1,469 research outputs found
Fish embryo multimodal imaging by laser Doppler digital holography
A laser Doppler imaging scheme combined to an upright microscope is proposed.
Quantitative Doppler imaging in both velocity norm and direction, as well as
amplitude contrast of either zebrafish flesh or vasculature is demonstrated.Comment: Signal Recovery and Synthesis, Jul 2014, Seattle, United States.
(Optical Society of America), OSA Technical Digest (online) 2014, paper
JTu4A.7., Imaging and Applied Optics 2014,
http://www.opticsinfobase.org/abstract.cfm?URI=SRS-2014-JTu4A.
Localizing Volatilities
We propose two main applications of Gy\"{o}ngy (1986)'s construction of
inhomogeneous Markovian stochastic differential equations that mimick the
one-dimensional marginals of continuous It\^{o} processes. Firstly, we prove
Dupire (1994) and Derman and Kani (1994)'s result. We then present Bessel-based
stochastic volatility models in which this relation is used to compute
analytical formulas for the local volatility. Secondly, we use these mimicking
techniques to extend the well-known local volatility results to a stochastic
interest rates framework
Singular value demodulation of phase-shifted holograms
We report on phase-shifted holographic interferogram demodulation by singular
value decomposition. Numerical processing of optically-acquired interferograms
over several modulation periods was performed in two steps : 1- rendering of
off-axis complex-valued holograms by Fresnel transformation of the
interferograms; 2- eigenvalue spectrum assessment of the lag-covariance matrix
of hologram pixels. Experimental results in low-light recording conditions were
compared with demodulation by Fourier analysis, in the presence of random phase
drifts.Comment: 4 pages, 3 figure
Spatiotemporal heterodyne detection
We describe a scheme into which a camera is turned into an efficient tunable
frequency filter of a few Hertz bandwidth in an off-axis, heterodyne optical
mixing configuration, enabling to perform parallel, high-resolution coherent
spectral imaging. This approach is made possible through the combination of a
spatial and temporal modulation of the signal to reject noise contributions.
Experimental data obtained with dynamically scattered light by a suspension of
particles in brownian motion is interpreted
Short-time Fourier transform laser Doppler holography
We report a demonstration of laser Doppler holography at a sustained
acquisition rate of 250 Hz on a 1 Megapixel complementary
metal-oxide-semiconductor (CMOS) sensor array and image display at 10 Hz frame
rate. The holograms are optically acquired in off-axis configuration, with a
frequency-shifted reference beam. Wide-field imaging of optical fluctuations in
a 250 Hz frequency band is achieved by turning time-domain samplings to the
dual domain via short-time temporal Fourier transformation. The measurement
band can be positioned freely within the low radio-frequency spectrum by tuning
the frequency of the reference beam in real-time. Video-rate image rendering is
achieved by streamline image processing with commodity computer graphics
hardware. This experimental scheme is validated by a non-contact vibrometry
experiment
Shot Noise in Digital Holography
We discuss on noise in heterodyne holography in an off-axis configuration. We
show that, for a weak signal, the noise is dominated by the shot noise on the
reference beam. This noise corresponds to an equivalent noise on the signal
beam of one photoelectron per pixel, for the whole sequence of images used to
build the digital hologram
Options on Hedge Funds under the High Water Mark Rule
The rapidly growing hedge fund industry has provided individual and
institutional investors with new investment vehicles and styles of management.
It has also brought forward a new form of performance contract: hedge fund
managers receive incentive fees which are typically a fraction of the fund net
asset value (NAV) above its starting level - a rule known as high water mark.
Options on hedge funds are becoming increasingly popular, in particular because
they allow investors with limited capital to get exposure to this new asset
class. The goal of the paper is to propose a valuation of plain-vanilla options
on hedge funds which accounts for the high water market rule. Mathematically,
this valuation leads to an interesting use of local times of Brownian motion.
Option prices are numerically computed by inversion of their Laplace
transforms
Phase-resolved heterodyne holographic vibrometry with a strobe local oscillator
We report a demonstration of phase-resolved vibrometry, in which out-of-plane
sinusoidal motion is assessed by heterodyne holography. In heterodyne
holography, the beam in the reference channel is an optical local oscillator
(LO). It is frequency-shifted with respect to the illumination beam to enable
frequency conversion within the sensor bandwidth. The proposed scheme
introduces a strobe LO, where the reference beam is frequency-shifted and
modulated in amplitude, to alleviate the issue of phase retrieval. The strobe
LO is both tuned around the first optical modulation side band at the vibration
frequency, and modulated in amplitude to freeze selected mechanical vibration
states sequentially. The phase map of the vibration can then be derived from
the demodulation of successive vibration states
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