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.

Real-World Extensions To Scheduling Algorithms Based On Lagrangian Relaxation

Recently, efficient scheduling algorithms based on Lagrangian relaxation have been proposed for scheduling parallel machine systems and job shops. In this article, we develop real-world extensions to these scheduling methods. In the first part of the paper, we consider the problem of scheduling single operation jobs on parallel identical machines and extend the methodology to handle multiple classes of jobs, taking into account setup times and setup costs, The proposed methodology uses Lagrangian relaxation and simulated annealing in a hybrid framework, In the second part of the paper, we consider a Lagrangian relaxation based method for scheduling job shops and extend it to obtain a scheduling methodology for a real-world flexible manufacturing system with centralized material handling.

Universality in the fast orientational relaxation near isotropic-nematic transition

Detailed molecular dynamics simulations of Lennard-Jones ellipsoids have been carried out to investigate the emergence of criticality in the single-particle orientational relaxation near the isotropic-nematic (IN) phase transition. The simulations show a sudden appearance of a power-law behavior in the decay of the second-rank orientational relaxation as the IN transition is approached. The simulated value of the power-law exponent is 0.56, which is larger than the mean-field value (0.5) but less than the observed value (0.63) and may be due to the finite size of the simulated system. The decay of the first-rank orientational time correlation function, on the other hand, is nearly exponential but its decay becomes very slow near the isotropic-nematic transition, The zero-frequency rotational friction, calculated from the simulated angular Velocity correlation function, shows a marked increase near the IN transition.

High-Temperature Phase Transition Studies in a Novel Fast Ion Conductor, Na2Cd(SO4)2, Probed by Raman Spectroscopy

Temperature-dependent Raman spectroscopic studies were carried out on Na2Cd(SO4)(2) from room temperature to 600 degrees C. We observe two transitions at around 280 and 565 degrees C. These transitions are driven by the change in the SO4 ion. On the basis of these studies, one can explain the changes in the conductivity data observed around 280 and 565 degrees C. At 280 degrees C, spontaneous tilting of the SO4 ion leads to restriction of Na+ mobility. Above 565 degrees C, the SO4 ion starts to rotate freely, leading to increased mobility of Na+ ion in the channel.

Fast decay of the velocity autocorrelation function in dense shear flow of inelastic hard spheres

We find in complementary experiments and event-driven simulations of sheared inelastic hard spheres that the velocity autocorrelation function psi(t) decays much faster than t(-3/2) obtained for a fluid of elastic spheres at equilibrium. Particle displacements are measured in experiments inside a gravity-driven flow sheared by a rough wall. The average packing fraction obtained in the experiments is 0.59, and the packing fraction in the simulations is varied between 0.5 and 0.59. The motion is observed to be diffusive over long times except in experiments where there is layering of particles parallel to boundaries, and diffusion is inhibited between layers. Regardless, a rapid decay of psi(t) is observed, indicating that this is a feature of the sheared dissipative fluid, and is independent of the details of the relative particle arrangements. An important implication of our study is that the non-analytic contribution to the shear stress may not be present in a sheared inelastic fluid, leading to a wider range of applicability of kinetic theory approaches to dense granular matter.

