On the efficacy of Fourier series approximations for pricing European options

This paper investigates several competing procedures for computing the prices of vanilla European options, such as puts, calls and binaries, in which the underlying model has a characteristic function that is known in semi-closed form. The algorithms investigated here are the half-range Fourier cosine series, the half-range Fourier sine series and the full-range Fourier series. Their performance is assessed in simulation experiments in which an analytical solution is available and also for a simple affine model of stochastic volatility in which there is no closed-form solution. The results suggest that the half-range sine series approximation is the least effective of the three proposed algorithms. It is rather more difficult to distinguish between the performance of the halfrange cosine series and the full-range Fourier series. However there are two clear differences. First, when the interval over which the density is approximated is relatively large, the full-range Fourier series is at least as good as the half-range Fourier cosine series, and outperforms the latter in pricing out-of-the-money call options, in particular with maturities of three months or less. Second, the computational time required by the half-range Fourier cosine series is uniformly longer than that required by the full-range Fourier series for an interval of fixed length. Taken together,these two conclusions make a case for pricing options using a full-range range Fourier series as opposed to a half-range Fourier cosine series if a large number of options are to be priced in as short a time as possible.

Small-amplitude cyclic voltammetry: Part I. A simple fourier synthesis approach

Current-potential relationships are derived for small-amplitude periodic inputs for linear electrochemical systems using a Fourier synthesis procedure. Specific results have been obtained for a triangular potential waveform for two simple model systems.

Small amplitude cyclic voltammetry - a simple fourier synthesis approach

Abstaract is not available.

On the Fourier refinement of protein structures

The situation normally encountered in the high-resolution refinement of protein structures is one in which the inaccurate positions of P out of a total of N atoms are known whereas those of the remaining atoms are unknown. Fourier maps with coefficients (FN -- F'P) × exp (i[alpha]'P) and (mFN -- nF'P) exp (i[alpha]'P), where FN is the observed structure factor and F'P and [alpha]'P are the magnitude and the phase angle of the calculated structure factor corresponding to the inaccurate atomic positions, are often used to correct the positions of the P atoms and to determine those of the Q unknown atoms. A general theoretical approach is presented to elucidate the effect of errors in the positions of the known atoms on the corrected positions of the known atoms and the positions of the unknown atoms derived from such maps. The theory also leads to the optimal choice of parameters used in the different syntheses. When the errors in the positions of the input atoms are systematic, their effects are not taken care of automatically by the syntheses.

Evaluation of two-dimensional quantizers for Fourier transform binary holograms

Quantization formats of four digital holographic codes (Lohmann,Lee, Burckhardt and Hsueh-Sawchuk) are evaluated. A quantitative assessment is made from errors in both the Fourier transform and image domains. In general, small errors in the Fourier amplitude or phase alone do not guarantee high image fidelity. From quantization considerations, the Lee hologram is shown to be the best choice for randomly phase coded objects. When phase coding is not feasible, the Lohmann hologram is preferable as it is easier to plot.

A novel method for the age estimation of Saddletail snapper (Lutjanus malabaricus) using Fourier Transform-near infrared (FT-NIR) spectroscopy

Near infrared (NIR) spectroscopy was investigated as a potential rapid method of estimating fish age from whole otoliths of Saddletail snapper (Lutjanus malabaricus). Whole otoliths from 209 Saddletail snapper were extracted and the NIR spectral characteristics were acquired over a spectral range of 800–2780 nm. Partial least-squares models (PLS) were developed from the diffuse reflectance spectra and reference-validated age estimates (based on traditional sectioned otolith increments) to predict age for independent otolith samples. Predictive models developed for a specific season and geographical location performed poorly against a different season and geographical location. However, overall PLS regression statistics for predicting a combined population incorporating both geographic location and season variables were: coefficient of determination (R2) = 0.94, root mean square error of prediction (RMSEP) = 1.54 for age estimation, indicating that Saddletail age could be predicted within 1.5 increment counts. This level of accuracy suggests the method warrants further development for Saddletail snapper and may have potential for other fish species. A rapid method of fish age estimation could have the potential to reduce greatly both costs of time and materials in the assessment and management of commercial fisheries.

Effect of fourier domain quantization on matched filtering

It is shown that the use of a coarsely quantized binary digital hologram as a matched filter on an optical computer does not degrade signal-to-noise ratio (SNR) appreciably.

