Multi-Task Learning For Option Pricing

Multi-task learning is a process used to learn domain-specific bias. It consists in simultaneously training models on different tasks derived from the same domain and forcing them to exchange domain information. This transfer of knowledge is performed by imposing constraints on the parameters defining the models and can lead to improved generalization performance. In this paper, we explore a particular multi-task learning method that forces the parameters of the models to lie on an affine manifold defined in parameter space and embedding domain information. We apply this method to the prediction of the prices of call options on the S&P index for a period of time ranging from 1987 to 1993. An analysis of variance of the results is presented that shows significant improvements of the generalization performance. L'apprentissage multi-tâches est une manière d'apprendre des particularités d'un domaine (le biais) qui comprend plusieurs tâches possibles. On entraîne simultanément plusieurs modèles, un par tâche, en imposant des contraintes sur les paramètres de manière à capturer ce qui est en commun entre les tâches, afin d'obtenir une meilleure généralisation sur chaque tâche, et pour pouvoir rapidement généraliser (avec peu d'exemples) sur une nouvelle tâche provenant du même domaine. Ici cette commonalité est définie par une variété affine dans l'espace des paramètres. Dans cet article, nous appliquons ces méthodes à la prédiction du prix d'options d'achat de l'indice S&P 500 entre 1987 et 1993. Une analyse de la variance des résultats est présentée, démontrant des améliorations significatives de la prédiction hors-échantillon.option call pricing, multi-task learning, artificial neural networks, valorisation d'options d'achat, apprentissage multi-tâches, réseau de neurones artificiels

Mode 2 fracture mechanics

Current development of high-performance rolling element bearings for aircraft engines (up to 3 million DN, where DN is the product of shaft diameter in millimeters and speed in revolutions per minute) has aroused concern about fatigue crack growth in the inner bearing race that leads to catastrophic failure of the bearing and the engine. A failure sequence was postulated by Srawley, and an analytical program was undertaken to simulate fatigue crack propagation in the inner raceway of such a bearing. A fatigue specimen was developed at NASA by which fatigue data may be obtained relative to the cracking problems. The specimen may be used to obtain either mode 2 data alone or a combination of mixed-mode (1 and 2) data as well and was calibrated in this regard. Mixed-mode fracture data for M-50 bearing steel are presented, and a method for performing reversed-loading tests is described

Accelerated fatigue crack growth behavior of PWA 1480 single crystal alloy and its dependence on the deformation mode

An investigation of the fatigue crack growth (FCG) behavior of PWA 1480 single crystal nickel base superalloy was conducted. Typical Paris region behavior was observed above a delta K of 8 MPa sq rt of m. However, below that stress intensity range, the alloy exhibited highly unusual behavior. This behavior consisted of a region where the crack growth rate became essentially independent of the applied stress intensity. The transition in the FCG behavior was related to a change in the observed crack growth mechanisms. In the Paris region, fatigue failure occurred along (111) facets; however, at the lower stress intensities, (001) fatigue failure was observed. A mechanism was proposed, based on barriers to dislocation motion, to explain the changes in the observed FCG behavior. The FCG data were also evaluated in terms of a recently proposed stress intensity parameter, K sub rss. This parameter, based on the resolved shear stresses on the slip planes, quantified the crack driving force as well as the mode I delta K, and at the same time was also able to predict the microscopic crack path under different stress states

Optimum interface properties for metal matrix composites

Due to the thermal expansion coefficient mismatch (CTE) between the fiber and the matrix, high residual sresses exist in metal matrix composite systems upon cool down from processing temperature to room temperature. An interface material can be placed between the fiber and the matrix to reduce the high tensile residual stresses in the matrix. A computer program was written to minimize the residual stress in the matrix subject to the interface material properties. The decision variables are the interface modulus, thickness and thermal expansion coefficient. The properties of the interface material are optimized such that the average distortion energy in the matrix and the interface is minimized. As a result, the only active variable is the thermal expansion coefficient. The optimum modulus of the interface is always the minimum allowable value and the interface thickness is always the maximum allowable value, independent of the fiber/matrix system. The optimum interface thermal expansion coefficient is always between the values of the fiber and the matrix. Using this analysis, a survey of materials was conducted for use as fiber coatings in some specific composite systems

Reliability-based failure analysis of brittle materials

The reliability of brittle materials under a generalized state of stress is analyzed using the Batdorf model. The model is modified to include the reduction in shear due to the effect of the compressive stress on the microscopic crack faces. The combined effect of both surface and volume flaws is included. Due to the nature of fracture of brittle materials under compressive loading, the component is modeled as a series system in order to establish bounds on the probability of failure. A computer program was written to determine the probability of failure employing data from a finite element analysis. The analysis showed that for tensile loading a single crack will be the cause of total failure but under compressive loading a series of microscopic cracks must join together to form a dominant crack

Reliability based analysis of contact problems

The Batdorf model is modified to include the reduction in shear due to the effect of compressive stresses on the crack face. This new formulation was used to obtain the probability of failure of ceramic components under contact stress conditions. The combined effect of the surface and volume flaws are included in the analysis. Due to the nature of the fracture of brittle materials under compressive loading, the component is modeled as a series system in order to establish bounds on the probability of failure

