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FS
2010
95views more  FS 2010»
14 years 10 months ago
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
This paper considers a general reduced form pricing model for credit derivatives where default intensities are driven by some factor process X. The process X is not directly observ...
Rüdiger Frey, Wolfgang Runggaldier
NFM
2011
252views Formal Methods» more  NFM 2011»
14 years 6 months ago
Call Invariants
Program verifiers based on first-order theorem provers model the program heap as a collection of mutable maps. In such verifiers, preserving unmodified facts about the heap acr...
Shuvendu K. Lahiri, Shaz Qadeer
JMLR
2010
119views more  JMLR 2010»
14 years 6 months ago
A Convergent Online Single Time Scale Actor Critic Algorithm
Actor-Critic based approaches were among the first to address reinforcement learning in a general setting. Recently, these algorithms have gained renewed interest due to their gen...
Dotan Di Castro, Ron Meir
IUI
2011
ACM
14 years 2 months ago
Groups without tears: mining social topologies from email
As people accumulate hundreds of “friends” in social media, a flat list of connections becomes unmanageable. Interfaces agnostic to social structure hinder the nuanced sharin...
Diana MacLean, Sudheendra Hangal, Seng Keat Teh, M...
IWQOS
2011
Springer
14 years 2 months ago
OLIC: OnLine Information Compression for scalable hosting infrastructure monitoring
—Quality-of-service (QoS) management often requires a continuous monitoring service to provide updated information about different hosts and network links in the managed system. ...
Yongmin Tan, Xiaohui Gu, Vinay Venkatesh