Real-time scheduling based on optimized topology and communication traffic in distributed real-time computation platform of storm
C Li, J Zhang, Y Luo - Journal of Network and Computer Applications, 2017 - Elsevier
In recent years, Storm, an open source distributed real-time computation system, has gained
significant amount of popularity in cloud computing industry due to its high reliability and …
significant amount of popularity in cloud computing industry due to its high reliability and …
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
Abstract The Wiener-Hopf factorization of a complex function arises in a variety of fields in
applied mathematics such as probability, finance, insurance, queuing theory, radio …
applied mathematics such as probability, finance, insurance, queuing theory, radio …
Offline simulation online application: A new framework of simulation-based decision making
Traditionally, simulation has been used as a tool of design to estimate, compare and
optimize the performance of different system designs. It is rarely used in making real-time …
optimize the performance of different system designs. It is rarely used in making real-time …
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
Abstract Recently, Cai, Song, and Kou (2015) proposed closed-form double transform
approximation formulas for prices of both discretely and continuously monitored Asian …
approximation formulas for prices of both discretely and continuously monitored Asian …
Dynamic finite-budget allocation of stratified sampling with adaptive variance reduction by strata
C Song, R Kawai - SIAM Journal on Scientific Computing, 2023 - SIAM
We develop and analyze a dynamic finite-budget allocation scheme for stratified sampling
for general purposes on the unit hypercube with adaptive variance reduction applied by …
for general purposes on the unit hypercube with adaptive variance reduction applied by …
It's not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events
Public investment into risk reduction infrastructure plays an important role in facilitating
adaptation to climate impacted hazards and natural disasters. In this paper, we provide an …
adaptation to climate impacted hazards and natural disasters. In this paper, we provide an …
Optimizing adaptive importance sampling by stochastic approximation
R Kawai - SIAM Journal on Scientific Computing, 2018 - SIAM
We investigate the optimality of adaptive importance sampling by stochastic approximation.
To address the well-known difficulty in the implementation of stochastic approximation, that …
To address the well-known difficulty in the implementation of stochastic approximation, that …
Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing
This paper proposes an approximate closed-form option-pricing model based on a non-
linear GARCH process with Normal Inverse Gaussian (NIG) Lévy innovations. We develop …
linear GARCH process with Normal Inverse Gaussian (NIG) Lévy innovations. We develop …
A new hybrid Monte Carlo simulation for Asian options pricing
F Mehrdoust - Journal of Statistical Computation and Simulation, 2015 - Taylor & Francis
The aim of this paper is to present a new hybrid algorithm for pricing financial derivatives in
the arithmetic Asian options. In this paper, two variance reduction techniques are combined …
the arithmetic Asian options. In this paper, two variance reduction techniques are combined …
American step options
This paper examines the valuation of American knock-out and knock-in step options. The
structures of the immediate exercise regions of the various contracts are identified. Typical …
structures of the immediate exercise regions of the various contracts are identified. Typical …