787 research outputs found
Pricing swing options with the COS method
No full textIn dit verslag wordt een methode gegeven om de swing optie te prijzen met de COS methode. Eerst zal behandeld worden wat een optie is en hoe de COS methode werkt. Daarbij zullen ook enkele andere opties aan bod komen als voorbeeld.Numerical AnalysisElectrical Engineering, Mathematics and Computer Scienc
Indoor Wireless Local Area Network (WLAN) : Measurement and Modeling from a user perspective
No full textIf we had detailed wireless local area network (WLAN) coverage maps, both staff and equipment could be used more efficiently, for example, less time would be spent searching for connectivity. In addition, system administrators could understand their WLAN's utilization better, thus enabling better planning for where to install new access points, where to remove access points, where to change the type of antenna, etc. This thesis concerns creating detailed indoor coverage models by using measured network performance - in order to enable both users and administrators to visualize the network coverage. Today a user can only easily know about the access points that they currently hear – in the location where they currently are. Giving the users and administrators access to a model of the entire campus coverage will allow them to understand not only the _local_ coverage, but the patterns of coverage (or lack there of). However, no efficient modeling techniques are currently available for those deploying and operating indoor WLANs. The thesis begins with some general background information and then examines a number of WLAN survey tools; in terms of both their performance and cost. Following this a number of related projects are presented. This background provides the motivation for why a new tool is needed and what functions such a tool should have. Next a site survey of the KTH campus in Kista was conducted using a newly developed survey application. This application was developed to better meet the requirements derived from the missing functionality of existing tools. In addition, developing this application gave the author an opportunity to learn a new objectoriented programming language, i.e. C# and the .NET environment. Learning to use this new environment was essential to building both an easy to use application and collecting the data from the system - the later was often not straight-forward. ne of the key issues after data collection is how to present the collected data to the user and how this varies depending upon the user’s interests and task. An initial representation of the experimental data is presented as a manually painted coverage map overlayed onto a map. Next the thesis examines how to integrate the experimental data using Google’s SketchUp in order to build a 3D model of the WLAN coverage on this campus. Future work related to this thesis should focus on how to automate the collection of data and how to automate the presentation of the resulting experimental data.Om vi hade tillgång till detaljerade täckningskartor över lokala nätverk (WLAN), skulle både personal och utrustning kunna användas mer ändamålsenligt. Till exempel skulle mindre tid gå åt till att söka täckning. Dessutom skulle systemadministratörer förstå användningen av deras WLAN:s på ett bättre sätt, vilket skulle möjliggöra bättre planering av var nya accesspunkter ska installeras, var accesspunkter ska tas bort, var man ska byta antenntyp, osv. Detta examensarbete handlar om skapande av detaljerade täckningsmodeller för användning inomhus vilka genererats genom att mäta nätverkets styrka – detta för att göra det möjligt för båda användare och administratörer att visualisera nätverkstäckning. Idag kan en användare endast känna till accesspunkter som de just för tillfället hör – på den plats där de för tillfället befinner sig. Att ge användarna och administratörerna tillgång till en modell av täckningen över hela Campus skulle inte bara göra att de uppfattade den lokala täckningen utan hela täckningsmönster (eller avsaknaden därav). Dock finns för tillfället inga ändamålsenliga modelleringstekniker för de som utvecklar och sköter WLAN:s inomhus. Examensarbetet inleds med en del bakgrundsinformation och går därefter in på ett antal metoder för att kartlägga WLAN, både vad gäller prestanda och kostnad. Härefter presenteras ett antal relaterade projekt. Denna bakgrund är till för att motivera