Smile from the Past: A general option pricing framework with multiple volatility and leverage components

In the current literature, the analytical tractability of discrete time option pricing models is guarantee only for rather specific type of models and pricing kernels. We propose a very general and fully analytical option pricing framework encompassing a wide class of discrete time models featuring multiple components structure in both volatility and leverage and a flexible pricing kernel with multiple risk premia. Although the proposed framework is general enough to include either GARCH-type volatility, Realized Volatility or a combination of the two, in this paper we focus on realized volatility option pricing models by extending the Heterogeneous Autoregressive Gamma (HARG) model of Corsi et al. (2012) to incorporate heterogeneous leverage structures with multiple components, while preserving closed-form solutions for option prices. Applying our analytically tractable asymmetric HARG model to a large sample of S&P 500 index options, we evidence its superior ability to price out-of-the-money options compared to existing benchmarks

DHLP 1&2: Giraph based distributed label propagation algorithms on heterogeneous drug-related networks

Background and Objective: Heterogeneous complex networks are large graphs consisting of different types of nodes and edges. The knowledge extraction from these networks is complicated. Moreover, the scale of these networks is steadily increasing. Thus, scalable methods are required. Methods: In this paper, two distributed label propagation algorithms for heterogeneous networks, namely DHLP-1 and DHLP-2 have been introduced. Biological networks are one type of the heterogeneous complex networks. As a case study, we have measured the efficiency of our proposed DHLP-1 and DHLP-2 algorithms on a biological network consisting of drugs, diseases, and targets. The subject we have studied in this network is drug repositioning but our algorithms can be used as general methods for heterogeneous networks other than the biological network. Results: We compared the proposed algorithms with similar non-distributed versions of them namely MINProp and Heter-LP. The experiments revealed the good performance of the algorithms in terms of running time and accuracy.Comment: Source code available for Apache Giraph on Hadoo

Ontology mapping: the state of the art

Ontology mapping is seen as a solution provider in today's landscape of ontology research. As the number of ontologies that are made publicly available and accessible on the Web increases steadily, so does the need for applications to use them. A single ontology is no longer enough to support the tasks envisaged by a distributed environment like the Semantic Web. Multiple ontologies need to be accessed from several applications. Mapping could provide a common layer from which several ontologies could be accessed and hence could exchange information in semantically sound manners. Developing such mapping has beeb the focus of a variety of works originating from diverse communities over a number of years. In this article we comprehensively review and present these works. We also provide insights on the pragmatics of ontology mapping and elaborate on a theoretical approach for defining ontology mapping