The aim of this paper is to price power option with its underlying asset price following exponential normal inverse gaussian(NIG)process.We first find the risk neutral equivalent martingale measure Q by Esscher transf...The aim of this paper is to price power option with its underlying asset price following exponential normal inverse gaussian(NIG)process.We first find the risk neutral equivalent martingale measure Q by Esscher transform.Then,using the Fourier transform and its inverse,we derive the analytical pricing formulas of power options which are expressed in the form of Fourier integral.In addition,the fast Fourier transform(FFT)algorithm is applied to calculate these pricing formulas.Finally,Shangzheng 50ETF options are chosen to test our results.Estimating the parameters in NIG process by maximum likelihood method,we show that the NIG prices are much closer to market prices than the Black-Scholes-Merton(BSM)ones.展开更多
The internal microstructures of rock materials, including mineral heterogeneity and intrinsic microdefects, exert a significant influence on their nonlinear mechanical and cracking behaviors. It is of great significan...The internal microstructures of rock materials, including mineral heterogeneity and intrinsic microdefects, exert a significant influence on their nonlinear mechanical and cracking behaviors. It is of great significance to accurately characterize the actual microstructures and their influence on stress and damage evolution inside the rocks. In this study, an image-based fast Fourier transform (FFT) method is developed for reconstructing the actual rock microstructures by combining it with the digital image processing (DIP) technique. A series of experimental investigations were conducted to acquire information regarding the actual microstructure and the mechanical properties. Based on these experimental evidences, the processed microstructure information, in conjunction with the proposed micromechanical model, is incorporated into the numerical calculation. The proposed image-based FFT method was firstly validated through uniaxial compression tests. Subsequently, it was employed to predict and analyze the influence of microstructure on macroscopic mechanical behaviors, local stress distribution and the internal crack evolution process in brittle rocks. The distribution of feldspar is considerably more heterogeneous and scattered than that of quartz, which results in a greater propensity for the formation of cracks in feldspar. It is observed that initial cracks and new cracks, including intragranular and boundary ones, ultimately coalesce and connect as the primary through cracks, which are predominantly distributed along the boundary of the feldspar. This phenomenon is also predicted by the proposed numerical method. The results indicate that the proposed numerical method provides an effective approach for analyzing, understanding and predicting the nonlinear mechanical and cracking behaviors of brittle rocks by taking into account the actual microstructure characteristics.展开更多
A fast implementation of the convolution backprojection（CBP）algorithm in spotlight synthetic aperture radar（SAR）is presented based on the fast Fourier transform（FFT）.Traditionally,the computation of the ＇backpr...A fast implementation of the convolution backprojection（CBP）algorithm in spotlight synthetic aperture radar（SAR）is presented based on the fast Fourier transform（FFT）.Traditionally,the computation of the ＇backprojection＇ process is expensive,since resampling in the process is implemented by using the interpolation operation.By analyzing the relative location relationship among different pixels,the algorithm realizes the ＇backprojection＇ using a series of FFTs instead of the interpolation operation.The point target simulation validates that the new algorithm accelerates the CBP algorithm,and the computational rate increases about 85%.展开更多
By means of an arificial neural network (ANN) model, higher measurement accuracy of integer harmonics can be obtained. Combining the windowed fast Fourier transform (FFT) algorithm with the improved ANN model, we pres...By means of an arificial neural network (ANN) model, higher measurement accuracy of integer harmonics can be obtained. Combining the windowed fast Fourier transform (FFT) algorithm with the improved ANN model, we present a new precise algorithm for non-integer harmonics analysis. According to the result obtained from the Hanning-windowed FFT algorithm, we choose the initial values of orders of harmonics for the neural network. Through such processing, the time of iterations is shortened and the convergence rate of neural network is raised thereby. The simulation results show that close non-integer harmonics can be separated from a signal with higher accuracy and better real-time by using the algorithm presented in the paper. Key words fast Fourier transform (FFT) - artificial neural network (ANN) - Hanning-window - harmonics analysis CLC number TM 935 Foundation item: Supported by the Teaching and Research Award Program for Outstanding Young Teachers in Higher Education Institutions of China (2001-182) and the Science Foundation of Naval University of Engineering(HGDJJ03001).Biography: WANG Gong-bao (1962-), male, Professor, research direction: artificial neural network, wavelet analysis and their applications to signal processing in electric power systems.展开更多
