First-Order Asymptotics of Path-Dependent Derivatives in Multiscale Stochastic Volatility Environment

In this paper, we extend the first-order asymptotics analysis of Fouque et al. to general path-dependent financial derivatives using Dupire's functional Ito calculus. The main conclusion is that the market group parameters calibrated to vanilla options can be used to price to the same order exotic, path-dependent derivatives as well. Under general conditions, the first-order condition is represented by a conditional expectation that could be numerically evaluated. Moreover, if the path-dependence is not too severe, we are able to find path-dependent closed-form solutions equivalent to the fist-order approximation of path-independent options derived in Fouque et al. Additionally, we exemplify the results with Asian options and options on quadratic variation

Internet routing paths stability model and relation to forwarding paths

Analysis of real datasets to characterize the local stability properties of the Internet routing paths suggests that extending the route selection criteria to account for such property would not increase the routing path length. Nevertheless, even if selecting a more stable routing path could be considered as valuable from a routing perspective, it does not necessarily imply that the associated forwarding path would be more stable. Hence, if the dynamics of the Internet routing and forwarding system show different properties, then one can not straightforwardly derive the one from the other. If this assumption is verified, then the relationship between the stability of the forwarding path (followed by the traffic) and the corresponding routing path as selected by the path-vector routing algorithm requires further characterization. For this purpose, we locally relate, i.e., at the router level, the stability properties of routing path with the corresponding forwarding path. The proposed stability model and measurement results verify this assumption and show that, although the main cause of instability results from the forwarding plane, a second order effect relates forwarding and routing path instability events. This observation provides the first indication that differential stability can safely be taken into account as part of the route selection process

Time-Optimal Path Tracking via Reachability Analysis

Given a geometric path, the Time-Optimal Path Tracking problem consists in finding the control strategy to traverse the path time-optimally while regulating tracking errors. A simple yet effective approach to this problem is to decompose the controller into two components: (i)~a path controller, which modulates the parameterization of the desired path in an online manner, yielding a reference trajectory; and (ii)~a tracking controller, which takes the reference trajectory and outputs joint torques for tracking. However, there is one major difficulty: the path controller might not find any feasible reference trajectory that can be tracked by the tracking controller because of torque bounds. In turn, this results in degraded tracking performances. Here, we propose a new path controller that is guaranteed to find feasible reference trajectories by accounting for possible future perturbations. The main technical tool underlying the proposed controller is Reachability Analysis, a new method for analyzing path parameterization problems. Simulations show that the proposed controller outperforms existing methods.Comment: 6 pages, 3 figures, ICRA 201

Path Checking for MTL and TPTL over Data Words

Metric temporal logic (MTL) and timed propositional temporal logic (TPTL) are quantitative extensions of linear temporal logic, which are prominent and widely used in the verification of real-timed systems. It was recently shown that the path checking problem for MTL, when evaluated over finite timed words, is in the parallel complexity class NC. In this paper, we derive precise complexity results for the path-checking problem for MTL and TPTL when evaluated over infinite data words over the non-negative integers. Such words may be seen as the behaviours of one-counter machines. For this setting, we give a complete analysis of the complexity of the path-checking problem depending on the number of register variables and the encoding of constraint numbers (unary or binary). As the two main results, we prove that the path-checking problem for MTL is P-complete, whereas the path-checking problem for TPTL is PSPACE-complete. The results yield the precise complexity of model checking deterministic one-counter machines against formulae of MTL and TPTL

Polynomial fixed-parameter algorithms : a case study for longest path on interval graphs.

We study the design of fixed-parameter algorithms for problems already known to be solvable in polynomial time. The main motivation is to get more efficient algorithms for problems with unattractive polynomial running times. Here, we focus on a fundamental graph problem: Longest Path; it is NP-hard in general but known to be solvable in O(n^4) time on n-vertex interval graphs. We show how to solve Longest Path on Interval Graphs, parameterized by vertex deletion number k to proper interval graphs, in O(k^9n) time. Notably, Longest Path is trivially solvable in linear time on proper interval graphs, and the parameter value k can be approximated up to a factor of 4 in linear time. From a more general perspective, we believe that using parameterized complexity analysis for polynomial-time solvable problems offers a very fertile ground for future studies for all sorts of algorithmic problems. It may enable a refined understanding of efficiency aspects for polynomial-time solvable problems, similarly to what classical parameterized complexity analysis does for NP-hard problems