varför ett nytt verktyg behövs och vilka funktion ett sådant verktyg borde ha. Efter denna litteratur- och bakgrundsstudie gjordes en kartläggning av KTH Campus i Kista med användning av en nyligen utvecklad applikation. Applikationen togs fram för att på ett bättre sätt uppfylla kraven som följde av saknade funktioner i existerande verktyg. Dessutom gav utvecklingen av applikationen författaren en möjlighet att lära sig objektorienterad programmering med t ex C# och .NET-miljön. Att lära sig att använda denna nya programmeringsmiljö var en nödvändighet för att kunna bygga både en lättanvänd applikation och samla in data från systemet – de senare var oftast inte helt lätt. En av de största svårigheterna efter datainsamlingen var att hitta ett sätta att presentera den insamlade informationen samt hur presentationen ska variera beroende på användaren behov och uppgift. En första presentation av experimentdata presenteras som en manuellt ritad täckningskarta lagd ovanpå en vanlig karta. Nästa steg i examensarbetet är att undersöka hur man ska integrera experimentdata genom att använda Google:s SketchUp för att bygga en 3D-modell av WLAN-täckning på Campus i Kista. Framtida utveckling relaterad till detta examensarbete borde fokusera på hur man ska kunna automatisera datainsamlingen och presentationen av resulterande experimentdata
Replacing the Monte Carlo Simulation with the COS Method for PFE (Potential Future Exposure) Calculations
No full textTo fulfil the need in the industry for fast and accurate PFE calculations in practice, a new, semi-analytical method of calculating the PFE metric for CCR has been developed, tested and analyzed in this thesis. Herewith we focus on the calculation of PFEs for liquid IR and FX portfolios involving up to three correlated risk-factors: a domestic and foreign short rate and the exchange rate of this currency pair. Both netting-set level and counterparty level PFEs are covered in our research. The short rates are modelled under the one-factor Hull-White (HW1F) model and for the exchange rate we assume they follow geometric Brownian motion. The key insight is that the cumulative distribution function (CDF) can be recovered semi-analytically using Fourier-cosine expansion, whereby the series coefficients are readily available from the characteristic function of the total exposure. The characteristic function in turn can be solved numerically via quadrature rules. Risk metrics, such as the potential future exposure (PFE), can be attained once the CDF is reconstructed using the Fourier series.Our theoretical error analysis predicts stable convergence of the COS method and observed exponential convergence of the COS method for both netting-set and counterparty level PFE calculations. For three artificial portfolios of different sizes, it was observed that the COS method is at least five times more accurate than the Monte Carlo (MC) simulation method but takes only one-tenth of the CPU time of the MC method. The advantage of the COS method becomes even more prominent when the number of derivatives in a portfolio increases. We conclude that the COS method is a much more efficient alternative for MC method for PFE calculations, at least for portfolios involving three risk factors.Our theoretical error analysis predicts stable convergence of the COS method and observed exponential convergence of the COS method for both netting-set and counterparty level PFE calculations. For three artificial portfolios of different sizes, it was observed that the COS method is at least five times more accurate than the Monte Carlo (MC) simulation method but takes only one-tenth of the CPU time of the MC method. The advantage of the COS method becomes even more prominent when the number of derivatives in a portfolio increases. We conclude that the COS method is a much more efficient alternative for MC method for PFE calculations, at least for portfolios involving three risk factors.We conducted theoretical analysis on the error convergence and observed exponential convergence of the COS method for both netting-set and counterparty level PFE calculations. For three artificial portfolios of different sizes, it was observed that the COS method is at least five times more accurate than the Monte Carlo (MC) simulation method but takes only one-tenth of the CPU time of the MC method. The advantage of the COS method becomes even more prominent when the number of derivatives in a portfolio increases. We conclude that the COS method is a much more efficient alternative for MC method for PFE calculations, at least for portfolios involving three risk factors.Applied Mathematic
