Risk Minimizing Option Pricing in a Semi-Markov Modulated Market

We address risk minimizing option pricing in a semi-Markov modulated market where the floating interest rate depends on a finite state semi-Markov process. The growth rate and the volatility of the stock also depend on the semi-Markov process. Using the Föllmer–Schweizer decomposition we find the locally risk minimizing price for European options and the corresponding hedging strategy. We develop suitable numerical methods for computing option prices.

Asymptotic analysis of option pricing in a Markov modulated market

We address asymptotic analysis of option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of the stocks depend on a finite state Markov chain. We study two variations of the chain namely, when the chain is moving very fast compared to the underlying asset price and when it is moving very slow. Using quadratic hedging and asymptotic expansion, we derive corrections on the locally risk minimizing option price.

Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market

We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov process. Using the minimal martingale measure, we show that the locally risk minimizing prices for certain exotic options satisfy a system of Black-Scholes partial differential equations with appropriate boundary conditions. We find the corresponding hedging strategies and the residual risk. We develop suitable numerical methods to compute option prices.

Pricing Defaultable Bonds in a Markov Modulated Market

We address the problem of pricing defaultable bonds in a Markov modulated market. Using Merton's structural approach we show that various types of defaultable bonds are combination of European type contingent claims. Thus pricing a defaultable bond is tantamount to pricing a contingent claim in a Markov modulated market. Since the market is incomplete, we use the method of quadratic hedging and minimal martingale measure to derive locally risk minimizing derivative prices, hedging strategies and the corresponding residual risks. The price of defaultable bonds are obtained as solutions to a system of PDEs with weak coupling subject to appropriate terminal and boundary conditions. We solve the system of PDEs numerically and carry out a numerical investigation for the defaultable bond prices. We compare their credit spreads with some of the existing models. We observe higher spreads in the Markov modulated market. We show how business cycles can be easily incorporated in the proposed framework. We demonstrate the impact on spreads of the inclusion of rare states that attempt to capture a tight liquidity situation. These states are characterized by low risk-free interest rate, high payout rate and high volatility.

Single real-symbol decodable, high-rate, distributed space-time block codes

A scheme to apply the rate-1 real orthogonal designs (RODs) in relay networks with single real-symbol decodability of the symbols at the destination for any arbitrary number of relays is proposed. In the case where the relays do not have any information about the channel gains from the source to themselves, the best known distributed space time block codes (DSTBCs) for k relays with single real-symbol decodability offer an overall rate of complex symbols per channel use. The scheme proposed in this paper offers an overall rate of 2/2+k complex symbol per channel use, which is independent of the number of relays. Furthermore, in the scenario where the relays have partial channel information in the form of channel phase knowledge, the best known DSTBCs with single real-symbol decodability offer an overall rate of 1/3 complex symbols per channel use. In this paper, making use of RODs, a scheme which achieves the same overall rate of 1/3 complex symbols per channel use but with a decoding delay that is 50 percent of that of the best known DSTBCs, is presented. Simulation results of the symbol error rate performance for 10 relays, which show the superiority of the proposed scheme over the best known DSTBC for 10 relays with single real-symbol decodability, are provided.

Maximum rate of 3- and 4-real-symbol ML decodable unitary weight STBCs

It has been shown recently that the maximum rate of a 2-real-symbol (single-complex-symbol) maximum likelihood (ML) decodable, square space-time block codes (STBCs) with unitary weight matrices is 2a/2a complex symbols per channel use (cspcu) for 2a number of transmit antennas [1]. These STBCs are obtained from Unitary Weight Designs (UWDs). In this paper, we show that the maximum rates for 3- and 4-real-symbol (2-complex-symbol) ML decodable square STBCs from UWDs, for 2a transmit antennas, are 3(a-1)/2a and 4(a-1)/2a cspcu, respectively. STBCs achieving this maximum rate are constructed. A set of sufficient conditions on the signal set, required for these codes to achieve full-diversity are derived along with expressions for their coding gain.

Full-rate full-diversity achieving MIMO precoding with partial CSIT

In this paper, we consider a slow-fading nt ×nr multiple-input multiple-output (MIMO) channel subjected to block fading. Reliability (in terms of achieved diversity order) and rate (in number of symbols transmitted per channel use) are of interest in such channels. We propose a new precoding scheme which achieves both full diversity (nt ×nrth order diversity) as well as full rate (nt symbols per channel use) using partial channel state information at the transmitter (CSIT). The proposed scheme achieves full diversity and improved coding gain through an optimization over the choice of constellation sets. The optimization maximizes dmin2 for our precoding scheme subject to an energy constraint. The scheme requires feedback of nt - 1 angle parameter values, compared to 2ntnr real coefficients in case of full CSIT. Further, for the case of nt × 1 system, we prove that the capacity achieved by the proposed scheme is same as that achieved with full CSIT. Error rate performance results for nt = 3,4,8 show that the proposed scheme performs better than other precoding schemes in the literature; the better performance is due to the choice of the signal sets and the feedback angles in the proposed scheme.

