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

Blind Multiclass Ensemble Classification

The rising interest in pattern recognition and data analytics has spurred the development of innovative machine learning algorithms and tools. However, as each algorithm has its strengths and limitations, one is motivated to judiciously fuse multiple algorithms in order to find the "best" performing one, for a given dataset. Ensemble learning aims at such high-performance meta-algorithm, by combining the outputs from multiple algorithms. The present work introduces a blind scheme for learning from ensembles of classifiers, using a moment matching method that leverages joint tensor and matrix factorization. Blind refers to the combiner who has no knowledge of the ground-truth labels that each classifier has been trained on. A rigorous performance analysis is derived and the proposed scheme is evaluated on synthetic and real datasets.Comment: To appear in IEEE Transactions in Signal Processin

Linearized force constants method for lattice dynamics in mixed semiconductors

A simple and accurate method of calculating phonon spectra in mixed semiconductors alloys, on the basis of preliminarily (from first principles) relaxed atomic structure, is proposed and tested for (Zn,Be)Se and (Ga,In)As solid solutions. The method uses an observation that the interatomic force constants, calculated ab initio for a number of microscopic configurations in the systems cited, show a clear linear variation of the main (diagonal) values of the interatomic force constants with the corresponding bond length. We formulate simple rules about how to recover the individual 3x3 subblocks of the force constants matrix in their local (bonds-related) coordinate systems and how to transform them into a global (crystal cell-related) coordinate system. Test calculations done for 64-atom supercells representing different concentrations of (Zn,Be)Se and (Ga,In)As show that the phonon frequencies and compositions of eigenvectors are faithfully reproduced in a linearized force constants calculation, as compared to true ab initio calculations.Comment: to appear in the proceedings of the Phonons2007 conference (Paris, July 2007

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.

Raman spectroscopy, a non-destructive solution to the study of glass and its alteration

This paper presents the potential of Raman spectroscopy, a non-destructive technique which can be applied in-situ, for the analyses of glass and their alteration. Recent analytical developments are summarised for different glass composition and practical examples are given. The paper describes how to extract compositional information from the glass, first based on the spectra profile to distinguish rapidly alkali silicate from alkaline-earth alkali silicate and lead alkali silicate glass, then using the spectral decomposition and correlations to extract quantitative data. For alkali silicate glasses, that are most prone to alteration, the spectral characteristics are described to interpret the alteration process (selective leaching or dissolution of the glass) from the Raman spectra of the altered glass. These developments have greatly widened the potential of the technique and supplement well its ability to measure the thickness of the altered layer and identify the crystalline deposits

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

Using routine meteorological data to derive sky conditions

International audienceSky condition is a matter of interest for public and weather predictors as part of weather analyses. In this study, we apply a method that uses total solar radiation and other meteorological data recorded by an automatic station for deriving an estimation of the sky condition. The impetus of this work is the intention of the Catalan Meteorological Service (SMC) to provide the public with real-time information about the sky condition. The methodology for deriving sky conditions from meteorological records is based on a supervised classification technique called maximum likelihood method. In this technique we first need to define features which are derived from measured variables. Second, we must decide which sky conditions are intended to be distinguished. Some analyses have led us to use four sky conditions: (a) cloudless or almost cloudless sky, (b) scattered clouds, (c) mostly cloudy ? high clouds, (d) overcast ? low clouds. An additional case, which may be treated separately, corresponds to precipitation (rain or snow). The main features for estimating sky conditions are, as expected, solar radiation and its temporal variability. The accuracy of this method of guessing sky conditions compared with human observations is around 70% when applied to four sites in Catalonia (NE Iberian Peninsula). The agreement increases if we take into account the uncertainty both in the automatic classifier and in visual observations

The K-filter: a new model of non-linear systems with memory

Peer ReviewedPostprint (published version