remarks on a computational estimator for the barrier option pricing in an iot scenario

Abstract The importance of derivatives in financial markets has known an exponential growth in the last decades, especially in risk management and speculation fields: this explains researchers' interest in answering questions about this kind of contracts. In particular, in this paper we restrict our attention on European vanilla and barrier options, and we propose a statistical procedure to solve efficiently the problem of determining the no arbitrage price of this type of derivatives in an IoT context: starting form an Internet of Things (IoT) data flow, an IoT system takes information from several sources and stores it into a suitable database; this information is used in our estimation problem. Our scheme is based on some strong assumptions about the market model, in particular the completeness of the market, the log-normality of the underlying asset with a constant volatility. We conclude this paper with an application of our framework to a real case

High-Performance Modelling and Simulation for Big Data Applications

This open access book was prepared as a Final Publication of the COST Action IC1406 “High-Performance Modelling and Simulation for Big Data Applications (cHiPSet)“ project. Long considered important pillars of the scientific method, Modelling and Simulation have evolved from traditional discrete numerical methods to complex data-intensive continuous analytical optimisations. Resolution, scale, and accuracy have become essential to predict and analyse natural and complex systems in science and engineering. When their level of abstraction raises to have a better discernment of the domain at hand, their representation gets increasingly demanding for computational and data resources. On the other hand, High Performance Computing typically entails the effective use of parallel and distributed processing units coupled with efficient storage, communication and visualisation systems to underpin complex data-intensive applications in distinct scientific and technical domains. It is then arguably required to have a seamless interaction of High Performance Computing with Modelling and Simulation in order to store, compute, analyse, and visualise large data sets in science and engineering. Funded by the European Commission, cHiPSet has provided a dynamic trans-European forum for their members and distinguished guests to openly discuss novel perspectives and topics of interests for these two communities. This cHiPSet compendium presents a set of selected case studies related to healthcare, biological data, computational advertising, multimedia, finance, bioinformatics, and telecommunications

Collaborative autonomy in heterogeneous multi-robot systems

As autonomous mobile robots become increasingly connected and widely deployed in different domains, managing multiple robots and their interaction is key to the future of ubiquitous autonomous systems. Indeed, robots are not individual entities anymore. Instead, many robots today are deployed as part of larger fleets or in teams. The benefits of multirobot collaboration, specially in heterogeneous groups, are multiple. Significantly higher degrees of situational awareness and understanding of their environment can be achieved when robots with different operational capabilities are deployed together. Examples of this include the Perseverance rover and the Ingenuity helicopter that NASA has deployed in Mars, or the highly heterogeneous robot teams that explored caves and other complex environments during the last DARPA Sub-T competition. This thesis delves into the wide topic of collaborative autonomy in multi-robot systems, encompassing some of the key elements required for achieving robust collaboration: solving collaborative decision-making problems; securing their operation, management and interaction; providing means for autonomous coordination in space and accurate global or relative state estimation; and achieving collaborative situational awareness through distributed perception and cooperative planning. The thesis covers novel formation control algorithms, and new ways to achieve accurate absolute or relative localization within multi-robot systems. It also explores the potential of distributed ledger technologies as an underlying framework to achieve collaborative decision-making in distributed robotic systems. Throughout the thesis, I introduce novel approaches to utilizing cryptographic elements and blockchain technology for securing the operation of autonomous robots, showing that sensor data and mission instructions can be validated in an end-to-end manner. I then shift the focus to localization and coordination, studying ultra-wideband (UWB) radios and their potential. I show how UWB-based ranging and localization can enable aerial robots to operate in GNSS-denied environments, with a study of the constraints and limitations. I also study the potential of UWB-based relative localization between aerial and ground robots for more accurate positioning in areas where GNSS signals degrade. In terms of coordination, I introduce two new algorithms for formation control that require zero to minimal communication, if enough degree of awareness of neighbor robots is available. These algorithms are validated in simulation and real-world experiments. The thesis concludes with the integration of a new approach to cooperative path planning algorithms and UWB-based relative localization for dense scene reconstruction using lidar and vision sensors in ground and aerial robots

3rd International Conference on Advanced Research Methods and Analytics (CARMA 2020)

Research methods in economics and social sciences are evolving with the increasing availability of Internet and Big Data sources of information.As these sources, methods, and applications become more interdisciplinary, the 3rd International Conference on Advanced Research Methods and Analytics (CARMA) is an excellent forum for researchers and practitioners to exchange ideas and advances on how emerging research methods and sources are applied to different fields of social sciences as well as to discuss current and future challenges.Doménech I De Soria, J.; Vicente Cuervo, MR. (2020). 3rd International Conference on Advanced Research Methods and Analytics (CARMA 2020). Editorial Universitat Politècnica de València. http://hdl.handle.net/10251/149510EDITORIA