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SIAMSC
2008
99views more  SIAMSC 2008»
14 years 9 months ago
Monte Carlo Greeks for Financial Products via Approximative Transition Densities
In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities ("Greeks"). These estimators are ba...
Jörg Kampen, Anastasia Kolodko, John Schoenma...
COLT
2007
Springer
15 years 4 months ago
On-Line Estimation with the Multivariate Gaussian Distribution
We consider on-line density estimation with the multivariate Gaussian distribution. In each of a sequence of trials, the learner must posit a mean µ and covariance Σ; the learner...
Sanjoy Dasgupta, Daniel Hsu
DCC
2003
IEEE
15 years 3 months ago
Universal Multiple Description Scalar Quantization: Analysis and Design
—This paper introduces a new high-rate analysis of the multiple description scalar quantizer (MDSQ) with balanced descriptions. The analysis provides insight into the structure o...
Chao Tian, Sheila S. Hemami
GLOBECOM
2008
IEEE
15 years 4 months ago
Noise Thresholds for Discrete LDPC Decoding Mappings
— For decoding low-density parity-check (LDPC) codes on discrete memoryless channels, a method to quantize messages and to find message-passing decoding functions for the variab...
Brian M. Kurkoski, Kazuhiko Yamaguchi, Kingo Kobay...
ICIP
1998
IEEE
15 years 11 months ago
Multiple Description Transform Coding of Images
Generalized multiple description coding (GMDC) is source coding for multiple channels such that a decoder which receives an arbitrary subset of the channels may produce a useful r...
Vivek K. Goyal, Jelena Kovacevic, Ramon Arean, Mar...