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» Some Results on Effective Randomness
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WSC
2004
14 years 11 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
ECCC
2000
93views more  ECCC 2000»
14 years 10 months ago
Security of the Most Significant Bits of the Shamir Message Passing Scheme
Boneh and Venkatesan have recently proposed a polynomial time algorithm for recovering a "hidden" element of a finite field Fp of p elements from rather short strings of...
Maria Isabel Gonzalez Vasco, Igor Shparlinski
CVPR
2004
IEEE
16 years 2 days ago
Invariant Operators, Small Samples, and the Bias-Variance Dilemma
Invariant features or operators are often used to shield the recognition process from the effect of "nuisance" parameters, such as rotations, foreshortening, or illumina...
Xiaojin Shi, Roberto Manduchi
SODA
2012
ACM
240views Algorithms» more  SODA 2012»
13 years 14 days ago
Simultaneous approximations for adversarial and stochastic online budgeted allocation
Motivated by online ad allocation, we study the problem of simultaneous approximations for the adversarial and stochastic online budgeted allocation problem. This problem consists...
Vahab S. Mirrokni, Shayan Oveis Gharan, Morteza Za...
TIT
2002
63views more  TIT 2002»
14 years 9 months ago
Structured unitary space-time autocoding constellations
We recently showed that arbitrarily reliable communication is possible within a single coherence interval in Rayleigh flat fading as the symbol-duration of the coherence interval ...
Thomas L. Marzetta, Babak Hassibi, Bertrand M. Hoc...