Efficient Numerical Methods for Pricing American Options under Lévy Models

Two new numerical methods for the valuation of American and Bermudan options are proposed, which admit a large class of asset price models for the underlying. In particular, the methods can be applied with Lévy models that admit jumps in the asset price. These models provide a more realistic description of market prices and lead to better calibration results than the well-known Black-Scholes model. The proposed methods are not based on the indirect approach via partial differential equations, but directly compute option prices as risk-neutral expectation values. The expectation values are approximated by numerical quadrature methods. While this approach is initially limited to European options, the proposed combination with interpolation methods also allows for pricing of Bermudan and American options. Two different interpolation methods are used. These are cubic splines on the one hand and a mesh-free interpolation by radial basis functions on the other hand. The resulting valuation methods allow for an adaptive space discretization and error control. Their numerical properties are analyzed and, finally, the methods are validated and tested against various single-asset and multi-asset options under different market models

Axis I comorbidity in adolescent inpatients referred for treatment of substance use disorders

<p>Abstract</p> <p>Background</p> <p>To assess comorbid DSM-IV-TR Axis I disorders in adolescent inpatients referred for treatment of substance use disorders.</p> <p>Methods</p> <p>151 patients (mean age 16.95 years, SD = 1.76; range 13 - 22) were consecutively assessed with the Composite International Diagnostic Interview (CIDI) and standardized clinical questionnaires to assess mental disorders, symptom distress, psychosocial variables and detailed aspects of drug use. A consecutively referred subgroup of these 151 patients consisting of 65 underage patients (mean age 16.12, SD = 1.10; range 13 - 17) was additionally assessed with the modules for attention-deficit/hyperactivity disorder (ADHD) and conduct disorder (CD) using The Schedule for Affective Disorders and Schizophrenia for school-aged children (K-SADS-PL).</p> <p>Results</p> <p>128 (84.8%) of the 151 patients were dependent on at least one substance, the remaining patients fulfilled diagnostic criteria for abuse only. 40.5% of the participants fulfilled criteria for at least one comorbid present Axis I disorder other than substance use disorders (67.7% in the subgroup additionally interviewed with the K-SADS-PL). High prevalences of present mood disorder (19.2%), somatoform disorders (9.3%), and anxiety disorders (22.5%) were found. The 37 female participants showed a significantly higher risk for lifetime comorbid disorders; the gender difference was significantly pronounced for anxiety and somatoform disorders. Data from the underage subgroup revealed a high prevalence for present CD (41.5%). 33% of the 106 patients (total group) who were within the mandatory school age had not attended school for at least a two-month period prior to admission. In addition, 51.4% had been temporarily expelled from school at least once.</p> <p>Conclusions</p> <p>The present data validates previous findings of high psychiatric comorbidity in adolescent patients with substance use disorders. The high rates of school refusal and conduct disorder indicate the severity of psychosocial impairment.</p

How to design taskification in video games. A framework for purposeful game-based crowdsourcing

When it comes to citizen science, games can play an important role encouraging voluntary engagement of the public in activities contributing to scientific investigation. This considering that, on the one hand, what appears as an interesting and challenging scientific topic may not be seen as captivating and engaging for the general public; on the other, that to address a scientific challenge it is often required a level of knowledge that acts a barrier to access. Consequently, it comes the necessity to develop projects with scientific tasks that can be accomplished by novices, while ensuring the interest of experts. In this context, game-based crowdsourcing approaches and taskification in particular can serve as powerful motivation systems. By integrating seamlessly the task into an established game experience, it is possible to target players and direct them to perform the crowdsourcing activity. Situated at the intersection of the three theoretical domains of gamification, serious games, and crowdsourcing game systems, this paper presents a framework to taskify games with crowdsourcing activities. Considering the role that coherently built story-worlds, narrative, and game mechanics play, the framework aims at providing designers with clear guidance for building purposeful crowdsourcing activities within video games

MeSch – An Approach to Resource Management in a Distributed Environment

Abstract. Resource management in the typical Grid environment based on multi-MPP systems or clusters today still is one of the challenging problems. We will present MeSch, a solution for the problem of resource allocation and job scheduling in a distributed heterogeneous environment. MeSch has been implemented and tested successfully in the heterogeneous multi-MPP environment of GMD&apos;s Institute for Scientific Computing and Algorithms. MeSch allows users to access simultaneously, through a single request, heterogeneous resources distributed across the linked systems. This is possible either through explicit demands for different resources or through implicit scheduling of resources resulting from interpretation of requests. The scheduling system is available for both batch and interactive usage of resources. MeSch is implemented based on locally available scheduling facilities thus respecting the different scheduling systems and policies of the computing centers in the Grid.