Analytic approximations for multi-asset option pricing

We derive general analytic approximations for pricing European basket and rainbow options on N assets. The key idea is to express the option’s price as a sum of prices of various compound exchange options, each with different pairs of subordinate multi- or single-asset options. The underlying asset prices are assumed to follow lognormal processes, although our results can be extended to certain other price processes for the underlying. For some multi-asset options a strong condition holds, whereby each compound exchange option is equivalent to a standard single-asset option under a modified measure, and in such cases an almost exact analytic price exists. More generally, approximate analytic prices for multi-asset options are derived using a weak lognormality condition, where the approximation stems from making constant volatility assumptions on the price processes that drive the prices of the subordinate basket options. The analytic formulae for multi-asset option prices, and their Greeks, are defined in a recursive framework. For instance, the option delta is defined in terms of the delta relative to subordinate multi-asset options, and the deltas of these subordinate options with respect to the underlying assets. Simulations test the accuracy of our approximations, given some assumed values for the asset volatilities and correlations. Finally, a calibration algorithm is proposed and illustrated.

Continuous prewarping of time for multiuser interactive virtual environments

Dynamic multi-user interactions in a single networked virtual environment suffer from abrupt state transition problems due to communication delays arising from network latency--an action by one user only becoming apparent to another user after the communication delay. This results in a temporal suspension of the environment for the duration of the delay--the virtual world `hangs'--followed by an abrupt jump to make up for the time lost due to the delay so that the current state of the virtual world is displayed. These discontinuities appear unnatural and disconcerting to the users. This paper proposes a novel method of warping times associated with users to ensure that each user views a continuous version of the virtual world, such that no hangs or jumps occur despite other user interactions. Objects passed between users within the environment are parameterized, not by real time, but by a virtual local time, generated by continuously warping real time. This virtual time periodically realigns itself with real time as the virtual environment evolves. The concept of a local user dynamically warping the local time is also introduced. As a result, the users are shielded from viewing discontinuities within their virtual worlds, consequently enhancing the realism of the virtual environment.

Improvement of 3D protein models using multiple templates guided by single-template model quality assessment

Motivation: Modelling the 3D structures of proteins can often be enhanced if more than one fold template is used during the modelling process. However, in many cases, this may also result in poorer model quality for a given target or alignment method. There is a need for modelling protocols that can both consistently and significantly improve 3D models and provide an indication of when models might not benefit from the use of multiple target-template alignments. Here, we investigate the use of both global and local model quality prediction scores produced by ModFOLDclust2, to improve the selection of target-template alignments for the construction of multiple-template models. Additionally, we evaluate clustering the resulting population of multi- and single-template models for the improvement of our IntFOLD-TS tertiary structure prediction method. Results: We find that using accurate local model quality scores to guide alignment selection is the most consistent way to significantly improve models for each of the sequence to structure alignment methods tested. In addition, using accurate global model quality for re-ranking alignments, prior to selection, further improves the majority of multi-template modelling methods tested. Furthermore, subsequent clustering of the resulting population of multiple-template models significantly improves the quality of selected models compared with the previous version of our tertiary structure prediction method, IntFOLD-TS.

An Environmental Analysis Corroborating PDA and the Winthrop Example

Libraries seek active ways to innovate amidst macroeconomic shifts, growing online education to help alleviate ever-growing schedule conflicts as students juggle jobs and course schedules, as well as changing business models in publishing and evolving information technologies. Patron-driven acquisition (PDA), also known as demand-driven acquisition (DDA), offers numerous strengths in supporting university curricula in the context of these significant shifts. PDA is a business model centered on short-term loans and subsequent purchases of ebooks resulting directly from patrons' natural use stemming from their discovery of the ebooks in library catalogs where the ebooks' bibliographic records are loaded at regular intervals established between the library and ebook supplier. Winthrop University's PDA plan went live in October 2011, and this article chronicles the philosophical and operational considerations, the in-library collaboration, and technical preparations in concert with the library system vendor and ebook supplier. Short-term loan is invoked after a threshold is crossed, typically number of pages or time spent in the ebook. After a certain number of short-term loans negotiated between the library and ebook supplier, the next short-term loan becomes an automatic purchase after which the library owns the ebook in perpetuity. Purchasing options include single-user and multi-user licenses. Owing to high levels of need in college and university environments, Winthrop chose the multi-user license as the preferred default purchase. Only where multi-user licenses are unavailable does the automatic purchase occur with single-user title licenses. Data on initial use between October 2011 and February 2013 reveal that of all PDA ebooks viewed, only 30% crossed the threshold into short-term loans. Of all triggered short-term loans, Psychology was the highest-using. Of all ebook views too brief to trigger short-term loans, Business was the highest-using area. Although the data are still too young to draw conclusions after only a few months, thought-provoking usage differences between academic disciplines have begun to emerge. These differences should be considered in library plans for the best possible curricular support for each academic program. As higher education struggles with costs and course-delivery methods libraries have an enduring lead role.