Cardiac Arrhythmias shows a condition of abnor-mal electrical activity in the heart which is a threat to humans. This paper presents a method to analyze electrocardiogram (ECG) signal, extract the fea-tures, for the c...Cardiac Arrhythmias shows a condition of abnor-mal electrical activity in the heart which is a threat to humans. This paper presents a method to analyze electrocardiogram (ECG) signal, extract the fea-tures, for the classification of heart beats according to different arrhythmias. Data were obtained from 40 records of the MIT-BIH arrhythmia database (only one lead). Cardiac arrhythmias which are found are Tachycardia, Bradycardia, Supraventricular Tachycardia, Incomplete Bundle Branch Block, Bundle Branch Block, Ventricular Tachycardia. A learning dataset for the neural network was obtained from a twenty records set which were manually classified using MIT-BIH Arrhythmia Database Directory and docu- mentation, taking advantage of the professional experience of a cardiologist. Fast Fourier transforms are used to identify the peaks in the ECG signal and then Neural Networks are applied to identify the diseases. Levenberg Marquardt Back-Propagation algorithm is used to train the network. The results obtained have better efficiency then the previously proposed methods.展开更多
In low earth orbit (LEO) satellite or missile communication scenarios, signals may experience extremely large Doppler shifts and have short visual time. Thus, direct sequence spread spectrum (DSSS) systems should be a...In low earth orbit (LEO) satellite or missile communication scenarios, signals may experience extremely large Doppler shifts and have short visual time. Thus, direct sequence spread spectrum (DSSS) systems should be able to achieve acquisition in a very short time in spite of large Doppler frequencies. However, the traditional methods cannot solve it well. This work describes a new method that uses a differential decoding technique for Doppler mitigation and a batch process of FFT (fast Fourier transform) and IFFT (invert FFT) for the purpose of parallel code phase search by frequency domain correlation. After the code phase is estimated, another FFT process is carried out to search the Doppler frequency. Since both code phase and Doppler frequency domains are searched in parallel, this architecture can provide acquisition fifty times faster than conventional FFT methods. The performance in terms of the probability of detection and false alarm are also analyzed and simulated, showing that a signal-to-noise ratio (SNR) loss of 3 dB is introduced by the differential decoding. The proposed method is an efficient way to shorten the acquisition time with slightly hardware increasing.展开更多
Starting from an index mapping for one to multi-dimensions, a general in-placeand in-order prime factor FFT algorithm is proposed in this paper. In comparing with existingprime factor FFT algorithms, this algorithm sa...Starting from an index mapping for one to multi-dimensions, a general in-placeand in-order prime factor FFT algorithm is proposed in this paper. In comparing with existingprime factor FFT algorithms, this algorithm saves about half of the required storage capacityand possesses a higher efficiency. In addition, this algorithm can easily implement the DFT andIDFT in a single subroutine,展开更多
DFT is widely applied in the field of signal process and others. Most present rapid ways of calculation are either based on paralleled computers connected by such particular systems like butterfly network, hypercube e...DFT is widely applied in the field of signal process and others. Most present rapid ways of calculation are either based on paralleled computers connected by such particular systems like butterfly network, hypercube etc; or based on the assumption of instant transportation, non-conflict communication, complete connection of paralleled processors and unlimited usable processors. However, the delay of communication in the system of information transmission cannot be ignored. This paper works on the following aspects： instant transmission, dispatching missions, and the path of information through the communication link in the computer cluster systems; layout of the dynamic FFT algorithm under the different structures of computer clusters.展开更多
