Quanto options allow the buyer to exchange the foreign currency payoff into the domestic currency at a fixed exchange rate. We investigate quanto options with multiple underlying assets valued in different foreign cur...Quanto options allow the buyer to exchange the foreign currency payoff into the domestic currency at a fixed exchange rate. We investigate quanto options with multiple underlying assets valued in different foreign currencies each with a different strike price in the payoff function. We carry out a comparative performance analysis of different stochastic volatility (SV), stochastic correlation (SC), and stochastic exchange rate (SER) models to determine the best combination of these models for Monte Carlo (MC) simulation pricing. In addition, we test the performance of all model variants with constant correlation as a benchmark. We find that a combination of GARCH-Jump SV, Weibull SC, and Ornstein Uhlenbeck (OU) SER performs best. In addition, we analyze different discretization schemes and their results. In our simulations, the Milstein scheme yields the best balance between execution times and lower standard deviations of price estimates. Furthermore, we find that incorporating mean reversion into stochastic correlation and stochastic FX rate modeling is beneficial for MC simulation pricing. We improve the accuracy of our simulations by implementing antithetic variates variance reduction. Finally, we derive the correlation risk parameters Cora and Gora in our framework so that correlation hedging of quanto options can be performed.展开更多
The simultaneous increase in development in Pesawaran Regency is closely correlated with the intense competi-tion for land use.However,low policy implementation effectiveness has led to construction beyond designated ...The simultaneous increase in development in Pesawaran Regency is closely correlated with the intense competi-tion for land use.However,low policy implementation effectiveness has led to construction beyond designated spatial plan.The study used a quantitative survey using Landsat images in 2016,2019,and 2022.The data analysis techniques used geographic information systems integrated with Artificial Neural Network(ANN)and Cellular Automata(CA)models.This study aims to predict land-use change in 2031,evaluate its alignment with spatial planning,and provide guidance for controlling land-use change.The results showed that there has been an increase in land use.In 2019,built-up land reached 7,069.65 Ha.The model shows its ability to predict land simulation and transformation,where it is predicted that built-up land in 2031 will experience an increase of up to 40.10%,so development and change cannot be avoided every year.This study also suggests that decision-makers and local governments should reconsider spatial planning strategies.This study shows that there have been many land use changes from 2016 to 2022.The model shows its ability to predict simulation and land transformation.When using the model,there are many changes in the land use area in 2031.This is due to wet agricultural land turning into built-up land by almost 70%.This study shows that road network influence land-use change.The cellular automata model managed to capture the complexity with simple rules.Predictions for future research should focus on conserving wetlands and primary forests.展开更多
The test of Prentice [1] is a non-parametric statistical test for the two-way analysis of variance using ranks. The null distribution of this test typically is approximated using the Chi-square distribution. However, ...The test of Prentice [1] is a non-parametric statistical test for the two-way analysis of variance using ranks. The null distribution of this test typically is approximated using the Chi-square distribution. However, the exact null distribution deviates from the Chi-square approximation in certain cases commonly found in applications of the test, motivating adjustments to the distribution. This manuscript presents adjustments to this null distribution correcting for continuity, multivariate skewness, and multivariate kurtosis. The effects of alternative scoring methods as non-polynomial functions of rank sums are also presented as a broader application of the approximation.展开更多
In this paper,the boundary stabilization problem of an axially moving tape system is considered.The tape moves between two sets of rollers,where the right roller is fixed and the left roller,with its mass taken into a...In this paper,the boundary stabilization problem of an axially moving tape system is considered.The tape moves between two sets of rollers,where the right roller is fixed and the left roller,with its mass taken into account,is free to move,rotate,and subject to external disturbances.The active disturbance rejection control approach is adopted in the investigation.First,extended state observers are designed to estimate the disturbances,and then,feedback controllers are proposed to cancel the effect of the disturbances.The well-posedness of the closed-loop system is proved by the semigroup theory.Furthermore,the exponential stability is achieved by constructing a suitable Lyapunov function.Finally,numerical simulations are given to support these results.展开更多
This paper deals with the global existence,asymptotic property and lifespan of solutions to the Cauchy problems for a class of nonlinear Schrodinger equation.
