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The aim of this note is to show that the classical results in finance theory for pricing of derivatives, given by making use of the replication principle, can be extended to the noncommutative world. We believe that this could be of interest in quantum pro ...
This project presents the theoretical background in electrophysiology that is used as a basis in the development of numerical methods for the simulation of heart’s electrical activity. We discuss the mathematical models currently used in cardiac electrophy ...
I present a tractable framework, first developed in Trolle and Schwartz (2009), for pricing energy derivatives in the presence of unspanned stochastic volatility. Among the model features are i) a perfect fit to the initial futures term structure, ii) a fa ...
We provide a mathematical analysis of and a numerical framework for full-field optical coherence elastography, which has unique features including micron-scale resolution, realtime processing, and noninvasive imaging. We develop a novel algorithm for trans ...
Society for Industrial and Applied Mathematics2015
A constrained informationally efficient market is defined as one in which the price process arises as the outcome of some equilibrium where agents face restrictions on trade. This paper investigates the case of short sale constraints, a setting which, desp ...
Gestalt psychology is often criticized as lacking quantitative measurements and precise mathematical models. While this is true of the early Gestalt school, today there are many quantitative approaches in Gestalt perception and the special issue of Vision ...
This paper presents an educational framework based on the Lego Mindstorms NXT robotic platform used to outline both the theoretical and practical aspects of the Model Predictive Control theory. The case of a two-wheeled inverted pendulum is considered as a ...
Ultrasound imaging is a technique widely used in medicine to visualize organs and other body structures, capturing their position, size, morphology and any pathological lesions. Its use is unfortunately limited to specialized centers with trained personnel ...
When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has consequences for arbitrage ...
Crowdsensing applications are increasing at a tremendous rate. In crowdsensing, mobile sensors (humans, vehicle-mounted sensors, etc.) generate streams of information that is used for inferring high-level phenomena of interest (e.g, traffic jams, air pollu ...