A multi-cell variable frequency interleaved ZCS boost rectifier digitally controlled by FPGA

This paper presents a multi-cell single-phase high power factor boost rectifier in interleave connection, operating in critical conduction mode, employing a soft-switching technique, and controlled by Field Programmable Gate Array (FPGA). The soft-switching technique is based on zero-current-switching (ZCS) cells, providing ZC (zero-current) turn-on and ZCZV (zero-current-zero-voltage) turn-off for the active switches, and ZV (zero-vohage) turn-on and ZC (zero-current) turn-off for the boost diodes. The disadvantages related to reverse recovery effects of boost diodes operated in continuous conduction mode (additional losses, and electromagnetic interference (EMI) problems) are minimized, due to the operation in critical conduction mode. In addition, due to the interleaving technique, the rectifier's features include the reduction in the input current ripple, the reduction in the output voltage ripple, the use of low stress devices, low volume for the EMI input filter, high input power factor (PF), and low total harmonic distortion (THD) in the input current, in compliance with the IEC61000-3-2 standards. The digital controller has been developed using a hardware description language (VHDL) and implemented using a XC2S200E-SpartanII-E/Xilinx FPGA device, performing a true critical conduction operation mode for all interleaved cells, and a closed-loop to provide the output voltage regulation, like as a preregulator rectifier. Experimental results are presented for a implemented prototype with two and with four interleaved cells, 400V nominal output voltage and 220V(rms) nominal input voltage, in order to verify the feasibility and performance of the proposed digital control through the use of a FPGA device.

Advanced signal and receiver design for next generation OFDM systems

This thesis deal with the design of advanced OFDM systems. Both waveform and receiver design have been treated. The main scope of the Thesis is to study, create, and propose, ideas and novel design solutions able to cope with the weaknesses and crucial aspects of modern OFDM systems. Starting from the the transmitter side, the problem represented by low resilience to non-linear distortion has been assessed. A novel technique that considerably reduces the Peak-to-Average Power Ratio (PAPR) yielding a quasi constant signal envelope in the time domain (PAPR close to 1 dB) has been proposed.The proposed technique, named Rotation Invariant Subcarrier Mapping (RISM),is a novel scheme for subcarriers data mapping,where the symbols belonging to the modulation alphabet are not anchored, but maintain some degrees of freedom. In other words, a bit tuple is not mapped on a single point, rather it is mapped onto a geometrical locus, which is totally or partially rotation invariant. The final positions of the transmitted complex symbols are chosen by an iterative optimization process in order to minimize the PAPR of the resulting OFDM symbol. Numerical results confirm that RISM makes OFDM usable even in severe non-linear channels. Another well known problem which has been tackled is the vulnerability to synchronization errors. Indeed in OFDM system an accurate recovery of carrier frequency and symbol timing is crucial for the proper demodulation of the received packets. In general, timing and frequency synchronization is performed in two separate phases called PRE-FFT and POST-FFT synchronization. Regarding the PRE-FFT phase, a novel joint symbol timing and carrier frequency synchronization algorithm has been presented. The proposed algorithm is characterized by a very low hardware complexity, and, at the same time, it guarantees very good performance in in both AWGN and multipath channels. Regarding the POST-FFT phase, a novel approach for both pilot structure and receiver design has been presented. In particular, a novel pilot pattern has been introduced in order to minimize the occurrence of overlaps between two pattern shifted replicas. This allows to replace conventional pilots with nulls in the frequency domain, introducing the so called Silent Pilots. As a result, the optimal receiver turns out to be very robust against severe Rayleigh fading multipath and characterized by low complexity. Performance of this approach has been analytically and numerically evaluated. Comparing the proposed approach with state of the art alternatives, in both AWGN and multipath fading channels, considerable performance improvements have been obtained. The crucial problem of channel estimation has been thoroughly investigated, with particular emphasis on the decimation of the Channel Impulse Response (CIR) through the selection of the Most Significant Samples (MSSs). In this contest our contribution is twofold, from the theoretical side, we derived lower bounds on the estimation mean-square error (MSE) performance for any MSS selection strategy,from the receiver design we proposed novel MSS selection strategies which have been shown to approach these MSE lower bounds, and outperformed the state-of-the-art alternatives. Finally, the possibility of using of Single Carrier Frequency Division Multiple Access (SC-FDMA) in the Broadband Satellite Return Channel has been assessed. Notably, SC-FDMA is able to improve the physical layer spectral efficiency with respect to single carrier systems, which have been used so far in the Return Channel Satellite (RCS) standards. However, it requires a strict synchronization and it is also sensitive to phase noise of local radio frequency oscillators. For this reason, an effective pilot tone arrangement within the SC-FDMA frame, and a novel Joint Multi-User (JMU) estimation method for the SC-FDMA, has been proposed. As shown by numerical results, the proposed scheme manages to satisfy strict synchronization requirements and to guarantee a proper demodulation of the received signal.