In this paper the low pass filter is discussed in the noisy case. And a regularized low pass filter is presented. The convergence property of the regularized low pass filtering algorithm is proved in theory and tested...In this paper the low pass filter is discussed in the noisy case. And a regularized low pass filter is presented. The convergence property of the regularized low pass filtering algorithm is proved in theory and tested by numerical results.展开更多
In the pedestrian detection scenario,the detection algorithm usually misses obscured and distant fuzzy pedestrians,and at the same time cannot take into account the detection accuracy and speed.In this paper,we propos...In the pedestrian detection scenario,the detection algorithm usually misses obscured and distant fuzzy pedestrians,and at the same time cannot take into account the detection accuracy and speed.In this paper,we propose a modified YOLOv5 model for pedestrian detection.Firstly,the backbone network uses the SPD-GCONV module constructed by the combination of SPD(Space-to-Depth)module and Ghost convolution for down-sampling to reduce the loss of fine-grained feature information.Secondly,the multi-scale detection ability of the model is enhanced by adding a small size detection layer.Then,the original CIoU loss function is replaced by α-EloU loss function to improve the accuracy of pedestrian target location.According to the experiments on WiderPerson data set,the average detection accuracy is improved by 2%compared with other pedestrian detection algorithms on the premise of ensuring the detection speed.Experimental results show that the improved algorithm can significantly improve the detection performance.展开更多
For ill-posed bilevel programming problem,the optimistic solution is always the best decision for the upper level but it is not always the best choice for both levels if the authors consider the model's satisfacto...For ill-posed bilevel programming problem,the optimistic solution is always the best decision for the upper level but it is not always the best choice for both levels if the authors consider the model's satisfactory degree in application.To acquire a more satisfying solution than the optimistic one to realize the two levels' most profits,this paper considers both levels' satisfactory degree and constructs a minimization problem of the two objective functions by weighted summation.Then,using the duality gap of the lower level as the penalty function,the authors transfer these two levels problem to a single one and propose a corresponding algorithm.Finally,the authors give an example to show a more satisfying solution than the optimistic solution can be achieved by this algorithm.展开更多
The fractional derivatives in the sense of Caputo, and the homotopy perturbation method are used to construct the approximate solutions for nonlinear variant Boussinesq equations with respect to time fractional deriva...The fractional derivatives in the sense of Caputo, and the homotopy perturbation method are used to construct the approximate solutions for nonlinear variant Boussinesq equations with respect to time fractional derivative. This method is efficient and powerful in solving wide classes of nonlinear evolution fractional order equations.展开更多
文摘Quanto options allow the buyer to exchange the foreign currency payoff into the domestic currency at a fixed exchange rate. We investigate quanto options with multiple underlying assets valued in different foreign currencies each with a different strike price in the payoff function. We carry out a comparative performance analysis of different stochastic volatility (SV), stochastic correlation (SC), and stochastic exchange rate (SER) models to determine the best combination of these models for Monte Carlo (MC) simulation pricing. In addition, we test the performance of all model variants with constant correlation as a benchmark. We find that a combination of GARCH-Jump SV, Weibull SC, and Ornstein Uhlenbeck (OU) SER performs best. In addition, we analyze different discretization schemes and their results. In our simulations, the Milstein scheme yields the best balance between execution times and lower standard deviations of price estimates. Furthermore, we find that incorporating mean reversion into stochastic correlation and stochastic FX rate modeling is beneficial for MC simulation pricing. We improve the accuracy of our simulations by implementing antithetic variates variance reduction. Finally, we derive the correlation risk parameters Cora and Gora in our framework so that correlation hedging of quanto options can be performed.
基金supported by the Ministry of Education,Culture,Research,and Technology Directorate General of Higher Education,Research,and Technology grant number[2147/UN2621/PN/2022].