PocketMatch: A new algorithm to compare binding sites in protein structures

Recognizing similarities and deriving relationships among protein molecules is a fundamental requirement in present-day biology. Similarities can be present at various levels which can be detected through comparison of protein sequences or their structural folds. In some cases similarities obscure at these levels could be present merely in the substructures at their binding sites. Inferring functional similarities between protein molecules by comparing their binding sites is still largely exploratory and not as yet a routine protocol. One of the main reasons for this is the limitation in the choice of appropriate analytical tools that can compare binding sites with high sensitivity. To benefit from the enormous amount of structural data that is being rapidly accumulated, it is essential to have high throughput tools that enable large scale binding site comparison. Results: Here we present a new algorithm PocketMatch for comparison of binding sites in a frame invariant manner. Each binding site is represented by 90 lists of sorted distances capturing shape and chemical nature of the site. The sorted arrays are then aligned using an incremental alignment method and scored to obtain PMScores for pairs of sites. A comprehensive sensitivity analysis and an extensive validation of the algorithm have been carried out. A comparison with other site matching algorithms is also presented. Perturbation studies where the geometry of a given site was retained but the residue types were changed randomly, indicated that chance similarities were virtually non-existent. Our analysis also demonstrates that shape information alone is insufficient to discriminate between diverse binding sites, unless combined with chemical nature of amino acids. Conclusion: A new algorithm has been developed to compare binding sites in accurate, efficient and high-throughput manner. Though the representation used is conceptually simplistic, we demonstrate that along with the new alignment strategy used, it is sufficient to enable binding comparison with high sensitivity. Novel methodology has also been presented for validating the algorithm for accuracy and sensitivity with respect to geometry and chemical nature of the site. The method is also fast and takes about 1/250(th) second for one comparison on a single processor. A parallel version on BlueGene has also been implemented.

targetTB: A target identification pipeline for Mycobacterium tuberculosis through an interactome, reactome and genome-scale structural analysis

Background: Tuberculosis still remains one of the largest killer infectious diseases, warranting the identification of newer targets and drugs. Identification and validation of appropriate targets for designing drugs are critical steps in drug discovery, which are at present major bottle-necks. A majority of drugs in current clinical use for many diseases have been designed without the knowledge of the targets, perhaps because standard methodologies to identify such targets in a high-throughput fashion do not really exist. With different kinds of 'omics' data that are now available, computational approaches can be powerful means of obtaining short-lists of possible targets for further experimental validation. Results: We report a comprehensive in silico target identification pipeline, targetTB, for Mycobacterium tuberculosis. The pipeline incorporates a network analysis of the protein-protein interactome, a flux balance analysis of the reactome, experimentally derived phenotype essentiality data, sequence analyses and a structural assessment of targetability, using novel algorithms recently developed by us. Using flux balance analysis and network analysis, proteins critical for survival of M. tuberculosis are first identified, followed by comparative genomics with the host, finally incorporating a novel structural analysis of the binding sites to assess the feasibility of a protein as a target. Further analyses include correlation with expression data and non-similarity to gut flora proteins as well as 'anti-targets' in the host, leading to the identification of 451 high-confidence targets. Through phylogenetic profiling against 228 pathogen genomes, shortlisted targets have been further explored to identify broad-spectrum antibiotic targets, while also identifying those specific to tuberculosis. Targets that address mycobacterial persistence and drug resistance mechanisms are also analysed. Conclusion: The pipeline developed provides rational schema for drug target identification that are likely to have high rates of success, which is expected to save enormous amounts of money, resources and time in the drug discovery process. A thorough comparison with previously suggested targets in the literature demonstrates the usefulness of the integrated approach used in our study, highlighting the importance of systems-level analyses in particular. The method has the potential to be used as a general strategy for target identification and validation and hence significantly impact most drug discovery programmes.

The short-term impact of curative colorectal cancer treatment on physical activity, functional status and quality of life: A systematic review protocol

REVIEW QUESTION/OBJECTIVE The quantitative objectives are to identify the impact of curative colorectal cancer treatment (surgery or adjuvant therapy) on physical activity, functional status and quality of life within one year of treatment or diagnosis. INCLUSION CRITERIA Types of participants: This review will consider studies that include individuals aged 18 years and over who have been diagnosed with colorectal cancer. Types of intervention(s)/phenomena of interest: This review will consider studies that evaluate the impact of curative colorectal cancer treatment: surgery and/or adjuvant therapy. Types of outcomes: This review will consider studies that include the following outcome measures assessed within one year of diagnosis or treatment: Physical activity - any bodily movement produced by skeletal muscles resulting in energy expenditure. Physical activity is not exclusive to exercise; activities can also be walking, housework, occupational or leisure. Physical activity can be measured objectively using pedometers or accelerometers, or subjectively using self-reported measures. Functional status – measured as the capacity to perform all activities of daily living such as walking, showering, and eating; and instrumental activities of daily living such as (but not limited to) grocery shopping, housekeeping and laundry. Quality of life – defined as the individual meaning of mental, physical and psychosocial wellbeing, as measured by validated tools such as SF-36, EORTC-QLQ-C30, or FACT-C.

