Review of modern numerical methods for a simple vanilla option pricing problem

Option pricing is a very attractive issue of financial engineering and optimization. The problem of determining the fair price of an option arises from the assumptions made under a given financial market model. The increasing complexity of these market assumptions contributes to the popularity of the numerical treatment of option valuation. Therefore, the pricing and hedging of plain vanilla options under the Black–Scholes model usually serve as a bench-mark for the development of new numerical pricing approaches and methods designed for advanced option pricing models. The objective of the paper is to present and compare the methodological concepts for the valuation of simple vanilla options using the relatively modern numerical techniques in this issue which arise from the discontinuous Galerkin method, the wavelet approach and the fuzzy transform technique. A theoretical comparison is accompanied by an empirical study based on the numerical verification of simple vanilla option prices. The resulting numerical schemes represent a particularly effective option pricing tool that enables some features of options that are depend-ent on the discretization of the computational domain as well as the order of the polynomial approximation to be captured better

Summary report: A preliminary investigation into the use of fuzzy logic for the control of redundant manipulators

The Rice University Department of Mechanical Engineering and Materials Sciences' Robotics Group designed and built an eight degree of freedom redundant manipulator. Fuzzy logic was proposed as a control scheme for tasks not directly controlled by a human operator. In preliminary work, fuzzy logic control was implemented for a camera tracking system and a six degree of freedom manipulator. Both preliminary systems use real time vision data as input to fuzzy controllers. Related projects include integration of tactile sensing and fuzzy control of a redundant snake-like arm that is under construction

Quantale Modules and their Operators, with Applications

The central topic of this work is the categories of modules over unital quantales. The main categorical properties are established and a special class of operators, called Q-module transforms, is defined. Such operators - that turn out to be precisely the homomorphisms between free objects in those categories - find concrete applications in two different branches of image processing, namely fuzzy image compression and mathematical morphology

Segmentation of articular cartilage and early osteoarthritis based on the fuzzy soft thresholding approach driven by modified evolutionary ABC optimization and local statistical aggregation

Articular cartilage assessment, with the aim of the cartilage loss identification, is a crucial task for the clinical practice of orthopedics. Conventional software (SW) instruments allow for just a visualization of the knee structure, without post processing, offering objective cartilage modeling. In this paper, we propose the multiregional segmentation method, having ambitions to bring a mathematical model reflecting the physiological cartilage morphological structure and spots, corresponding with the early cartilage loss, which is poorly recognizable by the naked eye from magnetic resonance imaging (MRI). The proposed segmentation model is composed from two pixel's classification parts. Firstly, the image histogram is decomposed by using a sequence of the triangular fuzzy membership functions, when their localization is driven by the modified artificial bee colony (ABC) optimization algorithm, utilizing a random sequence of considered solutions based on the real cartilage features. In the second part of the segmentation model, the original pixel's membership in a respective segmentation class may be modified by using the local statistical aggregation, taking into account the spatial relationships regarding adjacent pixels. By this way, the image noise and artefacts, which are commonly presented in the MR images, may be identified and eliminated. This fact makes the model robust and sensitive with regards to distorting signals. We analyzed the proposed model on the 2D spatial MR image records. We show different MR clinical cases for the articular cartilage segmentation, with identification of the cartilage loss. In the final part of the analysis, we compared our model performance against the selected conventional methods in application on the MR image records being corrupted by additive image noise.Web of Science117art. no. 86