Numerical Methods for Option Pricing under the Two-Factor Models

Pricing options under multi-factor models are challenging and important problems for financial applications. In particular, the closed form solutions are not available for the American options and some European options, and the correlations between factors increase the complexity and difficulty for the formulations and implements of the numerical methods. In this dissertation, we first introduce a general transformation to decouple correlated stochastic processes governed by a system of stochastic differential equations. Then we apply the transformation to the popular two-factor models: the two-asset model, the stochastic volatility model, and the stochastic interest rate models. Based on our new formulations, we develop a mixed Monte Carlo method, a lattice method, and a finite volume-alternating direction implicit method for pricing the European and American options under these models. The proposed methods can be easily implemented and need less memory. Numerical results are also presented to validate our C++ programs and to examine our methods. It shows that our methods are very accurate and efficient

Differences in diversity and community assembly processes between planktonic and benthic diatoms in the upper reach of the Jinsha River, China

Comparing spatio-temporal patterns between planktonic and benthic algae is helpful for understanding their associations and differences. However, such studies are still rare especially in large rivers. We used a dataset collected in the upper reach of the Jinsha River in different seasons to explore biodiversity and assembly processes of planktonic and benthic diatom assemblages. We found that planktonic and benthic diatoms presented different seasonal variation in species richness and community compositions. We also found evidence that planktonic and benthic diatoms were coupled in the summer. Planktonic diatom assemblages were mainly affected by spatial processes via directional spatial dispersal, especially in the summer. By comparison, benthic diatom assemblages were more affected by environmental processes. Our findings suggest that mass effect and species sorting paradigms explain the assembly processes of planktonic and benthic diatom assemblages, respectively, but the explanatory powers of these two paradigms vary seasonally. To effectively monitor and assess ecological conditions of large rivers, we recommend using benthic algae as a biotic indicator group as they had stronger correlations with environmental factors.Peer reviewe

Food-burying behavior in red imported fire ants (Hymenoptera: Formicidae)

The food-burying behavior has been reported in many mammals and birds, but was rarely observed in invertebrates. The red imported fire ants, Solenopsis invicta Buren, is an invasive pest in many areas of the world that usually performing food-burying during the foraging processes. However, the impacted factors and measureable patterns of this behavior is largely unknown. In the present study, food-burying vs food-transport behaviors of Solenopsis invicta were observed under laboratory and field conditions. When starved (no food was provided for 37 days) in the laboratory, food (sausage) was consumed by large numbers of ants, and few burying behaviors were observed. However, when food was provided until satiation of the colonies, food-transport was suppressed and significantly more soil particles were relocated on the food and graph paper square (where the food was placed) when compared with these colonies exposed to starved conditions. Videotapes showed that soil particles (1.47 ± 0.09 mm2) were preferentially placed adjacent to (in contact with) the food items at the beginning; and after the edges were covered, ants transported significantly smaller soil particles (1.13 ± 0.06 mm2) to cover the food. Meanwhile, larger particles (1.96 ± 0.08 mm2) were pulled/dragged around (but not in contact with) the food. Interestingly, only a small number of ants, mainly the small workers, were involved in food-burying, and the ants tended to repeatedly transport soil particles. A total of 12 patterns of particle transport were identified, and soil particles were most frequently picked from the foraging arena and subsequently placed adjacent to the food. In the field, almost all released food was actively transported by Solenopsis invicta workers, and no burying behavior was observed. Our results show that the food-burying behavior of Solenopsis invicta may be associated with the suppressed foraging activity, and the burying task may be carried out by certain groups of workers

MAgent: A many-agent reinforcement learning platform for artificial collective intelligence

We introduce MAgent, a platform to support research and development of many-agent reinforcement learning. Unlike previous research platforms on single or multi-agent reinforcement learning, MAgent focuses on supporting the tasks and the applications that require hundreds to millions of agents. Within the interactions among a population of agents, it enables not only the study of learning algorithms for agents' optimal polices, but more importantly, the observation and understanding of individual agent's behaviors and social phenomena emerging from the AI society, including communication languages, leaderships, altruism. MAgent is highly scalable and can host up to one million agents on a single GPU server. MAgent also provides flexible configurations for AI researchers to design their customized environments and agents. In this demo, we present three environments designed on MAgent and show emerged collective intelligence by learning from scratch

Epithelial Heat Shock Proteins Mediate the Protective Effects of Limosilactobacillus reuteri in Dextran Sulfate Sodium-Induced Colitis