Implicit and multigrid procedures for steady-state computations with upwind algorithms

A computational study for the convergence acceleration of Euler and Navier-Stokes computations with upwind schemes has been conducted in a unified framework. It involves the flux-vector splitting algorithms due to Steger-Warming and Van Leer, the flux-difference splitting algorithms due to Roe and Osher and the hybrid algorithms, AUSM (Advection Upstream Splitting Method) and HUS (Hybrid Upwind Splitting). Implicit time integration with line Gauss-Seidel relaxation and multigrid are among the procedures which have been systematically investigated on an individual as well as cumulative basis. The upwind schemes have been tested in various implicit-explicit operator combinations such that the optimal among them can be determined based on extensive computations for two-dimensional flows in subsonic, transonic, supersonic and hypersonic flow regimes. In this study, the performance of these implicit time-integration procedures has been systematically compared with those corresponding to a multigrid accelerated explicit Runge-Kutta method. It has been demonstrated that a multigrid method employed in conjunction with an implicit time-integration scheme yields distinctly superior convergence as compared to those associated with either of the acceleration procedures provided that effective smoothers, which have been identified in this investigation, are prescribed in the implicit operator.

A Jacobian-Based Algorithm for Planning Attitude Maneuvers Using Forward and Reverse Rotations

Algorithms for planning quasistatic attitude maneuvers based on the Jacobian of the forward kinematic mapping of fully-reversed (FR) sequences of rotations are proposed in this paper. An FR sequence of rotations is a series of finite rotations that consists of initial rotations about the axes of a body-fixed coordinate frame and subsequent rotations that undo these initial rotations. Unlike the Jacobian of conventional systems such as a robot manipulator, the Jacobian of the system manipulated through FR rotations is a null matrix at the identity, which leads to a total breakdown of the traditional Jacobian formulation. Therefore, the Jacobian algorithm is reformulated and implemented so as to synthesize an FR sequence for a desired rotational displacement. The Jacobian-based algorithm presented in this paper identifies particular six-rotation FR sequences that synthesize desired orientations. We developed the single-step and the multiple-step Jacobian methods to accomplish a given task using six-rotation FR sequences. The single-step Jacobian method identifies a specific FR sequence for a given desired orientation and the multiple-step Jacobian algorithm synthesizes physically feasible FR rotations on an optimal path. A comparison with existing algorithms verifies the fast convergence ability of the Jacobian-based algorithm. Unlike closed-form solutions to the inverse kinematics problem, the Jacobian-based algorithm determines the most efficient FR sequence that yields a desired rotational displacement through a simple and inexpensive numerical calculation. The procedure presented here is useful for those motion planning problems wherein the Jacobian is singular or null.

Fast Multiple Access Selection through variable power transmissions

Many wireless applications demand a fast mechanism to detect the packet from a node with the highest priority ("best node") only, while packets from nodes with lower priority are irrelevant. In this paper, we introduce an extremely fast contention-based multiple access algorithm that selects the best node and requires only local information of the priorities of the nodes. The algorithm, which we call Variable Power Multiple Access Selection (VP-MAS), uses the local channel state information from the accessing nodes to the receiver, and maps the priorities onto the receive power. It is based on a key result that shows that mapping onto a set of discrete receive power levels is optimal, when the power levels are chosen to exploit packet capture that inherently occurs in a wireless physical layer. The VP-MAS algorithm adjusts the expected number of users that contend in each step and their respective transmission powers, depending on whether previous transmission attempts resulted in capture, idle channel, or collision. We also show how reliable information regarding the total received power at the receiver can be used to improve the algorithm by enhancing the feedback mechanism. The algorithm detects the packet from the best node in 1.5 to 2.1 slots, which is considerably lower than the 2.43 slot average achieved by the best algorithm known to date.

