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Pricing Swaptions within the Affine Framework

Related publications (47)

Lightning Location Systems and Interstroke Intervals: Effects of Imperfect Detection Efficiency

Marcos Rubinstein, Mohammad Azadifar, Mirjana Stojilovic

Lightning location systems (LLSs) are often used to obtain parameters of lightning flashes. However, the imperfect detection efficiency (DE) of these systems affects the accuracy of the results. In this paper, we focus on the effects of the imperfect DE on ...
Ieee2016

Impact of synchrophasor measurement types and uncertainties on the accuracy of distribution system linear state estimators

Mario Paolone, Lorenzo Zanni, Daniele Colangelo

The paper aims at assessing the effects of combined voltage and/or current synchrophasor measurements, and their associated uncertainties, on the accuracy of state estimators adopted in distribution systems. Such an assessment is first carried out with res ...
IEEE2015

Mass distributions marginalized over per-event errors

Frédéric Guillaume Dupertuis

We present generalizations of the Crystal Ball function to describe mass peaks in which the per event mass resolution is unknown and marginalized over. The presented probability density functions are tested using a series of toy Monte Carlo samples generat ...
Elsevier Science Bv2014

On the probability distribution of distributed optimization strategies

Ali H. Sayed

We study the steady-state probability distribution of diffusion and consensus strategies that employ constant step-sizes to enable continuous adaptation and learning. We show that, in the small step-size regime, the estimation error at each agent approache ...
IEEE2013

Message-Passing Algorithms: Reparameterizations and Splittings

Nicholas Ruozzi

The max-product algorithm, a local message-passing scheme that attempts to compute the most probable assignment (MAP) of a given probability distribution, has been successfully employed as a method of approximate inference for applications arising in codin ...
Ieee-Inst Electrical Electronics Engineers Inc2013

Self-consistent continuum solvation (SCCS): The case of charged systems

Nicola Marzari, Oliviero Andreussi

The recently developed self-consistent continuum solvation model (SCCS) [O. Andreussi, I. Dabo, and N. Marzari, J. Chem. Phys. 136, 064102 (2012)] is applied here to charged species in aqueous solutions. Describing ions in solution represents a great chall ...
Amer Inst Physics2013

Quantum fluctuations of one-dimensional free fermions and Fisher-Hartwig formula for Toeplitz determinants

We revisit the problem of finding the probability distribution of a fermionic number of one-dimensional spinless free fermions on a segment of a given length. The generating function for this probability distribution can be expressed as a determinant of a ...
2011

Probability distribution of steady-state errors and adaptation over networks

Ali H. Sayed

In this work, we derive a near-optimal combination rule for adaptation over networks. To do so, we first establish a useful result pertaining to the steady-state distribution of the estimator of an LMS filter. Specifically, under small step-sizes and some ...
IEEE2011

Fragmentation and the Bose-glass phase transition of the disordered one-dimensional Bose gas

Vincenzo Savona, Luca Fontanesi

We investigate the superfluid-insulator quantum phase transition in a disordered one-dimensional Bose gas in the mean-field limit by studying the probability distribution of the density. The superfluid phase is characterized by a vanishing probability to h ...
2011

Doubly Stochastic CDO Term Structures

Damir Filipovic

This paper provides a general framework for doubly stochastic term structure models for portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the und ...
Birkhauser Boston, C/O Springer-Verlag, Service Center, 44 Hartz Way, Secaucus, Nj 07096-2491 Usa2011

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