Multidimensional Quasi-Monte Carlo Malliavin Greeks

We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the formulas employed by Montero and Kohatsu-Higa to the multidimensional case. The multidimensional setting shows the convenience of the Malliavin Calculus approach over different techniques that have been previously proposed. Indeed, these techniques may be computationally expensive and do not provide flexibility for variance reduction. In contrast, the Malliavin approach exhibits a higher flexibility by providing a class of functions that return the same expected value (the Greek) with different accuracies. This versatility for variance reduction is not possible without the use of the generalized integral by part formula of Malliavin Calculus. In the multidimensional context, we find convenient formulas that permit to improve the localization technique, introduced in Fourni\'e et al and reduce both the computational cost and the variance. Moreover, we show that the parameters employed for variance reduction can be obtained \textit{on the flight} in the simulation. We illustrate the efficiency of the proposed procedures, coupled with the enhanced version of Quasi-Monte Carlo simulations as discussed in Sabino, for the numerical estimation of the Deltas of call, digital Asian-style and Exotic basket options with a fixed and a floating strike price in a multidimensional Black-Scholes market.Comment: 22 pages, 6 figure

Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations

In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by the aid of the Malliavin Calculus, extending the procedure employed by Montero and Kohatsu-Higa (2003). Efficient path-generation algorithms, such as Linear Transformation and Principal Component Analysis, exhibit a high computational cost in a market with time-dependent volatilities. We present a new and fast Cholesky algorithm for block matrices that makes the Linear Transformation even more convenient. Moreover, we propose a new-path generation technique based on a Kronecker Product Approximation. This construction returns the same accuracy of the Linear Transformation used for the computation of the deltas and the prices in the case of correlated asset returns while requiring a lower computational time. All these techniques can be easily employed for stochastic volatility models based on the mixture of multi-dimensional dynamics introduced by Brigo et al. (2004).Comment: 16 page

The Laser Communications Relay Demonstration Experiment Program

This paper elaborates on the Laser Communications Relay Demonstration (LCRD) Experiment Program, which will engage in a number of pre-determined experiments and also call upon a wide variety of experimenters to test new laser communications technology and techniques, and to gather valuable data. LCRD is a joint project between NASA's Goddard Space Flight Center (GSFC), the Jet Propulsion Laboratory (JPL), and the Massachusetts Institute of Technology Lincoln Laboratory (MIT LL). LCRD will test the functionality in various settings and scenarios of optical communications links from a GEO (Geosynchronous Earth Orbit) payload to ground stations in Southern California and Hawaii over a two-year period following launch in 2019. The LCRD investigator team will execute numerous experiments to test critical aspects of laser communications activities over real links and systems, collecting data on the effects of atmospheric turbulence and weather on performance and communications availability. LCRD will also incorporate emulations of target scenarios, including direct-to-Earth (DTE) links from user spacecraft and optical relay providers supporting user spacecraft. To supplement and expand upon the results of these experiments, the project also includes a Guest Experimenters Program, which encourages individuals and groups from government agencies, academia and industry to propose diverse experiment ideas

CMB Anisotropies at Second Order I

We present the computation of the full system of Boltzmann equations at second-order describing the evolution of the photon, baryon and cold dark matter fluids. These equations allow to follow the time evolution of the Cosmic Microwave Background (CMB) anisotropies at second-order at all angular scales from the early epoch, when the cosmological perturbations were generated, to the present through the recombination era. This paper sets the stage for the computation of the full second-order radiation transfer function at all scales and for a a generic set of initial conditions specifying the level of primordial non-Gaussianity. In a companion paper, we will present the computation of the three-point correlation function at recombination which is so relevant for the issue of non-Gaussianity in the CMB anisotropies.Comment: 26 pages, LaTeX file, typos correcte

General Relativistic Dynamics of Irrotational Dust: Cosmological Implications

The non--linear dynamics of cosmological perturbations of an irrotational collisionless fluid is analyzed within General Relativity. Relativistic and Newtonian solutions are compared, stressing the different role of boundary conditions in the two theories. Cosmological implications of relativistic effects, already present at second order in perturbation theory, are studied and the dynamical role of the magnetic part of the Weyl tensor is elucidated.Comment: 12 pages , DFPD 93/A/6

Perturbations of spacetime: gauge transformations and gauge invariance at second order and beyond

We consider in detail the problem of gauge dependence that exists in relativistic perturbation theory, going beyond the linear approximation and treating second and higher order perturbations. We first derive some mathematical results concerning the Taylor expansion of tensor fields under the action of one-parameter families (not necessarily groups) of diffeomorphisms. Second, we define gauge invariance to an arbitrary order $n$. Finally, we give a generating formula for the gauge transformation to an arbitrary order and explicit rules to second and third order. This formalism can be used in any field of applied general relativity, such as cosmological and black hole perturbations, as well as in other spacetime theories. As a specific example, we consider here second order perturbations in cosmology, assuming a flat Robertson-Walker background, giving explicit second order transformations between the synchronous and the Poisson (generalized longitudinal) gauges.Comment: slightly revised version, accepted for publication in Classical and Quantum Gravity. 27 pages including 4 figures, latex using 2 CQG style files: ioplppt.sty, iopl10.st

Penalized likelihood and multi-objective spatial scans for the detection and inference of irregular clusters

Background: Irregularly shaped spatial clusters are difficult to delineate. A cluster found by an algorithm often spreads through large portions of the map, impacting its geographical meaning. Penalized likelihood methods for Kulldorff's spatial scan statistics have been used to control the excessive freedom of the shape of clusters. Penalty functions based on cluster geometry and non-connectivity have been proposed recently. Another approach involves the use of a multi-objective algorithm to maximize two objectives: the spatial scan statistics and the geometric penalty function. Results & Discussion: We present a novel scan statistic algorithm employing a function based on the graph topology to penalize the presence of under-populated disconnection nodes in candidate clusters, the disconnection nodes cohesion function. A disconnection node is defined as a region within a cluster, such that its removal disconnects the cluster. By applying this function, the most geographically meaningful clusters are sifted through the immense set of possible irregularly shaped candidate cluster solutions. To evaluate the statistical significance of solutions for multi-objective scans, a statistical approach based on the concept of attainment function is used. In this paper we compared different penalized likelihoods employing the geometric and non-connectivity regularity functions and the novel disconnection nodes cohesion function. We also build multi-objective scans using those three functions and compare them with the previous penalized likelihood scans. An application is presented using comprehensive state-wide data for Chagas' disease in puerperal women in Minas Gerais state, Brazil. Conclusions: We show that, compared to the other single-objective algorithms, multi-objective scans present better performance, regarding power, sensitivity and positive predicted value. The multi-objective non-connectivity scan is faster and better suited for the detection of moderately irregularly shaped clusters. The multi-objective cohesion scan is most effective for the detection of highly irregularly shaped clusters

An Observational Test of Two-field Inflation

We study adiabatic and isocurvature perturbation spectra produced by a period of cosmological inflation driven by two scalar fields. We show that there exists a model-independent consistency condition for all two-field models of slow-roll inflation, despite allowing for model-dependent linear processing of curvature and isocurvature perturbations during and after inflation on super-horizon scales. The scale-dependence of all spectra are determined solely in terms of slow-roll parameters during inflation and the dimensionless cross-correlation between curvature and isocurvature perturbations. We present additional model-dependent consistency relations that may be derived in specific two-field models, such as the curvaton scenario.Comment: 6 pages, latex with revtex, no figures; v2, minor changes, to appear in Physical Review