On the Pricing of Forward Starting Options under Stochastic Volatility

We consider the problem of pricing European forward starting options in the presence of stochastic ­volatility. By performing a change of measure using the asset price at the time of strike determination as a numeraire, we derive a closed-form solution based on Heston’s model of stochastic volatility

Neural Simulations on Multi-Core Architectures

Neuroscience is witnessing increasing knowledge about the anatomy and electrophysiological properties of neurons and their connectivity, leading to an ever increasing computational complexity of neural simulations. At the same time, a rather radical change in personal computer technology emerges with the establishment of multi-cores: high-density, explicitly parallel processor architectures for both high performance as well as standard desktop computers. This work introduces strategies for the parallelization of biophysically realistic neural simulations based on the compartmental modeling technique and results of such an implementation, with a strong focus on multi-core architectures and automation, i.e. user-transparent load balancing

Analysing Coloured Petri Nets by the Occurrence Graph Method

This paper provides an overview og the work done for the author's PhD thesis. The research area of Coloured Petri Nets is introduced, and the available analysis methods are presented. The occurrence graph method, which is the main subject of this thesis, is described in more detail. Summaries of the six papers which, together with this overview, comprise the thesis are given, and the contributions are discussed.A large portion of this overview is dedicated to a description of related work. The aim is twofold: First, to survey pertinent results within the research areas of -- in increasing generality -- Coloured Petri Nets, High-level Petri Nets, and formalisms for modelling and analysis of parallel and distributed systems. Second, to put the results obtained in this thesis in a wider perspective by comparing them with important related work

Near-field baseband communication system for use in biomedical implants

This thesis introduces the reader to the near-field baseband pulse radio communication for biomedical implants. It details the design and implementation of the complete communication system with a particular emphasis on the antenna structure and waveform coding that is compatible with this particular technology. The wireless communication system has great employability in small pill-sized biomedical diagnostic devices offering the advantages of low power consumption and easy integration with SoC and lab-in-a-pill technologies. The greatest challenge was the choice of antenna that had to be made to effectively transmit the pulses. A systematic approach has been carried out in arriving at the most suitable antenna for efficient emanation of pulses and the fields around it are analysed electromagnetically using a commercially available software. A magnetic antenna can be used to transmit the information from inside a human body to the outside world. The performance of the above antenna was evaluated in a salt solution of different concentrations which is similar to a highly conductive lossy medium like a human body. Near-field baseband pulse transmission is a waveform transmission scheme wherein the pulse shape is crucial for decoding information at the receiver. This demands a new approach to the antenna design, both at the transmitter and the receiver. The antenna had to be analysed in the time-domain to know its effects on the pulse and an expression for the antenna bandwidth has been proposed in this thesis. The receiving antenna should be able to detect very short pulses and while doing so has to also maintain the pulse shape with minimal distortion. Different loading congurations were explored to determine the most feasible one for receiving very short pulses. Return-to-zero (RZ), Non-return-zero (NRZ) and Manchester coded pulse waveforms were tested for their compatibility and performance with the near-field baseband pulse radio communication. It was concluded that Manchester coded waveform are perfectly suited for this particular near-field communication technology. Pulse interval modulation was also investigated and the findings suggested that it was easier to implement and had a high throughput rate too. A simple receiver algorithm has been suggested and practically tested on a digital signal processor. There is further scope for research to develop complex signal processing algorithms at the receiver