Hedging in fractional Black-Scholes model with transaction costs

We consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging portfolio in terms of the recently discovered explicit conditional law of the fractional Brownian motion

Analysis of the Second Moment of the LT Decoder

We analyze the second moment of the ripple size during the LT decoding process and prove that the standard deviation of the ripple size for an LT-code with length $k$ is of the order of $\sqrt k.$ Together with a result by Karp et. al stating that the expectation of the ripple size is of the order of $k$ [3], this gives bounds on the error probability of the LT decoder. We also give an analytic expression for the variance of the ripple size up to terms of constant order, and refine the expression in [3] for the expectation of the ripple size up to terms of the order of $1/k$, thus providing a first step towards an analytic finite-length analysis of LT decoding.Comment: 5 pages, 1 figure; submitted to ISIT 200

Almost-Uniform Sampling of Points on High-Dimensional Algebraic Varieties

We consider the problem of uniform sampling of points on an algebraic variety. Specifically, we develop a randomized algorithm that, given a small set of multivariate polynomials over a sufficiently large finite field, produces a common zero of the polynomials almost uniformly at random. The statistical distance between the output distribution of the algorithm and the uniform distribution on the set of common zeros is polynomially small in the field size, and the running time of the algorithm is polynomial in the description of the polynomials and their degrees provided that the number of the polynomials is a constant