Abstract State Machines 1988-1998: Commented ASM Bibliography

An annotated bibliography of papers which deal with or use Abstract State Machines (ASMs), as of January 1998.Comment: Also maintained as a BibTeX file at http://www.eecs.umich.edu/gasm

Evolutionary multi-stage financial scenario tree generation

Multi-stage financial decision optimization under uncertainty depends on a careful numerical approximation of the underlying stochastic process, which describes the future returns of the selected assets or asset categories. Various approaches towards an optimal generation of discrete-time, discrete-state approximations (represented as scenario trees) have been suggested in the literature. In this paper, a new evolutionary algorithm to create scenario trees for multi-stage financial optimization models will be presented. Numerical results and implementation details conclude the paper

Several types of types in programming languages

Types are an important part of any modern programming language, but we often forget that the concept of type we understand nowadays is not the same it was perceived in the sixties. Moreover, we conflate the concept of "type" in programming languages with the concept of the same name in mathematical logic, an identification that is only the result of the convergence of two different paths, which started apart with different aims. The paper will present several remarks (some historical, some of more conceptual character) on the subject, as a basis for a further investigation. The thesis we will argue is that there are three different characters at play in programming languages, all of them now called types: the technical concept used in language design to guide implementation; the general abstraction mechanism used as a modelling tool; the classifying tool inherited from mathematical logic. We will suggest three possible dates ad quem for their presence in the programming language literature, suggesting that the emergence of the concept of type in computer science is relatively independent from the logical tradition, until the Curry-Howard isomorphism will make an explicit bridge between them.Comment: History and Philosophy of Computing, HAPOC 2015. To appear in LNC

Sharpening Geometric Inequalities using Computable Symmetry Measures

Many classical geometric inequalities on functionals of convex bodies depend on the dimension of the ambient space. We show that this dimension dependence may often be replaced (totally or partially) by different symmetry measures of the convex body. Since these coefficients are bounded by the dimension but possibly smaller, our inequalities sharpen the original ones. Since they can often be computed efficiently, the improved bounds may also be used to obtain better bounds in approximation algorithms.Comment: This is a preprint. The proper publication in final form is available at journals.cambridge.org, DOI 10.1112/S002557931400029

A method for pricing American options using semi-infinite linear programming

We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of the gain function in the span of these functions. The resulting problem is a linear semi-infinite programming problem, that can be solved using standard algorithms. This leads to good upper bounds for the original problem. For our algorithms no discretization of space and time and no simulation is necessary. Furthermore it is applicable even for high-dimensional problems. The algorithm provides an approximation of the value not only for one starting point, but for the complete value function on the continuation set, so that the optimal exercise region and e.g. the Greeks can be calculated. We apply the algorithm to (one- and) multidimensional diffusions and to L\'evy processes, and show it to be fast and accurate