Fourier transform of the collagen triple-helical structure and its significance

The Fourier transforms of the collagen molecular structure have been calculated taking into consideration various side chain atoms, as well as the presence of bound water molecules. There is no significant change in the calculated intensity distribution on including the side chain atoms of non-imino-acid residues. Taking into account the presence of about two bound water molecules per tripeptide unit, the agreement with the observed x-ray pattern is slightly improved. Fourier transforms have also been calculated for the detailed molecular geometries proposed from other laboratories. It is found that there are no major differences between them, as compared to our structure, either in the positions of peak intensity or in the intensity distribution. Hence it is not possible to judge the relative merits of the various molecular geometries for the collagen triple helix from a comparison of the calculated transforms with the meagre data available from its x-ray fibre pattern. It is also concluded that the collagen molecular structure should be regarded as a somewhat flexible chain structure, capable of adapting itself to the requirements of the different side groups which occur in each local region.

Block Convolution Using Discrete Trigonometric Transforms and Discrete Fourier Transform

We derive expressions for convolution multiplication properties of discrete cosine transform II (DCT II) starting from equivalent discrete Fourier transform (DFT) representations. Using these expressions, a method for implementing linear filtering through block convolution in the DCT II domain is presented. For the case of nonsymmetric impulse response, additional discrete sine transform II (DST II) is required for implementing the filter in DCT II domain, where as for a symmetric impulse response, the additional transform is not required. Comparison with recently proposed circular convolution technique in DCT II domain shows that the proposed new method is computationally more efficient.

Holomorphic Sobolev spaces, Hermite and special Hermite semigroups and a Paley-Wiener theorem for the windowed Fourier transform

The images of Hermite and Laguerre-Sobolev spaces under the Hermite and special Hermite semigroups (respectively) are characterized. These are used to characterize the image of Schwartz class of rapidly decreasing functions f on R-n and C-n under these semigroups. The image of the space of tempered distributions is also considered and a Paley-Wiener theorem for the windowed (short-time) Fourier transform is proved.

Breath Testing by Fourier Transform Infrared Spectroscopy for Solvent Intoxication Diagnostics

Technical or contaminated ethanol products are sometimes ingested either accidentally or on purpose. Typical misused products are black-market liquor and automotive products, e.g., windshield washer fluids. In addition to less toxic solvents, these liquids may contain the deadly methanol. Symptoms of even lethal solvent poisoning are often non-specific at the early stage. The present series of studies was carried out to develop a method for solvent intoxication breath diagnostics to speed up the diagnosis procedure conventionally based on blood tests. Especially in the case of methanol ingestion, the analysis method should be sufficiently sensitive and accurate to determine the presence of even small amounts of methanol from the mixture of ethanol and other less-toxic components. In addition to the studies on the FT-IR method, the Dräger 7110 evidential breath analyzer was examined to determine its ability to reveal a coexisting toxic solvent. An industrial Fourier transform infrared analyzer was modified for breath testing. The sample cell fittings were widened and the cell size reduced in order to get an alveolar sample directly from a single exhalation. The performance and the feasibility of the Gasmet FT-IR analyzer were tested in clinical settings and in the laboratory. Actual human breath screening studies were carried out with healthy volunteers, inebriated homeless men, emergency room patients and methanol-intoxicated patients. A number of the breath analysis results were compared to blood test results in order to approximate the blood-breath relationship. In the laboratory experiments, the analytical performance of the Gasmet FT-IR analyzer and Dräger 7110 evidential breath analyzer was evaluated by means of artificial samples resembling exhaled breath. The investigations demonstrated that a successful breath ethanol analysis by Dräger 7110 evidential breath analyzer could exclude any significant methanol intoxication. In contrast, the device did not detect very high levels of acetone, 1-propanol and 2-propanol in simulated breath. The Dräger 7110 evidential breath ethanol analyzer was not equipped to recognize the interfering component. According to the studies the Gasmet FT-IR analyzer was adequately sensitive, selective and accurate for solvent intoxication diagnostics. In addition to diagnostics, the fast breath solvent analysis proved feasible for controlling the ethanol and methanol concentration during haemodialysis treatment. Because of the simplicity of the sampling and analysis procedure, non-laboratory personnel, such as police officers or social workers, could also operate the analyzer for screening purposes.

A fourier-integral solution for the elastic quarter-plane

The problem of an elastic quarter-plane with arbitrary loadings on the boundaries has been solved using a Fourier-integral approach.