文摘The simultaneous increase in development in Pesawaran Regency is closely correlated with the intense competi-tion for land use.However,low policy implementation effectiveness has led to construction beyond designated spatial plan.The study used a quantitative survey using Landsat images in 2016,2019,and 2022.The data analysis techniques used geographic information systems integrated with Artificial Neural Network(ANN)and Cellular Automata(CA)models.This study aims to predict land-use change in 2031,evaluate its alignment with spatial planning,and provide guidance for controlling land-use change.The results showed that there has been an increase in land use.In 2019,built-up land reached 7,069.65 Ha.The model shows its ability to predict land simulation and transformation,where it is predicted that built-up land in 2031 will experience an increase of up to 40.10%,so development and change cannot be avoided every year.This study also suggests that decision-makers and local governments should reconsider spatial planning strategies.This study shows that there have been many land use changes from 2016 to 2022.The model shows its ability to predict simulation and land transformation.When using the model,there are many changes in the land use area in 2031.This is due to wet agricultural land turning into built-up land by almost 70%.This study shows that road network influence land-use change.The cellular automata model managed to capture the complexity with simple rules.Predictions for future research should focus on conserving wetlands and primary forests.
文摘The test of Prentice [1] is a non-parametric statistical test for the two-way analysis of variance using ranks. The null distribution of this test typically is approximated using the Chi-square distribution. However, the exact null distribution deviates from the Chi-square approximation in certain cases commonly found in applications of the test, motivating adjustments to the distribution. This manuscript presents adjustments to this null distribution correcting for continuity, multivariate skewness, and multivariate kurtosis. The effects of alternative scoring methods as non-polynomial functions of rank sums are also presented as a broader application of the approximation.
文摘In this paper,the boundary stabilization problem of an axially moving tape system is considered.The tape moves between two sets of rollers,where the right roller is fixed and the left roller,with its mass taken into account,is free to move,rotate,and subject to external disturbances.The active disturbance rejection control approach is adopted in the investigation.First,extended state observers are designed to estimate the disturbances,and then,feedback controllers are proposed to cancel the effect of the disturbances.The well-posedness of the closed-loop system is proved by the semigroup theory.Furthermore,the exponential stability is achieved by constructing a suitable Lyapunov function.Finally,numerical simulations are given to support these results.
文摘This paper deals with the global existence,asymptotic property and lifespan of solutions to the Cauchy problems for a class of nonlinear Schrodinger equation.
文摘In this paper the low pass filter is discussed in the noisy case. And a regularized low pass filter is presented. The convergence property of the regularized low pass filtering algorithm is proved in theory and tested by numerical results.
文摘In the pedestrian detection scenario,the detection algorithm usually misses obscured and distant fuzzy pedestrians,and at the same time cannot take into account the detection accuracy and speed.In this paper,we propose a modified YOLOv5 model for pedestrian detection.Firstly,the backbone network uses the SPD-GCONV module constructed by the combination of SPD(Space-to-Depth)module and Ghost convolution for down-sampling to reduce the loss of fine-grained feature information.Secondly,the multi-scale detection ability of the model is enhanced by adding a small size detection layer.Then,the original CIoU loss function is replaced by α-EloU loss function to improve the accuracy of pedestrian target location.According to the experiments on WiderPerson data set,the average detection accuracy is improved by 2%compared with other pedestrian detection algorithms on the premise of ensuring the detection speed.Experimental results show that the improved algorithm can significantly improve the detection performance.
基金supported by the National Science Foundation of China under Grant No.71171150the National Natural Science Foundation of ChinaTian Yuan Foundation under Grant No.11226226
文摘For ill-posed bilevel programming problem,the optimistic solution is always the best decision for the upper level but it is not always the best choice for both levels if the authors consider the model's satisfactory degree in application.To acquire a more satisfying solution than the optimistic one to realize the two levels' most profits,this paper considers both levels' satisfactory degree and constructs a minimization problem of the two objective functions by weighted summation.Then,using the duality gap of the lower level as the penalty function,the authors transfer these two levels problem to a single one and propose a corresponding algorithm.Finally,the authors give an example to show a more satisfying solution than the optimistic solution can be achieved by this algorithm.
文摘The fractional derivatives in the sense of Caputo, and the homotopy perturbation method are used to construct the approximate solutions for nonlinear variant Boussinesq equations with respect to time fractional derivative. This method is efficient and powerful in solving wide classes of nonlinear evolution fractional order equations.
