A generalization of Hull and White formula and applications to option pricing approximation

By means of Malliavin Calculus we see that the classical Hull and White formulafor option pricing can be extended to the case where the noise driving thevolatility process is correlated with the noise driving the stock prices. Thisextension will allow us to construct option pricing approximation formulas.Numerical examples are presented.

On the efficiency and sensitivity of a pyramidal classification algorithm

In this paper we propose a Pyramidal Classification Algorithm,which together with an appropriate aggregation index producesan indexed pseudo-hierarchy (in the strict sense) withoutinversions nor crossings. The computer implementation of thealgorithm makes it possible to carry out some simulation testsby Monte Carlo methods in order to study the efficiency andsensitivity of the pyramidal methods of the Maximum, Minimumand UPGMA. The results shown in this paper may help to choosebetween the three classification methods proposed, in order toobtain the classification that best fits the original structureof the population, provided we have an a priori informationconcerning this structure.

A decomposition formula for option prices in the Heston model and applications to option pricing approximation

By means of classical Itô's calculus we decompose option prices asthe sum of the classical Black-Scholes formula with volatility parameterequal to the root-mean-square future average volatility plus a term dueby correlation and a term due to the volatility of the volatility. Thisdecomposition allows us to develop first and second-order approximationformulas for option prices and implied volatilities in the Heston volatilityframework, as well as to study their accuracy. Numerical examples aregiven.

A simple randomized algorithm for consistent sequential prediction of ergodic time series

We present a simple randomized procedure for the prediction of a binary sequence. The algorithm uses ideas from recent developments of the theory of the prediction of individual sequences. We show that if thesequence is a realization of a stationary and ergodic random process then the average number of mistakes converges, almost surely, to that of the optimum, given by the Bayes predictor.

MSISpIC: A Probabilistic Scan Matching Algorithm Using a Mechanical Scanned Imaging Sonar

This paper compares two well known scan matching algorithms: the MbICP and the pIC. As a result of the study, it is proposed the MSISpIC, a probabilistic scan matching algorithm for the localization of an Autonomous Underwater Vehicle (AUV). The technique uses range scans gathered with a Mechanical Scanning Imaging Sonar (MSIS), and the robot displacement estimated through dead-reckoning with the help of a Doppler Velocity Log (DVL) and a Motion Reference Unit (MRU). The proposed method is an extension of the pIC algorithm. Its major contribution consists in: 1) using an EKF to estimate the local path traveled by the robot while grabbing the scan as well as its uncertainty and 2) proposing a method to group into a unique scan, with a convenient uncertainty model, all the data grabbed along the path described by the robot. The algorithm has been tested on an AUV guided along a 600m path within a marina environment with satisfactory results

Elaboració d'indicadors sobre SAGE Logic Class

El treball desenvolupat ha consistit en analitzar el sistema d'informació Logic Class sota la perspectiva de la necessitat de construir un sistema d'indicadors (quadre de comandament operatiu) que integri informació de les diferents fonts de dades.

A Variant of Higher-Order Anti-Unification

We present a rule-based Huet’s style anti-unification algorithm for simply-typed lambda-terms in ɳ long β normal form, which computes a least general higher-order pattern generalization. For a pair of arbitrary terms of the same type, such a generalization always exists and is unique modulo α equivalence and variable renaming. The algorithm computes it in cubic time within linear space. It has been implemented and the code is freely available

Stereospecificity of the siderophore pyochelin outer membrane transporters in fluorescent pseudomonads.