Interplay Between Optimal Selection Scheme, Selection Criterion, and Discrete Rate Adaptation in Opportunistic Wireless Systems

An opportunistic, rate-adaptive system exploits multi-user diversity by selecting the best node, which has the highest channel power gain, and adapting the data rate to selected node's channel gain. Since channel knowledge is local to a node, we propose using a distributed, low-feedback timer backoff scheme to select the best node. It uses a mapping that maps the channel gain, or, in general, a real-valued metric, to a timer value. The mapping is such that timers of nodes with higher metrics expire earlier. Our goal is to maximize the system throughput when rate adaptation is discrete, as is the case in practice. To improve throughput, we use a pragmatic selection policy, in which even a node other than the best node can be selected. We derive several novel, insightful results about the optimal mapping and develop an algorithm to compute it. These results bring out the inter-relationship between the discrete rate adaptation rule, optimal mapping, and selection policy. We also extensively benchmark the performance of the optimal mapping with several timer and opportunistic multiple access schemes considered in the literature, and demonstrate that the developed scheme is effective in many regimes of interest.

Low-delay, high-rate, non-square STBCs from scaled complex orthogonal designs

Space-time block codes (STBCs) obtained from non-square complex orthogonal designs are bandwidth efficient compared to those from square real/complex orthogonal designs for colocated coherent MIMO systems and has other applications in (i) non-coherent MIMO systems with non-differential detection, (ii) Space-Time-Frequency codes for MIMO-OFDM systems and (iii) distributed space-time coding for relay channels. Liang (IEEE Trans. Inform. Theory, 2003) has constructed maximal rate non-square designs for any number of antennas, with rates given by [(a+1)/(2a)] when number of transmit antennas is 2a-1 or 2a. However, these designs have large delays. When large number of antennas are considered this rate is close to 1/2. Tarokh et al (IEEE Trans. Inform. Theory, 1999) have constructed rate 1/2 non-square CODs using the rate-1 real orthogonal designs for any number of antennas, where the decoding delay of these codes is less compared to the codes constructed by Liang for number of transmit antennas more than 5. In this paper, we construct a class of rate-1/2 codes for arbitrary number of antennas where the decoding delay is reduced by 50% when compared with the rate-1/2 codes given by Tarokh et al. It is also shown that even though scaling the variables helps to lower the delay it can not be used to increase the rate.

On the maximal rate of non-square STBCs from complex orthogonal designs

A Linear Processing Complex Orthogonal Design (LPCOD) is a p x n matrix epsilon, (p >= n) in k complex indeterminates x(1), x(2),..., x(k) such that (i) the entries of epsilon are complex linear combinations of 0, +/- x(i), i = 1,..., k and their conjugates, (ii) epsilon(H)epsilon = D, where epsilon(H) is the Hermitian (conjugate transpose) of epsilon and D is a diagonal matrix with the (i, i)-th diagonal element of the form l(1)((i))vertical bar x(1)vertical bar(2) + l(2)((i))vertical bar x(2)vertical bar(2)+...+ l(k)((i))vertical bar x(k)vertical bar(2) where l(j)((i)), i = 1, 2,..., n, j = 1, 2,...,k are strictly positive real numbers and the condition l(1)((i)) = l(2)((i)) = ... = l(k)((i)), called the equal-weights condition, holds for all values of i. For square designs it is known. that whenever a LPCOD exists without the equal-weights condition satisfied then there exists another LPCOD with identical parameters with l(1)((i)) = l(2)((i)) = ... = l(k)((i)) = 1. This implies that the maximum possible rate for square LPCODs without the equal-weights condition is the same as that or square LPCODs with equal-weights condition. In this paper, this result is extended to a subclass of non-square LPCODs. It is shown that, a set of sufficient conditions is identified such that whenever a non-square (p > n) LPCOD satisfies these sufficient conditions and do not satisfy the equal-weights condition, then there exists another LPCOD with the same parameters n, k and p in the same complex indeterminates with l(1)((i)) = l(2)((i)) = ... = l(k)((i)) = 1.

