3 resultados para Lobatto formulae
em Massachusetts Institute of Technology
Resumo:
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.
Resumo:
Testing constraints for real-time systems are usually verified through the satisfiability of propositional formulae. In this paper, we propose an alternative where the verification of timing constraints can be done by counting the number of truth assignments instead of boolean satisfiability. This number can also tell us how “far away” is a given specification from satisfying its safety assertion. Furthermore, specifications and safety assertions are often modified in an incremental fashion, where problematic bugs are fixed one at a time. To support this development, we propose an incremental algorithm for counting satisfiability. Our proposed incremental algorithm is optimal as no unnecessary nodes are created during each counting. This works for the class of path RTL. To illustrate this application, we show how incremental satisfiability counting can be applied to a well-known rail-road crossing example, particularly when its specification is still being refined.
Resumo:
We present a type-based approach to statically derive symbolic closed-form formulae that characterize the bounds of heap memory usages of programs written in object-oriented languages. Given a program with size and alias annotations, our inference system will compute the amount of memory required by the methods to execute successfully as well as the amount of memory released when methods return. The obtained analysis results are useful for networked devices with limited computational resources as well as embedded software.