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

Quadratic optimal functional quantization of stochastic processes and numerical applications

In this paper, we present an overview of the recent developments of functional quantization of stochastic processes, with an emphasis on the quadratic case. Functional quantization is a way to approximate a process, viewed as a Hilbert-valued random variable, using a nearest neighbour projection on a finite codebook. A special emphasis is made on the computational aspects and the numerical applications, in particular the pricing of some path-dependent European options.Comment: 41 page

Lixiviació de nutrients i producció de maduixot. Efectes del maneig de la fertirrigació

L'estudi desenvolupa a escala d'explotació agrícola un model de gestió de l'aigua i dels fertilitzants per al cultiu del maduixot en sòls sorrencs d'elevada permeabilitat, amb l'objectiu de reduir l'efecte contaminant derivat de l'ús intensiu de fertilitzants en aquest conreu, sense renunciar a la productivitat. Els resultats obtinguts mostren que la utilització conjunta de solucions nutritives de concentració reduïda i el criteri de reg, a partir de mesures de tanc d'evaporació, permeten un ús més eficient de l'aigua i els fertilitzants i que es mantenen els nivells productius i la qualitat.A water and fertilisers management model is being developed at farm level that allows the control of strawberry production in permeable sandy soils. The main objective is to reduce the potential chemical degradation of the soil due to the general intensive use of fertilisers without decreasing productivity. The results show that the coupled use of nutritive solutions at low concentrations and an irrigation criteria based on evaporation tank measurements allow a more efficient water and fertiliser use while production levels and quality.El estudio desarrolla a escala de explotación agrícola un modelo de gestión del agua y de los fertilizantes, para el cultivo del fresón en suelos arenosos de elevada permeabilidad, con el objetivo de reducir el efecto contaminante derivado del uso intensivo de fertilizantes en este cultivo sin renunciar a la productividad. Los resultados obtenidos muestran que la utilización conjunta de soluciones nutritivas de concentración reducida y el criterio de riego a partir de medidas de tanque de evaporación permiten un uso más eficiente del agua y los fertilizantes y que se mantienen los niveles productivos y la calidad

Bio-optical properties and radiative energy budgets in fed and unfed scleractinian corals (Pocillopora sp.) during thermal bleaching

© 2019 The authors. Corals live in symbiosis with algal dinoflagellates, which can achieve outstanding photo - synthetic energy efficiencies in hospite approaching theo retical limits. However, how such photosynthetic efficiency varies with environmental stress remains poorly known. Using fiber-optic and electrochemical microsensors in combination with variable chlorophyll fluorescence imaging, we investigated the combined effects of thermal stress and active feeding on the radiative energy budget and photosynthetic efficiency of the symbiotic coral Pocillopora sp. At ambient temperature (25°C), the percentage of ab sorbed light energy used for photosynthesis under low irradiance was higher for fed (∼5-6%) compared to unfed corals (4%). Corals from both feeding treatments responded equally to stress from high light ex posure (2400 μmol photons m-2 s-1), exhibiting a de crease in photosynthetic efficiency, down to 0.5-0.6%. Fed corals showed increased resilience to thermal-induced bleaching (loss of symbionts) compared to unfed corals. In addition, while unfed corals decreased their photosynthetic efficiency almost immediately when exposed to thermal stress, fed corals maintained a constant and high photosynthetic efficiency for 5 more days after onset of thermal stress. We conclude that active feeding is beneficial to corals by prolonging coral health and resilience during thermal stress as a result of an overall healthier symbiont population