Pyochelin (Pch) and enantio-pyochelin (EPch) are enantiomer siderophores that are produced by Pseudomonas aeruginosa and Pseudomonas fluorescens, respectively, under iron limitation. Pch promotes growth of P. aeruginosa when iron is scarce, and EPch carries out the same biological function in P. fluorescens. However, the two siderophores are unable to promote growth in the heterologous species, indicating that siderophore-mediated iron uptake is highly stereospecific. In the present work, using binding and iron uptake assays, we found that FptA, the Fe-Pch outer membrane transporter of P. aeruginosa, recognized (K(d) = 2.5 +/- 1.1 nm) and transported Fe-Pch but did not interact with Fe-EPch. Likewise, FetA, the Fe-EPch receptor of P. fluorescens, was specific for Fe-EPch (K(d) = 3.7 +/- 2.1 nm) but did not bind and transport Fe-Pch. Growth promotion experiments performed under iron-limiting conditions confirmed that FptA and FetA are highly specific for Pch and EPch, respectively. When fptA and fetA along with adjacent transport genes involved in siderophore uptake were swapped between the two bacterial species, P. aeruginosa became able to utilize Fe-EPch as an iron source, and P. fluorescens was able to grow with Fe-Pch. Docking experiments using the FptA structure and binding assays showed that the stereospecificity of Pch recognition by FptA was mostly due to the configuration of the siderophore chiral centers C4'' and C2'' and was only weakly dependent on the configuration of the C4' carbon atom. Together, these findings increase our understanding of the stereospecific interaction between Pch and its outer membrane receptor FptA.

Incremental neural networks for function approximation

A new strategy for incremental building of multilayer feedforward neural networks is proposed in the context of approximation of functions from R-p to R-q using noisy data. A stopping criterion based on the properties of the noise is also proposed. Experimental results for both artificial and real data are performed and two alternatives of the proposed construction strategy are compared.

Validation of a clinical algorithm to identify low-risk patients with pulmonary embolism.

Summary Background: We previously derived a clinical prognostic algorithm to identify patients with pulmonary embolism (PE) who are at low-risk of short-term mortality who could be safely discharged early or treated entirely in an outpatient setting. Objectives: To externally validate the clinical prognostic algorithm in an independent patient sample. Methods: We validated the algorithm in 983 consecutive patients prospectively diagnosed with PE at an emergency department of a university hospital. Patients with none of the algorithm's 10 prognostic variables (age >/= 70 years, cancer, heart failure, chronic lung disease, chronic renal disease, cerebrovascular disease, pulse >/= 110/min., systolic blood pressure < 100 mm Hg, oxygen saturation < 90%, and altered mental status) at baseline were defined as low-risk. We compared 30-day overall mortality among low-risk patients based on the algorithm between the validation and the original derivation sample. We also assessed the rate of PE-related and bleeding-related mortality among low-risk patients. Results: Overall, the algorithm classified 16.3% of patients with PE as low-risk. Mortality at 30 days was 1.9% among low-risk patients and did not differ between the validation and the original derivation sample. Among low-risk patients, only 0.6% died from definite or possible PE, and 0% died from bleeding. Conclusions: This study validates an easy-to-use, clinical prognostic algorithm for PE that accurately identifies patients with PE who are at low-risk of short-term mortality. Low-risk patients based on our algorithm are potential candidates for less costly outpatient treatment.

Escacs, un sistema intel·ligent

Des dels inicis dels ordinadors com a màquines programables, l’home ha intentat dotar-los de certa intel•ligència per tal de pensar o raonar el més semblant possible als humans. Un d’aquests intents ha sigut fer que la màquina sigui capaç de pensar de tal manera que estudiï jugades i guanyi partides d’escacs. En l’actualitat amb els actuals sistemes multi tasca, orientat a objectes i accés a memòria i gràcies al potent hardware del que disposem, comptem amb una gran varietat de programes que es dediquen a jugar a escacs. Però no hi ha només programes petits, hi ha fins i tot màquines senceres dedicades a calcular i estudiar jugades per tal de guanyar als millors jugadors del món. L’objectiu del meu treball és dur a terme un estudi i implementació d’un d’aquests programes, per això es divideix en dues parts. La part teòrica o de l’estudi, consta d’un estudi dels sistemes d’intel•ligència artificial que es dediquen a jugar a escacs, estudi i cerca d’una funció d’avaluació vàlida i estudi dels algorismes de cerca. La part pràctica del treball es basa en la implementació d’un sistema intel•ligent capaç de jugar a escacs amb certa lògica. Aquesta implementació es porta a terme amb l’ajuda de les llibreries SDL, utilitzant l’algorisme minimax amb poda alfa-beta i codi c++. Com a conclusió del projecte m’agradaria remarcar que l’estudi realitzat m’ha deixat veure que crear un joc d’escacs no era tan fàcil com jo pensava però m’ha aportat la satisfacció d’aplicar tot el que he après durant la carrera i de descobrir moltes altres coses noves.