In this paper, an intuitive comparison of the computational performance of orthogonal frequency division multiplexing (OFDM) system has been made in terms of complex calculations required using different Fourier trans...In this paper, an intuitive comparison of the computational performance of orthogonal frequency division multiplexing (OFDM) system has been made in terms of complex calculations required using different Fourier transform techniques. The different transform techniques are introduced such as discrete Fourier transform (DFT) and various types of fast Fourier transform (FFT) as 2-radix FFT, 4-radix FFT etc. and the very recent very fast Fourier transform (VFFT). With intuitive mathematical analysis, it has been shown that with the reduced complexity that VFFT can offer, OFDM performance can be greatly improved in terms of calculations needed.展开更多
基于快速傅里叶变换的快速迭代收缩阈值算法(fast iterative shrinkage threshold algorithm based on fast Fourier transform, FFT-FISTA)具有较高的计算效率,但其忽略点扩散函数的空间变化及卷绕误差,造成声源识别性能的损失,为此提...基于快速傅里叶变换的快速迭代收缩阈值算法(fast iterative shrinkage threshold algorithm based on fast Fourier transform, FFT-FISTA)具有较高的计算效率,但其忽略点扩散函数的空间变化及卷绕误差,造成声源识别性能的损失,为此提出基于函数波束形成的改进FFT-FISTA算法。改进算法以函数波束形成输出作为FFT-FISTA算法的迭代输入,建立函数波束形成、声源分布及升幂空间转移不变点扩散函数的线性方程组,基于周期边界条件下的快速傅里叶变换进行迭代求解,使被运算的非周期函数变为一个周期函数,解决补零边界带来的波数泄漏问题,可提高运算准确性,进一步提升成像性能;通过指数运算锐化点扩散函数主瓣,拓展点扩散函数空间转移不变性假设的适用性。仿真和试验结果表明,相较于常规FFT-FISTA算法,改进算法能提升成像空间分辨率及动态范围,扩大FFT-FISTA算法的有效成像区域,压缩气体泄漏试验结果验证了改进算法的有效性。展开更多
The reflectometry is a common method used to measure the thickness of thin films. Using a conventional method,its measurable range is limited due to the low resolution of the current spectrometer embedded in the refle...The reflectometry is a common method used to measure the thickness of thin films. Using a conventional method,its measurable range is limited due to the low resolution of the current spectrometer embedded in the reflectometer.We present a simple method, using cubic spline interpolation to resample the spectrum with a high resolution,to extend the measurable transparent film thickness. A large measuring range up to 385 m in optical thickness is achieved with the commonly used system. The numerical calculation and experimental results demonstrate that using the FFT method combined with cubic spline interpolation resampling in reflectrometry, a simple,easy-to-operate, economic measuring system can be achieved with high measuring accuracy and replicability.展开更多
A Fast Fourier transform approach has been presented by Carr & Madan (2009) on a single underlying asset. In this current research paper, we present fast Fourier transform algorithm for the valuation of Multi-asse...A Fast Fourier transform approach has been presented by Carr & Madan (2009) on a single underlying asset. In this current research paper, we present fast Fourier transform algorithm for the valuation of Multi-asset Options under Economic Recession Induced Uncertainties. The issue of multi-dimension in both finite and infinite case of Options is part of the focus of this research. The notion of economic recession was incorporated. An intuition behind the introduction of recession induced volatility uncertainty is revealed by huge volatility variation during the period of economic recession compared to the period of recession-free. Nigeria economic recession outbreak in 2016 and its effects on the uncertainty of the payoffs of Nigeria Stocks Exchange (NSE) among other investments was among the motivating factors for proposing economic recession induced volatility in options pricing. The application of the proposed Fast Fourier Transform algorithm in handling multi-assets options was shown. A new result on options pricing was achieved and capable of yielding efficient option prices during and out of recession. Numerical results were presented on assets in 3-dimensions as an illustration taking Black Scholes prices as a bench mark for method effectiveness comparison. The key findings of this research paper among other crucial contributions could be seen in computational procedure of options valuation in multi-dimensions and uncertainties in options payoffs under the exposure of economic recession.展开更多
An efficient and accurate numerical method, which is called the CONV method, was proposed by Lord et al in [1] to price Bermudan options. In this paper, this method is applied to price Bermudan barrier options in whic...An efficient and accurate numerical method, which is called the CONV method, was proposed by Lord et al in [1] to price Bermudan options. In this paper, this method is applied to price Bermudan barrier options in which the monitored dates may be many times more than the exercise dates. The corresponding algorithm is presented to practical option pricing. Numerical experiments show that this algorithm works very well for different exponential Lévy asset models.展开更多
基金Supported by National Natural Science Foundation of China(11571089,11501164)Natural Science Founda-tion of Hebei Province(A2019205299)+1 种基金the Foundation of Hebei Education Department(ZD2018065,ZD2019053)Hebei Normal University(L2019Z01).
