Optimal quantization for the pricing of swing options

In this paper, we investigate a numerical algorithm for the pricing of swing options, relying on the so-called optimal quantization method. The numerical procedure is described in details and numerous simulations are provided to assert its efficiency. In particular, we carry out a comparison with the Longstaff-Schwartz algorithm.Comment: 27

Vibrato and Automatic Differentiation for High Order Derivatives and Sensitivities of Financial Options

International audienceThis paper deals with the computation of second or higher order greeks of financial securities. It combines two methods, Vibrato and automatic differentiation and compares with other methods. We show that this combined technique is faster than standard finite difference, more stable than automatic differentiation of second order derivatives and more general than Malliavin Calculus. We present a generic framework to compute any greeks and present several applications on different types of financial contracts: European and American options, multidimensional Basket Call and stochastic volatility models such as Heston's model. We give also an algorithm to compute derivatives for the Longstaff-Schwartz Monte Carlo method for American options. We also extend automatic differentiation for second order derivatives of options with non-twice differentiable payoff

Desktop cutting of paper using a single emitter laser diode and inkjet printing

International audienceLaser cutting of paper is widely used in the paper conversion industry. CO 2 lasers are well suited for this type of applications. Desktop printing is a large market both for digital photography, document management and graphics applications, but it still lacks advanced cutting and scoring ability, and CO 2 lasers seem costly to be integrated in mass-market printers. For that reason, mass-scalable and low-cost semiconductor laser diodes would be very advantageous to add paper cutting and scoring features in desktop printers. However, common paper can not be cut properly using visible or Near Infrared (NIR) laser diode since it has a very poor absorption at these wavelengths. We report here an innovative solution to achieve paper cutting or scoring using a 1 W single emitter NIR laser diode, within an inkjet printer. A special ink that absorbs the NIR light, and that penetrates all through the paper, is first disposed on the lines to be cut. Then, the laser diode goes along the lines to be cut. We show that a cutting speed of 2m/min can be achieved on 80g/m 2 conventional paper. The influence of the optical properties of the ink on the cutting speed are discussed, as well as focussing issues. In particular, we show that invisible inks are suitable, and very clear-cut edges can be obtained. The perspective of this technique are discussed

Lattice dynamics of mixed semiconductors (Be,Zn)Se from first-principles calculations

Vibration properties of Zn(1-x)Be(x)Se, a mixed II-VI semiconductor haracterized by a high contrast in elastic properties of its pure constituents, ZnSe and BeSe, are simulated by first-principles calculations of electronic structure, lattice relaxation and frozen phonons. The calculations within the local density approximation has been done with the Siesta method, using norm-conserving pseudopotentials and localized basis functions; the benchmark calculations for pure endsystems were moreover done also by all-electron WIEN2k code. An immediate motivation for the study was to analyze, at the microscopic level, the appearance of anomalous phonon modes early detected in Raman spectra in the intermediate region (20 to 80%) of ZnBe concentration. This was early discussed on the basis of a percolation phenomenon, i.e., the result of the formation of wall-to-wall --Be--Se-- chains throughout the crystal. The presence of such chains was explicitly allowed in our simulation and indeed brought about a softening and splitting off of particular modes, in accordance with experimental observation, due to a relative elongation of Be--Se bonds along the chain as compared to those involving isolated Be atoms. The variation of force constants with interatomic distances shows common trends in relative independence on the short-range order.Comment: 11 pages, 10 figures, to be published in Phys. Rev.

The parareal algorithm for American options

AbstractThis note provides a description of the parareal method for American contracts, a numerical section to assess its performance. The scalar case is investigated. Least-Square Monte Carlo (LSMC) and parareal time decomposition with two or more levels are used, leading to an efficient parallel implementation. It contains also a convergence argument for the two-level parareal Monte Carlo method when the time step used for the Euler scheme at each level is appropriate. This argument provides also a tool for analyzing the multilevel case

Le site ArchiZ

Nous avons choisi de consacrer à l’auteur des Rougon-Macquart les deux chroniques de ce numéro qui porte sur l’écriture des cycles romanesques. On trouvera ici une présentation du travail accompli par l’équipe Zola de l’ITEM (CNRS-ENS) autour du site ArchiZ, tandis qu’Agnès Sandras et Charles-Éloi Vial reviennent, dans les pages qui suivent, sur l’histoire des manuscrits d’Émile Zola déposés à la BnF. Ouvert en 2012, le site ArchiZ (fig. 1) a pour objectif de rassembler et d’organiser la dive..

Near-forward Raman study of a phonon-polariton reinforcement regime in the Zn(Se,S) alloy

We investigate by near-forward Raman scattering a presumed reinforcement of the (A-C,B-C)-mixed phonon-polariton of a A1-xBxC zincblende alloy when entering its longitudinal optical (LO-)regime near the Brillouin zone centre {\Gamma}, as predicted within the formalism of the linear dielectric response. A choice system to address such issue is ZnSe0.68S0.32 due to the moderate dispersion of its refractive index in the visible range, a sine qua non condition to bring the phonon-polariton insight near {\Gamma}. The LO-regime is actually accessed by using the 633.0 nm laser excitation, testified by the strong emergence of the (Zn-Se,Zn-S)-mixed phonon-polariton at ultimately small scattering angles