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FS
2011
165views more  FS 2011»
12 years 8 months ago
Asset price bubbles from heterogeneous beliefs about mean reversion rates
Harrison and Kreps showed in 1978 how the heterogeneity of investor beliefs can drive speculation, leading the price of an asset to exceed its intrinsic value. By focusing on an e...
Xi Chen, Robert V. Kohn
FS
2011
168views more  FS 2011»
12 years 8 months ago
Gamma expansion of the Heston stochastic volatility model
Abstract We derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model. Of particular i...
Paul Glasserman, Kyoung-Kuk Kim
GC
2011
Springer
12 years 11 months ago
Properly Edge-Coloured Subgraphs in Colourings of Bounded Degree
The smallest n such that every colouring of the edges of Kn must contain a monochromatic star K1,s+1 or a properly edge-coloured Kt is denoted by f(s, t). Its existence is guarant...
Klas Markström, Andrew Thomason, Peter Wagner...
ICASSP
2011
IEEE
12 years 8 months ago
Multi-rate polyphase DSP and LMS calibration schemes for oversampled data conversion systems
—Architectural schemes for low-power calibration of oversampled analog-to-digital (A/D) systems are presented. Conventional full-rate least-mean squares (LMS) calibration has two...
Subhanshu Gupta, Yi Tang, Kuang-Wei Cheng, Jeyanan...
AUSAI
2011
Springer
12 years 4 months ago
Image Feature Selection Based on Ant Colony Optimization
Image feature selection (FS) is an important task which can affect the performance of image classification and recognition. In this paper, we present a feature selection algorithm ...
Ling Chen, Bolun Chen, Yixin Chen