文摘The aim of this paper is to price power option with its underlying asset price following exponential normal inverse gaussian(NIG)process.We first find the risk neutral equivalent martingale measure Q by Esscher transform.Then,using the Fourier transform and its inverse,we derive the analytical pricing formulas of power options which are expressed in the form of Fourier integral.In addition,the fast Fourier transform(FFT)algorithm is applied to calculate these pricing formulas.Finally,Shangzheng 50ETF options are chosen to test our results.Estimating the parameters in NIG process by maximum likelihood method,we show that the NIG prices are much closer to market prices than the Black-Scholes-Merton(BSM)ones.
基金supported by the National Natural Science Foundation of China(Grant No.11802332)the China Scholarship Council(Grant No.202206435003)the Fundamental Research Funds for the Central Universities(Grant No.2024ZKPYLJ03).
文摘The internal microstructures of rock materials, including mineral heterogeneity and intrinsic microdefects, exert a significant influence on their nonlinear mechanical and cracking behaviors. It is of great significance to accurately characterize the actual microstructures and their influence on stress and damage evolution inside the rocks. In this study, an image-based fast Fourier transform (FFT) method is developed for reconstructing the actual rock microstructures by combining it with the digital image processing (DIP) technique. A series of experimental investigations were conducted to acquire information regarding the actual microstructure and the mechanical properties. Based on these experimental evidences, the processed microstructure information, in conjunction with the proposed micromechanical model, is incorporated into the numerical calculation. The proposed image-based FFT method was firstly validated through uniaxial compression tests. Subsequently, it was employed to predict and analyze the influence of microstructure on macroscopic mechanical behaviors, local stress distribution and the internal crack evolution process in brittle rocks. The distribution of feldspar is considerably more heterogeneous and scattered than that of quartz, which results in a greater propensity for the formation of cracks in feldspar. It is observed that initial cracks and new cracks, including intragranular and boundary ones, ultimately coalesce and connect as the primary through cracks, which are predominantly distributed along the boundary of the feldspar. This phenomenon is also predicted by the proposed numerical method. The results indicate that the proposed numerical method provides an effective approach for analyzing, understanding and predicting the nonlinear mechanical and cracking behaviors of brittle rocks by taking into account the actual microstructure characteristics.
基金Supported by the National Natural Science Foundation of China(61071165)the Aeronautical Science Foundation of China(20080152004)+1 种基金the Ph.D.Programs Foundation of Ministry of Education of China(20070280531)the Program for New Century Excellent Talents in University(NCET-09-0069)~~
文摘A fast implementation of the convolution backprojection（CBP）algorithm in spotlight synthetic aperture radar（SAR）is presented based on the fast Fourier transform（FFT）.Traditionally,the computation of the ＇backprojection＇ process is expensive,since resampling in the process is implemented by using the interpolation operation.By analyzing the relative location relationship among different pixels,the algorithm realizes the ＇backprojection＇ using a series of FFTs instead of the interpolation operation.The point target simulation validates that the new algorithm accelerates the CBP algorithm,and the computational rate increases about 85%.