Practical dual-helical antenna array for diversity/MIMO receiving antennas on mobile handsets

A practical, small-size, dual-helical antenna array mounted on a mobile handset model is designed for use as diversity/MIMO receiving antennas. The array is rigorously studied with respect to its diversity performance and the achievable channel capacity. It is found that a very low correlation coefficient, a high diversity gain, an equal-mean branch SNR, and a relatively matched input impedance can be achieved at the same time. It is shown that, at a remarkably small antenna separation (similar to 0.05 lambda), the signal correlation can be reduced to nearly zero, an almost ideal independent operation of the diversity antennas. The increase in MIMO channel capacity is 100% over a single antenna system. Both measured and simulation results are presented.

Achievable performance gain of IEEE 802.11 multi-rate link adaptation algorithm with cross-layer design

Link quality-based rate adaptation has been widely used for IEEE 802.11 networks. However, network performance is affected by both link quality and random channel access. Selection of transmit modes for optimal link throughput can cause medium access control (MAC) throughput loss. In this paper, we investigate this issue and propose a generalised cross-layer rate adaptation algorithm. It considers jointly link quality and channel access to optimise network throughput. The objective is to examine the potential benefits by cross-layer design. An efficient analytic model is proposed to evaluate rate adaptation algorithms under dynamic channel and multi-user access environments. The proposed algorithm is compared to link throughput optimisation-based algorithm. It is found rate adaptation by optimising link layer throughput can result in large performance loss, which cannot be compensated by the means of optimising MAC access mechanism alone. Results show cross-layer design can achieve consistent and considerable performance gains of up to 20%. It deserves to be exploited in practical design for IEEE 802.11 networks.

Effective reconfigurable antenna designs to enhance performance and enable wireless powering

With the increase in traffic on the internet, there is a greater demand for wireless mobile and ubiquitous applications. These applications need antennas that are not only broadband, but can also work in different frequency spectrums. Even though there is a greater demand for such applications, it is still imperative to conserve power. Thus, there is a need to design multi-broadband antennas that do not use a lot of power. Reconfigurable antennas can work in different frequency spectrums as well as conserve power. The current designs of reconfigurable antennas work only in one band. There is a need to design reconfigurable antennas that work in different frequency spectrums. In this current era of high power consumption there is also a greater demand for wireless powering. This dissertation explores ideal designs of reconfigurable antennas that can improve performance and enable wireless powering. This dissertation also presents lab results of the multi-broadband reconfigurable antenna that was created. A detailed mathematical analyses, as well as extensive simulation results are also presented. The novel reconfigurable antenna designs can be extended to Multiple Input Multiple Output (MIMO) environments and military applications.^

Effective Reconfigurable Antenna Designs to Enhance Performance and Enable Wireless Powering

With the increase in traffic on the internet, there is a greater demand for wireless mobile and ubiquitous applications. These applications need antennas that are not only broadband, but can also work in different frequency spectrums. Even though there is a greater demand for such applications, it is still imperative to conserve power. Thus, there is a need to design multi-broadband antennas that do not use a lot of power. Reconfigurable antennas can work in different frequency spectrums as well as conserve power. The current designs of reconfigurable antennas work only in one band. There is a need to design reconfigurable antennas that work in different frequency spectrums. In this current era of high power consumption there is also a greater demand for wireless powering. This dissertation explores ideal designs of reconfigurable antennas that can improve performance and enable wireless powering. This dissertation also presents lab results of the multi-broadband reconfigurable antenna that was created. A detailed mathematical analyses, as well as extensive simulation results are also presented. The novel reconfigurable antenna designs can be extended to Multiple Input Multiple Output (MIMO) environments and military applications.

