A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks

We propose a nonparametric method for estimating derivative financial asset pricing formulae using learning networks. To demonstrate feasibility, we first simulate Black-Scholes option prices and show that learning networks can recover the Black-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods: ordinary least squares, radial basis functions, multilayer perceptrons, and projection pursuit. To illustrate practical relevance, we also apply our approach to S&P 500 futures options data from 1987 to 1991.

Self-Assembly of Stimuli-Responsive Water-Soluble [60]Fullerene End-Capped Ampholytic Block Copolymer

Well-defined, water-soluble, pH and temperature stimuli-responsive [60]fullerene (C₆₀) containing ampholytic block copolymer of poly((methacrylic acid)-block-(2-(dimethylamino)ethyl methacrylate))-block–C₆₀ (P(MAA-b-DMAEMA)-b-C₆₀) was synthesized by the atom transfer radical polymerization (ATRP) technique. The self-assembly behaviour of the C₆₀ containing polyampholyte in aqueous solution was characterized by dynamic light scattering (DLS), and transmission electron microscopy. This amphiphilic mono-C₆₀ end-capped block copolymer shows enhanced solubility in aqueous medium at room and elevated temperatures and at low and high pH but phase-separates at intermediate pH of between 5.4 and 8.8. The self assembly of the copolymer is different from that of P(MAA-b-DMAEMA). Examination of the association behavior using DLS revealed the co-existence of unimers and aggregates at low pH at all temperatures studied, with the association being driven by the balance of hydrophobic and electrostatic interactions. Unimers and aggregates of different microstructures are also observed at high pH and at temperatures below the lower critical solution temperature (LCST) of PDMAEMA. At high pH and at temperatures above the LCST of PDMAEMA, the formation of micelles and aggregates co-existing in solution is driven by the combination of hydrophobic, electrostatic, and charge-transfer interactions.

Sequential Optimal Recovery: A Paradigm for Active Learning

In most classical frameworks for learning from examples, it is assumed that examples are randomly drawn and presented to the learner. In this paper, we consider the possibility of a more active learner who is allowed to choose his/her own examples. Our investigations are carried out in a function approximation setting. In particular, using arguments from optimal recovery (Micchelli and Rivlin, 1976), we develop an adaptive sampling strategy (equivalent to adaptive approximation) for arbitrary approximation schemes. We provide a general formulation of the problem and show how it can be regarded as sequential optimal recovery. We demonstrate the application of this general formulation to two special cases of functions on the real line 1) monotonically increasing functions and 2) functions with bounded derivative. An extensive investigation of the sample complexity of approximating these functions is conducted yielding both theoretical and empirical results on test functions. Our theoretical results (stated insPAC-style), along with the simulations demonstrate the superiority of our active scheme over both passive learning as well as classical optimal recovery. The analysis of active function approximation is conducted in a worst-case setting, in contrast with other Bayesian paradigms obtained from optimal design (Mackay, 1992).

Rotation Invariant Object Recognition from One Training Example

Local descriptors are increasingly used for the task of object recognition because of their perceived robustness with respect to occlusions and to global geometrical deformations. Such a descriptor--based on a set of oriented Gaussian derivative filters-- is used in our recognition system. We report here an evaluation of several techniques for orientation estimation to achieve rotation invariance of the descriptor. We also describe feature selection based on a single training image. Virtual images are generated by rotating and rescaling the image and robust features are selected. The results confirm robust performance in cluttered scenes, in the presence of partial occlusions, and when the object is embedded in different backgrounds.

Stimuli-responsive Novel Amphiphilic Polymers for Chemical and Biomedical Applications

Amphiphilic polymers are a class of polymers that self-assemble into different types of microstructure, depending on the solvent environment and external stimuli. Self assembly structures can exist in many different forms, such as spherical micelles, rod-like micelles, bi-layers, vesicles, bi-continuous structure etc. Most biological systems are basically comprised of many of these organised structures arranged in an intelligent manner, which impart functions and life to the system. We have adopted the atom transfer radical polymerization (ATRP) technique to synthesize various types of block copolymer systems that self-assemble into different microstructure when subject to an external stimuli, such as pH or temperature. The systems that we have studied are: (1) pH responsive fullerene (C60) containing poly(methacrylic acid) (PMAA-b-C60); (2) pH and temperature responsive fullerene containing poly[2-(dimethylamino)ethyl methacrylate] (C₆₀-b-PDMAEMA); (3) other responsive water-soluble fullerene systems. By varying temperature, pH and salt concentration, different types microstructure can be produced. In the presence of inorganic salts, fractal patterns at nano- to microscopic dimension were observed for negatively charged PMAA-b-C60, while such structure was not observed for positively charged PDMAEMA-b-C60. We demonstrated that negatively charged fullerene containing polymeric systems can serve as excellent nano-templates for the controlled growth of inorganic crystals at the nano- to micrometer length scale and the possible mechanism was proposed. The physical properties and the characteristics of their self-assembly properties will be discussed, and their implications to chemical and biomedical applications will be highlighted.