文摘By means of an arificial neural network (ANN) model, higher measurement accuracy of integer harmonics can be obtained. Combining the windowed fast Fourier transform (FFT) algorithm with the improved ANN model, we present a new precise algorithm for non-integer harmonics analysis. According to the result obtained from the Hanning-windowed FFT algorithm, we choose the initial values of orders of harmonics for the neural network. Through such processing, the time of iterations is shortened and the convergence rate of neural network is raised thereby. The simulation results show that close non-integer harmonics can be separated from a signal with higher accuracy and better real-time by using the algorithm presented in the paper. Key words fast Fourier transform (FFT) - artificial neural network (ANN) - Hanning-window - harmonics analysis CLC number TM 935 Foundation item: Supported by the Teaching and Research Award Program for Outstanding Young Teachers in Higher Education Institutions of China (2001-182) and the Science Foundation of Naval University of Engineering(HGDJJ03001).Biography: WANG Gong-bao (1962-), male, Professor, research direction: artificial neural network, wavelet analysis and their applications to signal processing in electric power systems.
文摘Cardiac Arrhythmias shows a condition of abnor-mal electrical activity in the heart which is a threat to humans. This paper presents a method to analyze electrocardiogram (ECG) signal, extract the fea-tures, for the classification of heart beats according to different arrhythmias. Data were obtained from 40 records of the MIT-BIH arrhythmia database (only one lead). Cardiac arrhythmias which are found are Tachycardia, Bradycardia, Supraventricular Tachycardia, Incomplete Bundle Branch Block, Bundle Branch Block, Ventricular Tachycardia. A learning dataset for the neural network was obtained from a twenty records set which were manually classified using MIT-BIH Arrhythmia Database Directory and docu- mentation, taking advantage of the professional experience of a cardiologist. Fast Fourier transforms are used to identify the peaks in the ECG signal and then Neural Networks are applied to identify the diseases. Levenberg Marquardt Back-Propagation algorithm is used to train the network. The results obtained have better efficiency then the previously proposed methods.
基金Project(60904090) supported by the National Natural Science Foundation of China
文摘In low earth orbit (LEO) satellite or missile communication scenarios, signals may experience extremely large Doppler shifts and have short visual time. Thus, direct sequence spread spectrum (DSSS) systems should be able to achieve acquisition in a very short time in spite of large Doppler frequencies. However, the traditional methods cannot solve it well. This work describes a new method that uses a differential decoding technique for Doppler mitigation and a batch process of FFT (fast Fourier transform) and IFFT (invert FFT) for the purpose of parallel code phase search by frequency domain correlation. After the code phase is estimated, another FFT process is carried out to search the Doppler frequency. Since both code phase and Doppler frequency domains are searched in parallel, this architecture can provide acquisition fifty times faster than conventional FFT methods. The performance in terms of the probability of detection and false alarm are also analyzed and simulated, showing that a signal-to-noise ratio (SNR) loss of 3 dB is introduced by the differential decoding. The proposed method is an efficient way to shorten the acquisition time with slightly hardware increasing.
基金Supported by the National Natural Science Foundation of China
文摘Starting from an index mapping for one to multi-dimensions, a general in-placeand in-order prime factor FFT algorithm is proposed in this paper. In comparing with existingprime factor FFT algorithms, this algorithm saves about half of the required storage capacityand possesses a higher efficiency. In addition, this algorithm can easily implement the DFT andIDFT in a single subroutine,
文摘DFT is widely applied in the field of signal process and others. Most present rapid ways of calculation are either based on paralleled computers connected by such particular systems like butterfly network, hypercube etc; or based on the assumption of instant transportation, non-conflict communication, complete connection of paralleled processors and unlimited usable processors. However, the delay of communication in the system of information transmission cannot be ignored. This paper works on the following aspects： instant transmission, dispatching missions, and the path of information through the communication link in the computer cluster systems; layout of the dynamic FFT algorithm under the different structures of computer clusters.
