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

A Robust Role for Motor Cortex

The function of mammalian motor cortex has remained a persistent mystery. There is a long history of research linking activity in this part of the brain with the control of voluntary movements but surprisingly there is an equally large body of evidence in non-human animals describing all kinds of complex behaviours that are not impaired when motor cortex is fully removed. What is the reason behind this discrepancy? What kind of movements are actually controlled by motor cortex? This thesis attempts to reconcile the many con icting views on the cortical control of movement and outline a strategy for investigating the teleology of this brain region. We start out by introducing a new set of hardware and software tools for neuroscience that aim to make it easier to study in detail more naturalistic motor behaviours in rodents. These tools allow the experimenter to quickly recon gure the physical and virtual environment of a behaviour task while simultaneously tracking in real-time ne-scale measurements of motor performance. (...)Sainsbury Wellcome Centre for Neural Circuits and Behaviour at University College LondonChampalimaud Foundatio

Graph layout for applications in compiler construction

We address graph visualization from the viewpoint of compiler construction. Most data structures in compilers are large, dense graphs such as annotated control flow graph, syntax trees, dependency graphs. Our main focus is the animation and interactive exploration of these graphs. Fast layout heuristics and powerful browsing methods are needed. We give a survey of layout heuristics for general directed and undirected graphs and present the browsing facilities that help to manage large structured graph

Visual and Motor Connectivity and the Distribution of Calcium-Binding Proteins in Macaque Frontal Eye Field: Implications for Saccade Target Selection

The frontal eye field (FEF) contributes to directing visual attention and saccadic eye movement through intrinsic processing, interactions with extrastriate visual cortical areas (e.g., V4), and projections to subcortical structures (e.g., superior colliculus, SC). Several models have been proposed to describe the relationship between the allocation of visual attention and the production of saccades. We obtained anatomical information that might provide useful constraints on these models by evaluating two characteristics of FEF. First, we investigated the laminar distribution of efferent connections from FEF to visual areas V4 + TEO and to SC. Second, we examined the laminar distribution of different populations of GABAergic neurons in FEF. We found that the neurons in FEF that project to V4 + TEO are located predominantly in the supragranular layers, colocalized with the highest density of calbindin- and calretinin-immunoreactive inhibitory interneurons. In contrast, the cell bodies of neurons that project to SC are found only in layer 5 of FEF, colocalized primarily with parvalbumin inhibitory interneurons. None of the neurons in layer 5 that project to V4 + TEO also project to SC. These results provide useful constraints for cognitive models of visual attention and saccade production by indicating that different populations of neurons project to extrastriate visual cortical areas and to SC. This finding also suggests that FEF neurons projecting to visual cortex and SC are embedded in different patterns of intracortical circuitry

Is the Cell Really a Machine?

It has become customary to conceptualize the living cell as an intricate piece of machinery, different to a man-made machine only in terms of its superior complexity. This familiar understanding grounds the conviction that a cell's organization can be explained reductionistically, as well as the idea that its molecular pathways can be construed as deterministic circuits. The machine conception of the cell owes a great deal of its success to the methods traditionally used in molecular biology. However, the recent introduction of novel experimental techniques capable of tracking individual molecules within cells in real time is leading to the rapid accumulation of data that are inconsistent with an engineering view of the cell. This paper examines four major domains of current research in which the challenges to the machine conception of the cell are particularly pronounced: cellular architecture, protein complexes, intracellular transport, and cellular behaviour. It argues that a new theoretical understanding of the cell is emerging from the study of these phenomena which emphasizes the dynamic, self-organizing nature of its constitution, the fluidity and plasticity of its components, and the stochasticity and non-linearity of its underlying processes

Structural methods to improve the symbolic analysis of Petri nets

Symbolic techniques based on BDDs (Binary Decision Diagrams) have emerged as an efficient strategy for the analysis of Petri nets. The existing techniques for the symbolic encoding of each marking use a fixed set of variables per place, leading to encoding schemes with very low density. This drawback has been previously mitigated by using Zero-Suppressed BDDs, that provide a typical reduction of BDD sizes by a factor of two. Structural Petri net theory provides P-invariants that help to derive more efficient encoding schemes for the BDD representations of markings. P-invariants also provide a mechanism to identify conservative upper bounds for the reachable markings. The unreachable markings determined by the upper bound can be used to alleviate both the calculation of the exact reachability set and the scrutiny of properties. Such approach allows to drastically decrease the number of variables for marking encoding and reduce memory and CPU requirements significantly.Peer ReviewedPostprint (author's final draft

Investigation into voltage and process variation-aware manufacturing test

Increasing integration and complexity in IC design provides challenges for manufacturing testing. This thesis studies how process and supply voltage variation influence defect behaviour to determine the impact on manufacturing test cost and quality. The focus is on logic testing of static CMOS designs with respect to two important defect types in deep submicron CMOS: resistive bridges and full opens. The first part of the thesis addresses testing for resistive bridge defects in designs with multiple supply voltage settings. To enable analysis, a fault simulator is developed using a supply voltage-aware model for bridge defect behaviour. The analysis shows that for high defect coverage it is necessary to perform test for more than one supply voltage setting, due to supply voltage-dependent behaviour. A low-cost and effective test method is presented consisting of multi-voltage test generation that achieves high defect coverage and test set size reduction without compromise to defect coverage. Experiments on synthesised benchmarks with realistic bridge locations validate the proposed method.The second part focuses on the behaviour of full open defects under supply voltage variation. The aim is to determine the appropriate value of supply voltage to use when testing. Two models are considered for the behaviour of full open defects with and without gate tunnelling leakage influence. Analysis of the supply voltage-dependent behaviour of full open defects is performed to determine if it is required to test using more than one supply voltage to detect all full open defects. Experiments on synthesised benchmarks using an extended version of the fault simulator tool mentioned above, measure the quantitative impact of supply voltage variation on defect coverage.The final part studies the impact of process variation on the behaviour of bridge defects. Detailed analysis using synthesised ISCAS benchmarks and realistic bridge model shows that process variation leads to additional faults. If process variation is not considered in test generation, the test will fail to detect some of these faults, which leads to test escapes. A novel metric to quantify the impact of process variation on test quality is employed in the development of a new test generation tool, which achieves high bridge defect coverage. The method achieves a user-specified test quality with test sets which are smaller than test sets generated without consideration of process variation