Massive MIMO in sparse channels

Massive multi-user multiple-input multiple-output (MU-MIMO) systems are cellular networks where the base stations (BSs) are equipped with hundreds of antennas, N, and communicate with tens of mobile stations (MSs), K, such that, N ≫ K ≫ 1. Contrary to most prior works, in this paper, we consider the uplink of a single-cell massive MIMO system operating in sparse channels with limited scattering. This case is of particular importance in most propagation scenarios, where the prevalent Rayleigh fading assumption becomes idealistic. We derive analytical approximations for the achievable rates of maximum-ratio combining (MRC) and zero-forcing (ZF) receivers. Furthermore, we study the asymptotic behavior of the achievable rates for both MRC and ZF receivers, when N and K go to infinity under the condition that N/K → c ≥ 1. Our results indicate that the achievable rate of MRC receivers reaches an asymptotic saturation limit, whereas the achievable rate of ZF receivers grows logarithmically with the number of MSs.

Multiuser dual-hop relaying over hybrid RF/FSO links

The performance of multiuser dual-hop relaying over mixed radio frequency/free-space optical (RF/FSO) links is investigated. RF links are used for the simultaneous data transmission from m single-antenna sources to the relay, which is equipped with n ≥ m receive antennas and a photo-aperture transmitter. The relay operates under the decode-and-forward protocol and utilizes the popular ordered V-BLAST technique to successively decode each user's transmitted stream. A common norm-based ordering approach is adopted, where the streams are decoded in an ascending order. After the V-BLAST decoding, the relay retransmits the initial information to the destination, which is equipped with a photo-detector, via a point-to-point FSO link in m consecutive timeslots. Analytical expressions for the end-to-end outage probability and average symbol error probability of each user are derived. Some engineering insights are manifested, such as the diversity order, the impact of the pointing error displacement on the FSO link and the severity on the turbulence-induced channel fading.

Supporting collocated and at-a-distance experiences with TV and VR displays

Televisions (TVs) and VR Head-Mounted Displays (VR HMDs) are used in shared and social spaces in the home. This thesis posits that these displays do not sufficiently reflect the collocated, social contexts in which they reside, nor do they sufficiently support shared experiences at-a-distance. This thesis explores how the role of TVs and VR HMDs can go beyond presenting a single entertainment experience, instead supporting social and shared use in both collocated and at-a-distance contexts. For collocated TV, this thesis demonstrates that the TV can be augmented to facilitate multi-user interaction, support shared and independent activities and multi-user use through multi-view display technology, and provide awareness of the multi-screen activity of those in the room, allowing the TV to reflect the social context in which it resides. For at-a-distance TV, existing smart TVs are shown to be capable of supporting synchronous at-a-distance activity, broadening the scope of media consumption beyond the four walls of the home. For VR HMDs, collocated proximate persons can be seamlessly brought into mixed reality VR experiences based on engagement, improving VR HMD usability. Applied to at-a-distance interactions, these shared mixed reality VR experiences can enable more immersive social experiences that approximate viewing together as if in person, compared to at-a-distance TV. Through an examination of TVs and VR HMDs, this thesis demonstrates that consumer display technology can better support users to interact, and share experiences and activities, with those they are close to.

A large-scale computing infrastructure for design education

Most departmental computing infrastructure reflects the state of networking technology and available funds at the time of construction, which converge in a preconceived notion of homogeneity of network architecture and usage patterns. The DMAN (Digital Media Access Network) project, a large-scale server and network foundation for the Hong Kong Polytechnic University's School of Design was created as a platform that would support a highly complex academic environment while giving maximum freedom to students, faculty and researchers through simplicity and ease of use. As a centralized multi-user computation backbone, DMAN faces an extremely hetrogeneous user and application profile, exceeding implementation and maintenance challenges of typical enterprise, and even most academic server set-ups. This paper sumarizes the specification, implementation and application of the system while describing its significance for design education in a computational context.

Demonstration of Software Agents Prototype System : [AIMM] Agents for Improving Maintenance Management

This report presents the demonstration of software agents prototype system for improving maintenance management [AIMM] including: • Developing and implementing a user focused approach for mining the maintenance data of buildings. This report presents the demonstration of software agents prototype system for improving maintenance management [AIMM] including: • Developing and implementing a user focused approach for mining the maintenance data of buildings. • Refining the development of a multi agent system for data mining in virtual environments (Active Worlds) by developing and implementing a filtering agent on the results obtained from applying data mining techniques on the maintenance data. • Integrating the filtering agent within the multi agents system in an interactive networked multi-user 3D virtual environment. • Populating maintenance data and discovering new rules of knowledge.