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WSC
2004
15 years 5 months ago
Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
Mark Broadie, Özgür Kaya
PDPTA
2003
15 years 5 months ago
Parallel Split-Step Fourier Methods for the CMKdV Equation
The class of complex modified Korteweg-de Vries (CMKdV) equations has many applications. One form of the CMKdV equation has been used to create models for the nonlinear evolution...
Thiab R. Taha, Ruihua Liu
SPLC
2007
15 years 5 months ago
Product Line Implementation using Aspect-Oriented and Model-Driven Software Development
Software product line engineering aims to reduce development time, effort, cost, and complexity by taking advantage of the commonality within a portfolio of similar products. The ...
Markus Völter, Iris Groher
COMPSAC
2008
IEEE
15 years 4 months ago
Analyzing Software Evolvability
Software evolution is characterized by inevitable changes of software and increasing software complexities, which in turn may lead to huge costs unless rigorously taking into acco...
Hongyu Pei Breivold, Ivica Crnkovic, Peter J. Erik...
CCR
2008
86views more  CCR 2008»
15 years 4 months ago
An Integrated Model of Traffic, Geography and Economy in the Internet
Modeling Internet growth is important both for understanding the current network and to predict and improve its future. To date, Internet models have typically attempted to explai...
Petter Holme, Josh Karlin, Stephanie Forrest