A numerical study of radial basis function based methods for option pricing under one dimension jump-diffusion model

The aim of this paper is to show how option prices in the Jump-diffusion model can be computed using meshless methods based on Radial Basis Function (RBF) interpolation. The RBF technique is demonstrated by solving the partial integro-differential equation (PIDE) in one-dimension for the Ameri- can put and the European vanilla call/put options on dividend-paying stocks in the Merton and Kou Jump-diffusion models. The radial basis function we select is the Cubic Spline. We also propose a simple numerical algorithm for finding a finite computational range of a global integral term in the PIDE so that the accuracy of approximation of the integral can be improved. Moreover, the solution functions of the PIDE are approximated explicitly by RBFs which have exact forms so we can easily compute the global intergal by any kind of numerical quadrature. Finally, we will also show numerically that our scheme is second order accurate in spatial variables in both American and European cases

A Hybrid Approach to Process Planning: The Urban Traffic Controller Example

Automated planning and scheduling are increasingly utilised in solving evsery day planning task. Planning in domains with continuous numeric changes present certain limitations and tremendous challenges to advanced planning algorithms. There are many pertinent examples to the engineering community; however, a case study is provided through the urban traffic controller domain. This paper introduce a novel hybrid approach to state-space planning systems involving a continuous process which can be utilised in several applications. We explore Model Predictive Control (MPC) and explain how it can be introduce into planning with domains containing mixed discrete and continuous state variables. This preserves the numerous benefits of AI Planning approach by the use of explicit reasoning and declarative modelling. It also leverages on the capability of MPC to manage numeric computation and control of continuous processes. The hybrid approach was tested on an urban traffic control network to ascertain it practicability on a continuous domain; the results show its potential to control and optimise heavy volumes of traffic

Comparisons of Supergranule Characteristics During the Solar Minima of Cycles 22/23 and 23/24

Supergranulation is a component of solar convection that manifests itself on the photosphere as a cellular network of around 35 Mm across, with a turnover lifetime of 1-2 days. It is strongly linked to the structure of the magnetic field. The horizontal, divergent flows within supergranule cells carry local field lines to the cell boundaries, while the rotational properties of supergranule upflows may contribute to the restoration of the poloidal field as part of the dynamo mechanism that controls the solar cycle. The solar minimum at the transition from cycle 23 to 24 was notable for its low level of activity and its extended length. It is of interest to study whether the convective phenomena that influences the solar magnetic field during this time differed in character to periods of previous minima. This study investigates three characteristics (velocity components, sizes and lifetimes) of solar supergranulation. Comparisons of these characteristics are made between the minima of cycles 22/23 and 23/24 using MDI Doppler data from 1996 and 2008, respectively. It is found that whereas the lifetimes are equal during both epochs (around 18 h), the sizes are larger in 1996 (35.9 +/- 0.3 Mm) than in 2008 (35.0 +/- 0.3 Mm), while the dominant horizontal velocity flows are weaker (139 +/- 1 m/s in 1996; 141 +/- 1 m/s in 2008). Although numerical differences are seen, they are not conclusive proof of the most recent minimum being inherently unusual.Comment: 22 pages, 5 figures. Solar Physics, in pres

Entangling Two Bose-Einstein Condensates by Stimulated Bragg Scattering

We propose an experiment for entangling two spatially separated Bose-Einstein condensates by Bragg scattering of light. When Bragg scattering in two condensates is stimulated by a common probe, the resulting quasiparticles in the two condensates get entangled due to quantum communication between the condensates via probe beam. The entanglement is shown to be significant and occurs in both number and quadrature phase variables. We present two methods of detecting the generated entanglement.Comment: 4 pages, Revte

Decision-Making Ontology for Information System Engineering

International audienceInformation Systems (IS) engineering (ISE) processes contain steps where decisions must be made. Moreover, the growing role of IS in organizations involves requirements for ISE such as quality, cost and time. Considering these aspects implies that the number of researches dealing with decision-making (DM) in ISE increasingly grows. As DM becomes widespread in the ISE field, it is necessary to build a representation, shared between researchers and practitioners, of DM concepts and their relations with DM problems in ISE. In this paper, we present a DM ontology which aims at formalizing DM knowledge. Its goal is to enhance DM and to support DM activities in ISE. This ontology is illustrated within the requirements engineering field

Pulsar timing arrays and the challenge of massive black hole binary astrophysics

Pulsar timing arrays (PTAs) are designed to detect gravitational waves (GWs) at nHz frequencies. The expected dominant signal is given by the superposition of all waves emitted by the cosmological population of supermassive black hole (SMBH) binaries. Such superposition creates an incoherent stochastic background, on top of which particularly bright or nearby sources might be individually resolved. In this contribution I describe the properties of the expected GW signal, highlighting its dependence on the overall binary population, the relation between SMBHs and their hosts, and their coupling with the stellar and gaseous environment. I describe the status of current PTA efforts, and prospect of future detection and SMBH binary astrophysics.Comment: 18 pages, 4 figures. To appear in the Proceedings of the 2014 Sant Cugat Forum on Astrophysics. Astrophysics and Space Science Proceedings, ed. C.Sopuerta (Berlin: Springer-Verlag

Comment on entrance- and exit-channel effects and the suppression of neutron emission from Ni64+92Zr156Er

A Comment on the Letter by D. J. G. Love, Phys. Rev. Lett. 57, 551 (1986)

Star and Planet Formation with ALMA: an Overview

Submillimeter observations with ALMA will be the essential next step in our understanding of how stars and planets form. Key projects range from detailed imaging of the collapse of pre-stellar cores and measuring the accretion rate of matter onto deeply embedded protostars, to unravelling the chemistry and dynamics of high-mass star-forming clusters and high-spatial resolution studies of protoplanetary disks down to the 1 AU scale.Comment: Invited review, 8 pages, 5 figures; to appear in the proceedings of "Science with ALMA: a New Era for Astrophysics". Astrophysics & Space Science, in pres

(Sub)mm Interferometry Applications in Star Formation Research

This contribution gives an overview about various applications of (sub)mm interferometry in star formation research. The topics covered are molecular outflows, accretion disks, fragmentation and chemical properties of low- and high-mass star-forming regions. A short outlook on the capabilities of ALMA is given as well.Comment: 20 pages, 7 figures, in proceedings to "2nd European School on Jets from Young Star: High Angular Resolution Observations". A high-resolution version of the paper can be found at http://www.mpia.de/homes/beuther/papers.htm