Multi-asset Spread Option Pricing and Hedging

We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. Numerical analysis shows that while the latter method is more accurate than the former, both methods are extremely fast and accurate. Approximations for important Greeks are also derived in closed form. Our approximation methods enable the accurate pricing of a bulk volume of spread options on a large number of assets in real time, which offers traders a potential edge in a dynamic market environment.multi-asset spread option, closed-form approximation

Multi-asset Spread Option Pricing and Hedging

We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. Numerical analysis shows that while the latter method is more accurate than the former, both methods are extremely fast and accurate. Approximations for important Greeks are also derived in closed form. Our approximation methods enable the accurate pricing of a bulk volume of spread options on a large number of assets in real time, which offers traders a potential edge in a dynamic market environment

1st Place Solution of Egocentric 3D Hand Pose Estimation Challenge 2023 Technical Report:A Concise Pipeline for Egocentric Hand Pose Reconstruction

This report introduce our work on Egocentric 3D Hand Pose Estimation workshop. Using AssemblyHands, this challenge focuses on egocentric 3D hand pose estimation from a single-view image. In the competition, we adopt ViT based backbones and a simple regressor for 3D keypoints prediction, which provides strong model baselines. We noticed that Hand-objects occlusions and self-occlusions lead to performance degradation, thus proposed a non-model method to merge multi-view results in the post-process stage. Moreover, We utilized test time augmentation and model ensemble to make further improvement. We also found that public dataset and rational preprocess are beneficial. Our method achieved 12.21mm MPJPE on test dataset, achieve the first place in Egocentric 3D Hand Pose Estimation challenge

Atmospheric N2O and CH4 total columns retrieved from low-resolution Fourier transform infrared (FTIR) spectra (Bruker VERTEX 70) in the mid-infrared region

Nitrous oxide (N2O) and methane (CH4) are two important greenhouse gases in the atmosphere. In 2019, mid-infrared (MIR) solar absorption spectra were recorded by a Bruker VERTEX 70 spectrometer and a Bruker IFS 125HR spectrometer at Sodankylä, Finland, at spectral resolutions of 0.2 and 0.005 cm−1, respectively. The N2O and the CH4 retrievals from high-resolution MIR spectra have been well investigated within the Network for the Detection of Atmospheric Composition Change (NDACC) but not for MIR spectra gathered with instruments operating at low spectral resolution. In this study, N2O and CH4 retrieval strategies and retrieval uncertainties from the VERTEX 70 MIR low-resolution spectra are discussed and presented. The accuracy and precision of the VERTEX 70 N2O and CH4 retrievals are assessed by comparing them with the coincident 125HR retrievals and AirCore measurements. The relative differences between the N2O total columns retrieved from 125HR and VERTEX 70 spectra are −0.3 ± 0.7 (1σ) % with a correlation coefficient (R) of 0.93. Regarding the CH4 total column, we first used the same retrieval microwindows for 125HR and VERTEX 70 spectra, but there is an underestimation in the VERTEX 70 retrievals, especially in summer. The relative differences between the CH4 total columns retrieved from the 125HR and VERTEX 70 spectra are -1.3±1.1 (1σ) % with a R value of 0.77. To improve the VERTEX 70 CH4 retrievals, we propose alternative retrieval microwindows. The relative differences between the CH4 total columns retrieved from the 125HR and VERTEX 70 spectra in these new windows become 0.0±0.8 (1σ) %, along with an increase in the R value to 0.87. The coincident AirCore measurements confirm that the VERTEX 70 CH4 retrievals using the latter window choice are better, with relative mean differences between the VERTEX 70 CH4 retrievals and AirCore measurements of −1.9 % for the standard NDACC microwindows and of 0.13 % for the alternative microwindows. This study provides insight into the N2O and CH4 retrievals from the low-resolution (0.2 cm−1) MIR spectra observed with a VERTEX 70 spectrometer, and it demonstrates the suitability of this kind of instrument for contributing to satellite validation, model verification, and other scientific campaigns with the advantage of its transportability and lower cost compared to standard NDACC-type Fourier-transform infrared (FTIR) instruments.</p