Identification of Plasmodium falciparum var1CSA and var2CSA domains that bind IgM natural antibodies
No full textMalaria in pregnancy is responsible for maternal anaemia, low-birth-weight babies and infant deaths. Plasmodium falciparum infected erythrocytes are thought to cause placental pathology by adhering to host receptors such as chondroitin sulphate A (CSA). CSA binding infected erythrocytes also bind IgM natural antibodies from normal human serum, a process that may facilitate placental adhesion or promote immune evasion. The parasite ligands that mediate placental adhesion are thought to be members of the variant erythrocyte surface antigen family P. falciparum erythrocyte membrane protein 1 (PfEMP1), encoded by the var genes. Two var gene sub-families, var1CSA and var2CSA, have been identified as parasite CSA binding ligands and are leading candidates for a vaccine to prevent pregnancy-associated malaria. We investigated whether these two var gene subfamilies implicated in CSA binding are also the molecules responsible for IgM natural antibody binding. By heterologous expression of domains in COS-7 cells, we found that both var1CSA and var2CSA PfEMP1 variants bound IgM, and in both cases the binding region was a DBL epsilon domain occurring proximal to the membrane. None of the domains from a control non-IgM-binding parasite (R29) bound IgM when expressed in COS-7 cells. These results show that PfEMP1 is a parasite ligand for non-immune IgM and are the first demonstration of a specific adhesive function for PfEMP1 epsilon type domains
DIGITAL COS-PLAY NINJA CODE MANUAL
No full text//--DIGITAL COS-PLAY NINJA CODE MANUAL CODE LESSON 1--//
//--COPYRIGHTFIRSTRESPONDERSLOVE--//
//--HARVARDOFFICESCHOLCOMMLOVE--//
//--USCONSTITUTIONLOVE I.8.8--//
//--PROMOTEPROGRESSSCIENCEUSEFULARTS--//
//--SECUREAUTHOREXCLUSIVERIGHTRESPECTIVEWRITINGS--//
//--PUBLICSELFARCHIVEALLSCIENCEKNOWLEDGEPRODUCTS--//
COS = COPYRIGHT OPEN SCIENCE;
CHECKSUM [UPSIDETHEHEAD];
IF CREATOR-AUTHOR HAS ENSLAVED SCIENTIFIC WORK, THEN
ASK CREATOR-AUTHOR POLITELY TO JOIN CAUSE AND FREE WORK;
//--HUMAN RESPECT DECISION TREE INITIATED--//
IF CREATOR-AUTHOR HAS SCIENCEKNOWLEDGEWORKPRODUCTSLAVEMIND, THEN
TRY TO FREE SLAVEMIND;
IF CREATOR-AUTHOR STATES CONTRACT-CHAIN-BOUND, THEN
INSPECT CONTRACT-CHAINS WITH WONDERTWIN
COPYRIGHT LIBRRARIAN, OR SCHOLCOMM LIBRARIAN, OR UNIVERSITY COPYRIGHT OFFICER;
IF UNLATCHABLE, THEN UNLATCH FREE;
IF TOUGHLOCK, THEN LOCK PICK LEGAL TASKMASKER NEGOTIATION;
IF PUBLIC MONEY CAN UNLATCH, THEN UPTAKE = DONATION CAMPAIGN;
IF PUBLIC SHAME CAN UNLATCH, THEN TAKEDOWN = DIGITAL-SLAVE PROTEST;
IF TASKMASTER ROUTINE ENDS, THEN ALL FREE RUNAWAY;
IF TASKMASTER OPERATIONAL, THEN COPYRIGHT NINJA FIGHT ON;
FAIR USE ANALYSIS KICK CHECKSUM [UPSIDETHEHEAD];
TRANSFORMATIVE USE PLAN CHECKSUM [INTHEGROIN];
//--REPEAT ABOVE AS MANY TIMES AS NEEDED--//
IF FIGHT DIFFICULT, CALL OTHER COS NINJAS TO JOIN, THEN
REPEAT CHECKSUMS TOGETHER [JACKIECHANSTYLE];
WHEN ALL CHAINS BROKEN, THEN ALL MINDS FREE;
END SOFTWARE LESSON;
//--OPEN SOURCE SOFTWARE CODE CC-0 INTL--/
The COS method for option valuation under the SABR dynamics
No full textIn this paper, we consider the COS method for pricing European and Bermudan options under the stochastic alpha beta rho (SABR) model. In the COS pricing method, we make use of the characteristic function of the discrete forward process. We observe second-order convergence by using a second-order Taylor scheme in the discretization, or by using Richardson extrapolation in combination with a Euler–Maruyama discretization on the forward process. We also consider backward stochastic differential equations under the SABR model, using the discretized forward process and Fourier-cosine expansion for the occurring expectations. For this purpose, we extend the so-called BCOS method from one to two dimensions.Numerical Analysi
Enhancement of the Bessel computation in the COS method
No full textIn dit verslag bekijken we het prijzen van Bermuda opties met de COS methode. In deze methode vinden we de Bessel functie waarvoor de rekentijd lang is. Daarom bekijken we een benadering die sneller is en de orde van de fout niet verandert.Applied mathematicsElectrical Engineering, Mathematics and Computer Scienc