文摘In this paper, an intuitive comparison of the computational performance of orthogonal frequency division multiplexing (OFDM) system has been made in terms of complex calculations required using different Fourier transform techniques. The different transform techniques are introduced such as discrete Fourier transform (DFT) and various types of fast Fourier transform (FFT) as 2-radix FFT, 4-radix FFT etc. and the very recent very fast Fourier transform (VFFT). With intuitive mathematical analysis, it has been shown that with the reduced complexity that VFFT can offer, OFDM performance can be greatly improved in terms of calculations needed.
文摘基于快速傅里叶变换的快速迭代收缩阈值算法(fast iterative shrinkage threshold algorithm based on fast Fourier transform, FFT-FISTA)具有较高的计算效率,但其忽略点扩散函数的空间变化及卷绕误差,造成声源识别性能的损失,为此提出基于函数波束形成的改进FFT-FISTA算法。改进算法以函数波束形成输出作为FFT-FISTA算法的迭代输入,建立函数波束形成、声源分布及升幂空间转移不变点扩散函数的线性方程组,基于周期边界条件下的快速傅里叶变换进行迭代求解,使被运算的非周期函数变为一个周期函数,解决补零边界带来的波数泄漏问题,可提高运算准确性,进一步提升成像性能;通过指数运算锐化点扩散函数主瓣,拓展点扩散函数空间转移不变性假设的适用性。仿真和试验结果表明,相较于常规FFT-FISTA算法,改进算法能提升成像空间分辨率及动态范围,扩大FFT-FISTA算法的有效成像区域,压缩气体泄漏试验结果验证了改进算法的有效性。
基金Supported by the National Natural Science Foundation of China under Grant No 11604115the Educational Commission of Jiangsu Province of China under Grant No 17KJA460004the Huaian Science and Technology Funds under Grant No HAC201701
文摘The reflectometry is a common method used to measure the thickness of thin films. Using a conventional method,its measurable range is limited due to the low resolution of the current spectrometer embedded in the reflectometer.We present a simple method, using cubic spline interpolation to resample the spectrum with a high resolution,to extend the measurable transparent film thickness. A large measuring range up to 385 m in optical thickness is achieved with the commonly used system. The numerical calculation and experimental results demonstrate that using the FFT method combined with cubic spline interpolation resampling in reflectrometry, a simple,easy-to-operate, economic measuring system can be achieved with high measuring accuracy and replicability.
文摘A Fast Fourier transform approach has been presented by Carr & Madan (2009) on a single underlying asset. In this current research paper, we present fast Fourier transform algorithm for the valuation of Multi-asset Options under Economic Recession Induced Uncertainties. The issue of multi-dimension in both finite and infinite case of Options is part of the focus of this research. The notion of economic recession was incorporated. An intuition behind the introduction of recession induced volatility uncertainty is revealed by huge volatility variation during the period of economic recession compared to the period of recession-free. Nigeria economic recession outbreak in 2016 and its effects on the uncertainty of the payoffs of Nigeria Stocks Exchange (NSE) among other investments was among the motivating factors for proposing economic recession induced volatility in options pricing. The application of the proposed Fast Fourier Transform algorithm in handling multi-assets options was shown. A new result on options pricing was achieved and capable of yielding efficient option prices during and out of recession. Numerical results were presented on assets in 3-dimensions as an illustration taking Black Scholes prices as a bench mark for method effectiveness comparison. The key findings of this research paper among other crucial contributions could be seen in computational procedure of options valuation in multi-dimensions and uncertainties in options payoffs under the exposure of economic recession.
文摘An efficient and accurate numerical method, which is called the CONV method, was proposed by Lord et al in [1] to price Bermudan options. In this paper, this method is applied to price Bermudan barrier options in which the monitored dates may be many times more than the exercise dates. The corresponding algorithm is presented to practical option pricing. Numerical experiments show that this algorithm works very well for different exponential Lévy asset models.