Retrieval of atmospheric CH_4 vertical information from ground-based FTS near-infrared spectra

International audienceThe Total Carbon Column Observing Network (TCCON) column-averaged dry air mole fraction of CH 4 (X CH 4) measurements have been widely used to validate satellite observations and to estimate model simulations. The GGG2014 code is the standard TCCON retrieval software used in performing a profile scaling retrieval. In order to obtain several vertical pieces of information in addition to the total column, in this study, the SFIT4 retrieval code is applied to retrieve the CH 4 mole fraction vertical profile from the Fourier transform spectrometer (FTS) spectrum at six sites (Ny-Ålesund, Sodankylä, Bialystok, Bremen, Orléans and St Denis) during the time period of 2016-2017. The retrieval strategy of the CH 4 profile retrieval from ground-based FTS near-infrared (NIR) spectra using the SFIT4 code (SFIT4NIR) is investigated. The degree of freedom for signal (DOFS) of the SFIT4NIR retrieval is about 2.4, with two distinct pieces of information in the troposphere and in the stratosphere. The averaging kernel and error budget of the SFIT4NIR retrieval are presented. The data accuracy and precision of the SFIT4NIR retrievals, including the total column and two partial columns (in the troposphere and stratosphere), are estimated by TCCON standard retrievals, ground-based in situ measurements, Atmospheric Chemistry Experiment-Fourier Transform Spectrometer (ACE-FTS) satellite observations, TCCON proxy data and AirCore and aircraft measurements. By comparison against TCCON standard retrievals, it is found that the retrieval uncertainty of SFIT4NIR X CH 4 is similar to that of TCCON standard retrievals with systematic uncertainty within 0.35 % and random uncertainty of about 0.5 %. The tropospheric and strato-spheric X CH 4 from SFIT4NIR retrievals are assessed by comparison with AirCore and aircraft measurements, and there is a 1.0 ± 0.3 % overestimation in the SFIT4NIR tropospheric X CH 4 and a 4.0 ± 2.0 % underestimation in the SFIT4NIR stratospheric X CH 4 , which are within the systematic uncertainties of SFIT4NIR-retrieved partial columns in the tropo-sphere and stratosphere respectively

Update on the GOSAT TANSO–FTS SWIR Level 2 retrieval algorithm

The National Institute for Environmental Studies has provided the column-averaged dry-air mole fraction of carbon dioxide and methane (XCO$_2$ and XCH$_4$) products (L2 products) obtained from the Greenhouse gases Observing SATellite (GOSAT) for more than a decade. Recently, we updated the retrieval algorithm used to produce the new L2 product, V03.00. The main changes from the previous version (V02) of the retrieval algorithm are the treatment of cirrus clouds, the degradation model of the Thermal And Near-infrared Spectrometer for carbon Observation–Fourier Transform Spectrometer (TANSO–FTS), solar irradiance spectra, and gas absorption coefficient tables. The retrieval results from the updated algorithm showed improvements in fitting accuracies in the O$_2$ A, weak CO$_2$, and CH$_4$ bands of TANSO–FTS, although the residuals increase in the strong CO$_2$ band over the ocean. The direct comparison of the new product obtained from the updated (V03) algorithm with the previous version V02.90/91 and the validations using the Total Carbon Column Observing Network revealed that the V03 algorithm increases the amount of data without diminishing the data qualities of XCO$_2$ and XCH$_4$ over land. However, the negative bias of XCO$_2$ is larger than that of the previous version over the ocean, and bias correction is still necessary. Additionally, the V03 algorithm resolves the underestimation of the XCO$_2$ growth rate compared with the in situ measurements over the ocean recently found using V02.90/91 and V02.95/96