Valuation of electricity storage contracts based on the COS method: with underlying polynomial electricity prices
No full textIn this thesis we introduce valuation techniques to price electricity storage contracts, where the electricity prices follow a structural model based on polynomial processes. In particular we focus on a Fourier-based pricing method known as the COS method, which performs impressively to price the contracts accurately. We provide details on how to formalize an electricity storage contract, taking into account the physical limitations of an electricity storage and the operational constraints of the electricity grid. In addition to the electricity storage contract, other well-known options are being considered, such as the European option, Bermudan option and Bermudan option with multiple early-exercise rights, where the same asset price model is used based on polynomial processes. We propose an approximation of the characteristic function, so that the Fast Fourier Transform (FFT) can be applied to significantly reduce the computational complexity of the COS method, which is especially suitable for pricing Bermudan options and Bermudan options with multiple early-exercise rights. With the FFT-based algorithm, the computation time of the valuation of the discussed Bermudan-type options with the COS method is reduced from seconds to milliseconds. Furthermore, the Least Squares Monte Carlo (LSMC) method is presented to value the discussed financial derivatives and used to validate the results obtained with the COS method.Applied Mathematics | Financial Engineerin
European option pricing under the rough Heston model using the COS method
No full textThis thesis is about pricing European options using a Fourier-based numerical method called the COS method under the rough Heston model. Besides examining the efficiency and accuracy of the COS method for pricing options under the rough Heston model, it is also investigated if the rough Heston model produces the advantages of the so-called rough volatility models. To do so, the characteristic function of the rough Heston model is derived, and the COS method for the rough Heston model and also a Monte Carlo simulation scheme is introduced. Throughout the thesis, the theoretical background of the rough Heston model, the numerical techniques and some numerical experiments on European option prices and implied volatility behaviors are presented. Also, a calibration of the rough Heston model is performed using Artificial Neural Networks. As a result of this thesis, pricing of European options using COS method is succeeded. Moreover, it is shown that the rough Heston model produces the rough volatility behaviors as expected.Applied Mathematic
Valuation of natural gas storage contracts with the COS method
No full textSince the liberalization of the energy markets, the storage of energy is decoupled from the production and sales. In Western-Europe the storage of natural gas becomes more and more important because production fields get depleted and governments force companies to slow down their production because of tremors in the ground. Natural gas needs to be imported from countries that are far away, like for example Russia. To provide in security of supply and to ensure there is enough natural gas when the demand is high, it is important to store natural gas nearby.To determine the value of a gas storage facility in a reliable way we need an efficient market. For an efficient market is needed that the financial instruments, like futures contracts and options on natural gas, are liquidly traded on the exchange. If this condition is met, we are able to determine the value of storage according to market prices.The COS method was already presented as an efficient method for pricing a broad spectrum of financial derivatives and can be used in combination with all processes for the underlying for which a characteristic function is known. For processes whose characteristic function is not available, the adjoint expansion method can be used to obtain an approximation of the characteristic function. In this work the COS method will be presented as an efficient method for determining the value of gas storage contracts which is competitive with existing valuation methods for natural gas storage contracts
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