated using a finite difference scheme enhanced by a space-time Richardson extrapolation procedure. Such an approach, which is coupled with a suitable optimization algorithm, turns out to be very accurate and fast. The practical performances of the method proposed are demonstrated by applying it to the time-series of several stocks belonging to the Italian FTSE-All Share
A fast numerical method to price American options under the Bates model
No full textWe consider the problem of pricing American options in the framework of a well-known stochastic volatility model with jumps, the Bates model. According to this model, the price of an American option can be obtained as the solution of a linear complementarity problem governed by a partial integro-differential equation. In this paper, a numerical method for solving such a problem is proposed. In particular, first of all, using a Bermudan approximation and a Richardson extrapolation technique, the linear complementarity problem is reduced to a set of standard linear partial differential problems (see, for example, Ballestra and Sgarra, 2010; Chang et al. 2007, 2012). Then, these problems are solved using an ad hoc pseudospectral method which efficiently combines the Chebyshev polynomial approximation, an implicit/explicit time stepping and an operator splitting technique. Numerical experiments are presented showing that the novel algorithm is very accurate and fast and significantly outperforms other methods that have recently been proposed for pricing American options under the Bates model
Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley
No full textWe consider the problem of pricing American options on an underlying described by the constant elasticity of variance (CEV) model. Such a problem does not have an exact closed-form solution, and therefore some kind of approximation is required. In this paper we extend the approach proposed by Barone-Adesi and Whaley (1997), which allows us to obtain a direct semi-analytical approximate solution. Numerical experiments are presented showing that the proposed method is satisfactorily accurate and computationally very fast
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
C4-consumers in Southern Europe: the case of Friuli V.G. (NE-Italy) during early and central Middle Age
No full textPredictive Maintenance of an Archeological Park: An IoT and Digital Twin Based Approach
No full textThe preservation of cultural heritage is one of the main goals that a nation must pursue since it represents an important resource, both economically and for the historical memory it holds. Thanks to the spread of new technologies, the possibility of applying innovative approaches to historical heritage is becoming increasingly real, in order to monitor in real time the progressive damage of structures or intercept any sudden risk situations. In this scenario, a significant contribution is made by the paradigm of the Internet of Things, which enables the collection in real time, of data from sensors installed on the structures to be monitored, and the concept of the Digital Twin, which represents a digital copy of reality, and can be utilized for practical purposes, such as simulations and tests. To make the Digital Twin even more effective, it is possible to link it to the real structure through HBIM, which is a process that aims not only at the mere restitution of the tridimensional model but at the creation of so-called “smart models”, in which all the components are parametric objects with well-defined semantics and capable of containing all the information useful for understanding the artifact. The paper, therefore, presents a methodology to consider HBIM models as Digital Twins enriched with data from real-time IoT devices placed on the structures to be monitored. The proposed methodology was applied to a real case study within the Velia Archaeological Park: Porta Rosa, which is the oldest known example of a round arch in Italy. The first results of the experiment are more than satisfactory
Reproduction of Road Scenarios for Simulated Driving Using LiDar Surveying Technique
No full textNowadays, driving simulation devices represent a continuously evolving and developing area in the world of virtual reality. One of the fundamental elements in the design of driving software is the track model. This work aims to study the use of advanced technologies for the three-dimensional modeling of a racing track in a driving simulator. Specifically, it employs the LiDAR methodology to acquire the three-dimensional coordinates of a 1 km long circuit located on the Fisciano campus of the University of Salerno. The purpose of this work is to explain and present a novel track acquisition and modeling methodology within the realm of simulated driving reality. Following the study, the Virtual Reality Laboratory’s driving simulator at the Department of Industrial Engineering conducted tests to validate the proposed circuit model. The test rides analyzed the realism of the driving experience, thereby validating the proposed track model. This phase was complemented by a series of proposals for possible future developments in the field of three-dimensional modeling applied to driving simulation and beyond. In the end, the 3D model obtained demonstrated the high definition of the acquired result and the speed with which multiple data were obtained simultaneously, thanks to the laser scanner used
Integrating the Internet of Things (IoT) in SPA Medicine: Innovations and Challenges in Digital Wellness
No full textIntegrating modern and innovative technologies such as the Internet of Things (IoT) and Machine Learning (ML) presents new opportunities in healthcare, especially in medical spa therapies. Once considered palliative, these therapies conducted using mineral/thermal water are now recognized as a targeted and specific therapeutic modality. The peculiarity of these treatments lies in their simplicity of administration, which allows for prolonged treatments, often lasting weeks, with progressive and controlled therapeutic effects. Thanks to new technologies, it will be possible to continuously monitor the patient, both on-site and remotely, increasing the effectiveness of the treatment. In this context, wearable devices, such as smartwatches, facilitate non-invasive monitoring of vital signs by collecting precise data on several key parameters, such as heart rate or blood oxygenation level, and providing a perspective of detailed treatment progress. The constant acquisition of data thanks to the IoT, combined with the advanced analytics of ML technologies, allows for data collection and precise analysis, allowing real-time monitoring and personalized treatment adaptation. This article introduces an IoT-based framework integrated with ML techniques to monitor spa treatments, providing tailored customer management and more effective results. A preliminary experimentation phase was designed and implemented to evaluate the system’s performance through evaluation questionnaires. Encouraging preliminary results have shown that the innovative approach can enhance and highlight the therapeutic value of spa therapies and their significant contribution to personalized healthcare
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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