Pricing options under rough volatility with backward SPDEs

In this paper, we study the option pricing problems for rough volatility models. As the framework is non-Markovian, the value function for a European option is not deterministic; rather, it is random and satisfies a backward stochastic partial differential equation (BSPDE). The existence and uniqueness of weak solutions is proved for general nonlinear BSPDEs with unbounded random leading coefficients whose connections with certain forward-backward stochastic differential equations are derived as well. These BSPDEs are then used to approximate American option prices. A deep learning-based method is also investigated for the numerical approximations to such BSPDEs and associated non-Markovian pricing problems. Finally, the examples of rough Bergomi type are numerically computed for both European and American options

Extreme rays of the (N,k)(N, k)-Schur Cone

We discuss several partial results towards proving Dennis White's conjecture on the extreme rays of the $(N,2)$-Schur cone. We are interested in which vectors are extreme in the cone generated by all products of Schur functions of partitions with $k$ or fewer parts. For the case where $k =2$, White conjectured that the extreme rays are obtained by excluding a certain family of "bad pairs," and proved a special case of the conjecture using Farkas' Lemma. We present an alternate proof of the special case, in addition to showing more infinite families of extreme rays and reducing White's conjecture to two simpler conjectures.Comment: This paper has been withdrawn by the authors due to a misinterpretation of the generalized Littlewood-Richardson rule in several proof

Shanoir: Software as a Service Environment to Manage Population Imaging Research Repositories

International audienceSome of the major concerns of researchers and clinicians involved in popu- lation imaging experiments are on one hand, to manage the huge quantity and diversi- ty of produced data and, on the other hand, to be able to confront their experiments and the programs they develop with peers. In this context, we introduce Shanoir, a “Software as a Service” (SaaS) environment that offers cloud services for managing the information related to population imaging data production in the context of clini- cal neurosciences. We show how the produced images are accessible through the Sha- noir Data Management System, and we describe some of the data repositories that are hosted and managed by the Shanoir environment in different contexts

Nagaoka ferromagnetism observed in a quantum dot plaquette

Engineered, highly-controllable quantum systems hold promise as simulators of emergent physics beyond the capabilities of classical computers. An important problem in many-body physics is itinerant magnetism, which originates purely from long-range interactions of free electrons and whose existence in real systems has been subject to debate for decades. Here we use a quantum simulator consisting of a four-site square plaquette of quantum dots to demonstrate Nagaoka ferromagnetism. This form of itinerant magnetism has been rigorously studied theoretically but has remained unattainable in experiment. We load the plaquette with three electrons and demonstrate the predicted emergence of spontaneous ferromagnetic correlations through pairwise measurements of spin. We find the ferromagnetic ground state is remarkably robust to engineered disorder in the on-site potentials and can induce a transition to the low-spin state by changing the plaquette topology to an open chain. This demonstration of Nagaoka ferromagnetism highlights that quantum simulators can be used to study physical phenomena that have not yet been observed in any system before. The work also constitutes an important step towards large-scale quantum dot simulators of correlated electron systems.Comment: This version: main (8 pages, 6 figures) + supplementary (15 pages, 8 figures

Simulating Real-Time Aspects of Wireless Sensor Networks

Wireless Sensor Networks (WSNs) technology has been mainly used in the applications with low-frequency sampling and little computational complexity. Recently, new classes of WSN-based applications with different characteristics are being considered, including process control, industrial automation and visual surveillance. Such new applications usually involve relatively heavy computations and also present real-time requirements as bounded end-to- end delay and guaranteed Quality of Service. It becomes then necessary to employ proper resource management policies, not only for communication resources but also jointly for computing resources, in the design and development of such WSN-based applications. In this context, simulation can play a critical role, together with analytical models, for validating a system design against the parameters of Quality of Service demanded for. In this paper, we present RTNS, a publicly available free simulation tool which includes Operating System aspects in wireless distributed applications. RTNS extends the well-known NS-2 simulator with models of the CPU, the Real-Time Operating System and the application tasks, to take into account delays due to the computation in addition to the communication. We demonstrate the benefits of RTNS by presenting our simulation study for a complex WSN-based multi-view vision system for real-time event detection

Le Rôle des Appius Institutionnels et Prives dans la Lutte Contre la Pauvrete dans le Departemenet de Kaniasso (Region du Folon Cote d’Iviore)

Dans la partie Nord-Ouest de la Côte d’Ivoire, notamment la région du Folon, le taux de pauvreté est passé de 51,9 % en 2002 à 57,9% en 2008 ENV (2008, p. 77) et varie de 60 à 72,9% en 2015 ENV (2015 ; p. 24). Face à cette situation, les populations féminines du Département de Kaniasso optent davantage pour les appuis mis à leur disposition pour lutter contre la pauvreté. Cet article analyse la manière dont les appuis institutionnels et privés contribuent à lutter contre la pauvreté. Cette étude a été possible grâce à une exploration littéraire et à des enquêtes de terrain menées dans 24 localités du Département de Kaniasso. 421 femmes ont été interrogées et 237 présidentes de groupements de femmes interviewées. Les résultats issus des travaux de terrains montrent que les appuis dont sont bénéficiaires les femmes leur permettent de créer ou de booster une activité génératrice de revenus (AGR) qui leur procurent un revenu pour faire face à leurs charges personnels et domestiques. Cette contribution des appuis a permis seulement à 41% des femmes à être à l’abri de la pauvreté.   In the northwestern part of Côte d'Ivoire, notably the Folon region, the poverty rate rose from 51.9% in 2002 to 57.9% in 2008 ENV (2008, p. 77) and varied from 60 to 72.9% in 2015 ENV (2015, p. 24). Faced with this situation, the female populations of the Department of Kaniasso opt more for the support provided to them to fight against poverty. This article analyses how institutional and private support contributes to the fight against poverty. This study was made possible through literary exploration and field surveys conducted in 24 locations in the Kaniasso Department. 421 women were interviewed and 237 women’s group presidents were interviewed. The results of the fieldwork show that the support received by women enables them to create or boost an income-generating activity (AGR) that provides them with an income to meet their personal and domestic expenses. This contribution of support has enabled only 41% of women to be sheltered from poverty