Defects in gut barrier function are implicated in gastrointestinal (GI) disorders like inflammatory bowel disease (IBD), as well as in systemic inflammation. With the increasing incidence of IBD worldwide, more attention should be paid to dietary interventions and therapeutics with the potential to boost the natural defense mechanisms of gut epithelial cells. The current study aimed to investigate the protective effects of Limosilactobacillus reuteri ATCC PTA 4659 in a colitis mouse model and delineate the mechanisms behind it. Wild-type mice were allocated to the control group; or given 3% dextran sulfate sodium (DSS) in drinking water for 7 days to induce colitis; or administered L. reuteri for 7 days as pretreatment; or for 14 days starting 7 days before subjecting to the DSS. Peroral treatment with L. reuteri improved colitis severity clinically and morphologically and reduced the colonic levels of Tumor necrosis factor-alpha (TNF-alpha) (Tnf), Interleukin 1-beta (Il1 beta), and nterferon-gamma (Ifng), the crucial pro-inflammatory cytokines in colitis onset. It also prevented the CD11b(+)Ly6G(+) neutrophil recruitment and the skewed immune responses in mesenteric lymph nodes (MLNs) of CD11b(+)CD11c(+) dendritic cell (DC) expansion and Foxp3(+)CD4(+) T-cell reduction. Using 16S rRNA gene amplicon sequencing and RT-qPCR, we demonstrated a colitis-driven bacterial translocation to MLNs and gut microbiota dysbiosis that were in part counterbalanced by L. reuteri treatment. Moreover, the expression of barrier-preserving tight junction (TJ) proteins and cytoprotective heat shock protein (HSP) 70 and HSP25 was reduced by colitis but boosted by L. reuteri treatment. A shift in expression pattern was also observed with HSP70 in response to the pretreatment and with HSP25 in response to L. reuteri-DSS. In addition, the changes of HSPs were found to be correlated to bacterial load and epithelial cell proliferation. In conclusion, our results demonstrate that the human-derived L. reuteri strain 4659 confers protection in experimental colitis in young mice, while intestinal HSPs may mediate the probiotic effects by providing a supportive protein-protein network for the epithelium in health and colitis

Neural Chinese Word Segmentation with Lexicon and Unlabeled Data via Posterior Regularization

Existing methods for CWS usually rely on a large number of labeled sentences to train word segmentation models, which are expensive and time-consuming to annotate. Luckily, the unlabeled data is usually easy to collect and many high-quality Chinese lexicons are off-the-shelf, both of which can provide useful information for CWS. In this paper, we propose a neural approach for Chinese word segmentation which can exploit both lexicon and unlabeled data. Our approach is based on a variant of posterior regularization algorithm, and the unlabeled data and lexicon are incorporated into model training as indirect supervision by regularizing the prediction space of CWS models. Extensive experiments on multiple benchmark datasets in both in-domain and cross-domain scenarios validate the effectiveness of our approach.Comment: 7 pages, 11 figures, accepted by the 2019 World Wide Web Conference (WWW '19

MPPT control technology based on the GWO-VINC algorithm

It is a challenging task to accurately track the global maximum power point (GMPP) in a changing environment in widely used photovoltaic (PV) systems. So far, a variety of maximum power point (MPP) tracking algorithms have been used in solar PV power systems. The classical algorithm is simple and fast to track the speed effectively in a constant environment, but it can get stuck at an extreme point in a variable environment. In this paper, the variable-step incremental conductance (VINC) method is combined with the gray wolf optimization (GWO) algorithm. Firstly, GWO conducts a global search. When the search reaches the area near GMPP, the next step of the search process is carried out based on the iteration number conditions of GWO. Enter the search process of VINC and determine whether the current search process is on the left or right side of the vertex based on the current search value. And adjust the duty cycle during the VINC search process using different variable step size methods based on the left and right sides, and finally accurately locate the GMPP value. To verify the robustness of the proposed algorithm, simulation, and experimental comparisons were conducted between the proposed method in the article and GWO and VINC. The tracking efficiency of static shadows, simulated dynamic shadows, and experimental static and dynamic shadows is 99.80%, 98.82%, 99.43%, and 98.51%, respectively. The tracking time of simulation and experiment is 46.49% and 89.34% faster than GWO and VINC technologies, respectively. The results show that compared with the GWO and VINC methods, the proposed method has improved tracking speed and efficiency. Moreover, compared with the method that combines the two intelligent algorithms, this method has fewer algorithm parameters, a simple calculation process, lower complexity, lower hardware requirements, and better actual implementation performance

System Level Trade Study of Hybrid Parallel Propulsion Architectures on Future Regional and Thin Haul Turboprop Aircraft

Presented at the AIAA SCITECH 2023 ForumThis paper evaluates the potential benefits of applying hybrid parallel propulsion architectures to future turboprop aircraft that are expected to enter into service in 2030. Two baseline aircraft models are established by infusing viable 2030 airframe and engine technologies on state-of-the-art 19-passenger and 50-passenger aircraft models. Two parametric parallel hybrid architectures are proposed and applied on both size classes: Architecture 1 has two propellers, each driven by an engine and an electric motor in parallel, and allows in-flight recharging; Architecture 2 has four propellers, each driven by either an engine or an electric motor, and allows parallel operation during the cruise. A design space exploration is conducted on the powertrain design variables and the electric component key performance parameters. A constrained optimization implies that Architecture 1 and 2 can achieve fuel savings of about 2.6% and 6.6%, respectively, given 2030 electric component technology assumptions. Electric taxi consistently results in fuel saving when battery technology is beyond the projected 2030 level. Preliminary sensitivity studies show that the performance of Architecture 2 is more sensitive to the battery technology compared to Architecture 1 due to its extensive use of battery energy during the cruise.NATIONAL INSTITUTE OF AEROSPACE, GR0001018