Fatigue crack growth in a unidirectional SCS-6/Ti-15-3 composite

An investigation was conducted to characterize and model the fatigue crack growth (FCG) behavior of a SCS-6/Ti-15-3 metal matrix composite. Part of the study was conducted using a fatigue loading stage mounted inside a scanning electron microscope (SEM). This unique facility allowed high magnification viewing of the composite fatigue processes and measurement of the near crack tip displacements. The unidirectional composite was tested in the (0)8 (i.e., longitudinal) and (90)8 (i.e., transverse) orientations. For comparison purposes unreinforced matrix material produced by the identical process as the reinforced material was also tested. The results of the study reveal that the fatigue crack growth behavior of the composite is a function of specimen geometry, fiber orientation and the interaction of local stress fields with the highly anisotropic composite. In the case of (0)8 oriented single edge notch (SEN) specimens and (90)8 oriented compact tension (CT) specimens, the crack growth was normal to the loading direction. However, for the (0)8 CT specimens the crack grew mostly parallel to the loading and the fiber direction. The unusual fatigue behavior of the (0)8 CT specimens was attributed to the specimen geometry and the associated high tensile bending stresses perpendicular to the fiber direction. These stresses resulted in preferential cracking in the weak interface region perpendicular to the fiber direction. The interface region, and in particular the carbon coating surrounding the fiber proved to be the composites weakest link. In the (0)8 SEN the crack growth was confined to the matrix leaving behind unbroken fibers which bridged the cracked surfaces. As the crack grew longer, more fibers bridged the crack resulting in a progressive decrease in the crack growth rates and eventual crack arrest. The actual near crack tip displacement measurements were used in a proposed formulation for a bridging-corrected effective crack driving force, delta K(sub eff). This parameter was able to account for most of the experienced bridging and correlated the (0)8 SEN fatigue crack growth data reasonably well

Photo-control of DNA oligonucleotides with cage compounds

Many biochemical processes in which DNA and other nucleic acids participate are central to functions in both living cells and in molecular biology assays. While many compounds have been used to regulate the activity of DNA, these strategies are limited to the aqueous-based diffusion of the activator to the target DNA molecule. An improvement to the induction of DNA bioactivity is to move to a light-based modulation. This research demonstrates a light-based technique using a photo-cleavable cage compound to transiently inactivate DNA hybridization. Function can be restored with exposure to near-UV light, allowing for temporal control of DNA oligonucleotide (ODN) activity. This method has demonstrated the control of hybridization in molecular biology assays, and provides the framework for in vivo experimentation. A similar light-activated strategy has been shown useful in controlling expression of plasmid transgenes (Monroe 1999). By adapting this method to DNA oligonucleotides (ODNs), we have partially blocked hybridization with the cage compound (1-(4,5-dimethoxy-2-nitrophenyl)ethyl ester (DMNPE) for both phosphodiester and phosphorothioate DNA ODNs. The production and purification of DMNPE-caged DNA ODNs yields products with similar spectrophotometric properties to caged plasmids. In hybridization studies, 20-mer (20 base long) caged DNA ODNs were hybridized with complementary 30-mer molecular beacon probes, and fluorescence measurements were used to assess hybridization of native (non-caged), caged, and caged-light-exposed ODNs. Developments of the molecular beacon assays were studied to improve sensitivity of the assay to caged and caged-flashed ODN hybridization control. Results demonstrated that hybridization can be blocked and subsequently restored by light through the attachment of the DMNPE cage compound, and were further characterized with gel electrophoresis assays. ODN hybridization was restricted to as little as 2% when compared to native (non-caged) ODNs and restored to up to nearly 80% of the native (non-caged) ODN hybridization activity levels. Additional studies on adduction, purification, and characterization of the DMNPE-caged ODNs were performed to optimize their production and efficacy in controlling hybridization. These results suggest that this light-based technology can be used as a tool for the spatial and temporal regulation of hybridization-based DNA bioactivity, including applications with antisense ODNs as a form of controlled gene therapy

Simplified probabilistic model for maximum traffic load from weigh-in-motion data

This is an Accepted Manuscript of an article published by Taylor & Francis Group in Structure and infrastructure engineering on 2016, available online at: http://www.tandfonline.com/10.1080/15732479.2016.1164728This paper reviews the simplified procedure proposed by Ghosn and Sivakumar to model the maximum expected traffic load effect on highway bridges and illustrates the methodology using a set of Weigh-In-Motion (WIM) data collected on one site in the U.S.A. The paper compares different approaches for implementing the procedure and explores the effects of limitations in the site-specific data on the projected maximum live load effect for different bridge service lives. A sensitivity analysis is carried out to study changes in the final results due to variations in the parameters that define the characteristics of the WIM data and those used in the calculation of the maximum load effect. The procedure is also implemented on a set of WIM data collected in Slovenia to study the maximum load effect on existing Slovenian highway bridges and how the projected results compare to the values obtained using advanced simulation algorithms and those specified in the Eurocode of actions.Peer ReviewedPostprint (author's final draft

Territorialities of a Transnational Oil Flow

International audienceThis paper explores the territoriality of the Trans-Arabian Pipeline (Tapline), a cross-border pipeline that carries Aramco crude from the wells of its sister concession in eastern Saudi Arabia to the Mediterranean. Through the case study of Tapline, I argue that territorial organization is a necessary force of production for international concessionary enterprises. Given that the flow of oil depended on the continuity of the Aramco operation, the pipeline company was committed to negotiating the interests the sister-oil concession and those of the producing state. As the northern boundaries of the sister Aramco concession corresponded with that of the Kingdom of Saudi Arabia, Tapline's convention agreement with Saudi Arabia extended infrastructural provisions in relation to the Kingdom's aspirations to settle its tribal population and secure its northern boundary. The pipeline's large-scale technological system materialized thus a territory with its qualities and frictions opening in its turn a space that could be incorporated into forms of political rationalities