A Bayesian Framework for the Assessment of Vision-based Weed and Fruit Detection and Classification Algorithms

This paper proposes new metrics and a performance-assessment framework for vision-based weed and fruit detection and classification algorithms. In order to compare algorithms, and make a decision on which one to use fora particular application, it is necessary to take into account that the performance obtained in a series of tests is subject to uncertainty. Such characterisation of uncertainty seems not to be captured by the performance metrics currently reported in the literature. Therefore, we pose the problem as a general problem of scientific inference, which arises out of incomplete information, and propose as a metric of performance the(posterior) predictive probabilities that the algorithms will provide a correct outcome for target and background detection. We detail the framework through which these predicted probabilities can be obtained, which is Bayesian in nature. As an illustration example, we apply the framework to the assessment of performance of four algorithms that could potentially be used in the detection of capsicums (peppers).

Twitter hashtags from ad hoc to calculated publics

As the use of Twitter has become more commonplace throughout many nations, its role in political discussion has also increased. This has been evident in contexts ranging from general political discussion through local, state, and national elections (such as in the 2010 Australian elections) to protests and other activist mobilisation (for example in the current uprisings in Tunisia, Egypt, and Yemen, as well as in the controversy around Wikileaks). Research into the use of Twitter in such political contexts has also developed rapidly, aided by substantial advancements in quantitative and qualitative methodologies for capturing, processing, analysing, and visualising Twitter updates by large groups of users. Recent work has especially highlighted the role of the Twitter hashtag – a short keyword, prefixed with the hash symbol ‘#’ – as a means of coordinating a distributed discussion between more or less large groups of users, who do not need to be connected through existing ‘follower’ networks. Twitter hashtags – such as ‘#ausvotes’ for the 2010 Australian elections, ‘#londonriots’ for the coordination of information and political debates around the recent unrest in London, or ‘#wikileaks’ for the controversy around Wikileaks thus aid the formation of ad hoc publics around specific themes and topics. They emerge from within the Twitter community – sometimes as a result of pre-planning or quickly reached consensus, sometimes through protracted debate about what the appropriate hashtag for an event or topic should be (which may also lead to the formation of competing publics using different hashtags). Drawing on innovative methodologies for the study of Twitter content, this paper examines the use of hashtags in political debate in the context of a number of major case studies.

Fast matrix transposition computer implementation

Eklundh's (1972) algorithm to transpose a large matrix stored on an external device such as a disc has been programmed and tested. A simple description of computer implementation is given in this note.

Short-lived triplets of aliphatic thioketenes

The photophysical behavior of the triplets of three aliphatic thioketenes, namely di-tert-butylthioketene (1), 2,6-di-tert-butylcyclohexylthioketene (2) and 2,2,6,6-tetramethylcyclohexylthioketene, has been studied in fluid solutions at room temperature by nanosecond laser flash photolysis. Upon 532 nm laser excitation into the S1 state, the thioketenes in concentrated benzene solutions produce very short-lived transient absorptions (τ < 5 ns; λmax ≈ 450 nm) attributable to their triplets. The photogeneration of the latter under S1 excitation has also been established by energy transfer to all-trans-1,6-diphenyl-1,3,5-hexatriene. The factors which render the triplet lifetimes short are shown to be intrinsic in origin (rather than self-quenching). Unlike thiocarbonyl compounds in general, the thioketenes posses low intersystem crossing yields (less than 0.1 in benzene). From the kinetics of the quenching of a series of sensitizer triplets by 1 and 2, the thioketene triplet energies are estimated to be 43 – 44 kcal mol−1.