Real-time image denoising algorithm in teleradiology systems - art.no.606304

Denoising of medical images in wavelet domain has potential application in transmission technologies such as teleradiology. This technique becomes all the more attractive when we consider the progressive transmission in a teleradiology system. The transmitted images are corrupted mainly due to noisy channels. In this paper, we present a new real time image denoising scheme based on limited restoration of bit-planes of wavelet coefficients. The proposed scheme exploits the fundamental property of wavelet transform - its ability to analyze the image at different resolution levels and the edge information associated with each sub-band. The desired bit-rate control is achieved by applying the restoration on a limited number of bit-planes subject to the optimal smoothing. The proposed method adapts itself to the preference of the medical expert; a single parameter can be used to balance the preservation of (expert-dependent) relevant details against the degree of noise reduction. The proposed scheme relies on the fact that noise commonly manifests itself as a fine-grained structure in image and wavelet transform allows the restoration strategy to adapt itself according to directional features of edges. The proposed approach shows promising results when compared with unrestored case, in context of error reduction. It also has capability to adapt to situations where noise level in the image varies and with the changing requirements of medical-experts. The applicability of the proposed approach has implications in restoration of medical images in teleradiology systems. The proposed scheme is computationally efficient.

A Novel Construction of Complex Orthogonal Designs with Maximal Rate and Low-PAPR

Space-time block codes based on orthogonal designs are used for wireless communications with multiple transmit antennas which can achieve full transmit diversity and have low decoding complexity. However, the rate of the square real/complex orthogonal designs tends to zero with increase in number of antennas, while it is possible to have a rate-1 real orthogonal design (ROD) for any number of antennas.In case of complex orthogonal designs (CODs), rate-1 codes exist only for 1 and 2 antennas. In general, For a transmit antennas, the maximal rate of a COD is 1/2 + l/n or 1/2 + 1/n+1 for n even or odd respectively. In this paper, we present a simple construction for maximal-rate CODs for any number of antennas from square CODs which resembles the construction of rate-1 RODs from square RODs. These designs are shown to be amenable for construction of a class of generalized CODs (called Coordinate-Interleaved Scaled CODs) with low peak-to-average power ratio (PAPR) having the same parameters as the maximal-rate codes. Simulation results indicate that these codes perform better than the existing maximal rate codes under peak power constraint while performing the same under average power constraint.

Covariant differentials lead to the design of a novel self-tuning power system stabilizer

Application of differential geometry to study the dynamics of electrical machines by Gabriel Kron evoked only theoretical interest among the power system engineers and was considered hardly suitable for any practical use. Extension of Kron's work led to a physical understanding of the processes governing the small oscillation instability in power system. This in turn has made it possible to design a self-tuning Power System Stabilizer to contain the oscillatory instability over arm extended range of system and operating conditions. This paper briefly recounts the history of this development and touches upon the essential design features of the stabilizer. It presents some results from simulation studies, laboratory experiments and recently conducted field trials at actual plants-all of which help to establish the efficacy of the proposed stabilizer and corroborate the theoretical findings.

X-Codes: A Low Complexity Full-Rate High-Diversity Achieving Precoder for TDD MIMO Systems

We consider a time division duplex multiple-input multiple-output (nt × nr MIMO). Using channel state information (CSI) at the transmitter, singular value decomposition (SVD) of the channel matrix is performed. This transforms the MIMO channel into parallel subchannels, but has a low overall diversity order. Hence, we propose X-Codes which achieve a higher diversity order by pairing the subchannels, prior to SVD preceding. In particular, each pair of information symbols is encoded by a fixed 2 × 2 real rotation matrix. X-Codes can be decoded using nr very low complexity two-dimensional real sphere decoders. Error probability analysis for X-Codes enables us to choose the optimal pairing and the optimal rotation angle for each pair. Finally, we show that our new scheme outperforms other low complexity precoding schemes.

Real-time kinetic analysis of hCG-monoclonal antibody interaction using radiolabeled hCG probe: presence of two forms of Ag-mAb complex as revealed by solid phase dissociation studies

Real-time kinetics of ligand-ligate interaction has predominantly been studied by either fluorescence or surface plasmon resonance based methods. Almost all such studies are based on association between the ligand and the ligate. This paper reports our analysis of dissociation data of monoclonal antibody-antigen (hCG) system using radio-iodinated hCG as a probe and nitrocellulose as a solid support to immobilize mAb. The data was analyzed quantitatively for a one-step and a two-step model. The data fits well into the two-step model. We also found that a fraction of what is bound is non-dissociable (tight-binding portion (TBP)). The TBP was neither an artifact of immobilization nor does it interfere with analysis. It was present when the reaction was carried out in homogeneous solution in liquid phase. The rate constants obtained from the two methods were comparable. The work reported here shows that real-time kinetics of other ligand-ligate interaction can be studied using nitrocellulose as a solid support. (C) 2002 Elsevier Science B.V. All rights reserved.