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Implementing Models in Quantitative Finance : Methods and Cases
This book puts numerical methods into action for the purpose of solving concrete problems arising in quantitative finance. Part one develops a comprehensive toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, transform-based methods and quadrature techniques. The content originates from class notes written for courses on numerical methods for finance and exotic derivative pricing held by the authors at Bocconi University since the year 2000. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and model calibration. It encompasses a wide variety of problems arising in markets for equity, interest rates, credit risk, energy and exotic derivatives.
Implementing machine learning for finance : A systematic approach to predictive risk and performance analysis for investment portfolios
Introduces pattern recognition and future price forecasting that exerts effects on time series analysis models, such as the Autoregressive Integrated Moving Average (ARIMA) model, Seasonal ARIMA (SARIMA) model, and Additive model, and it covers the Least Squares model and the Long Short-Term Memory (LSTM) model. It presents hidden pattern recognition and market regime prediction applying the Gaussian Hidden Markov Model. The book covers the practical application of the K-Means model in stock clustering. It establishes the practical application of the Variance-Covariance method and Simulation method (using Monte Carlo Simulation) for value at risk estimation. It also includes market direction classification using both the Logistic classifier and the Multilayer Perceptron classifier. Finally, the book presents performance and risk analysis for investment portfolios. You will: Understand the fundamentals of the financial market and algorithmic trading, as well as supervised and unsupervised learning models that are appropriate for systematic investment portfolio management / Know the concepts of feature engineering, data visualization, and hyperparameter optimization / Design, build, and test supervised and unsupervised ML and DL models / Discover seasonality, trends, and market regimes, simulating a change in the market and investment strategy problems and predicting market direction and prices / Structure and optimize an investment portfolio with preeminent asset classes and measure the / underlying risk
Implementation and Application of Automata ; Vol. 4094 ; 11th International Conference, CIAA 2006, Taipei, Taiwan, August 21-23, 2006, Proceedings
This book constitutes the refereed proceedings of the 11th International Conference on Implementation and Application of Automata, CIAA 2006, held in Taipei, Taiwan, in August 2006.
Implementation and application of automata ; 12th International Conference, CIAA 2007, Prague, Czech Republic, July 16-18, 2007, Revised Selected Papers
The 12th International Conference on Implementation and Application of - tomata CIAA 2007 washeld at the Czech Technical Universityin Prague,Czech Republic on July 16–18, 2007. These proceedings contain the papers that were presented at CIAA 2007, as well as the abstracts of the poster papers that were displayed during the conference.
Imagination and Rigor : Essays on Eduardo R. Caianiello's Scientific Heritage
The aim of this Volume of scientific essays is twofold. From one side, by remembering the scientific figure of Eduardo R. Caianiello, it aims at focusing his outstanding contributions - from theoretical physics to cybernetics - which after so many years still represent occasion of innovative paths to be fruitfully followed. It must be stressed the contribution that his interdisciplinary methodology can still be of great help in affording and solving present day complex problems. On the other side, it aims at pinpointing with the help of the scientists contributing to the Volume - some crucial problems in present day research in the fields of interest of Eduardo Caianiello and which are still among the main lines of investigation of some of the Istitutes founded by Eduardo (Istituto di Cibernetica del CNR, IIAS, etc).
Image Processing Using Pulse-Coupled Neural Networks
This is the first book to explain and demonstrate the tremendous ability of Pulse-Coupled Neural Networks (PCNNs) when applied to the field of image processing. PCNNs and their derivatives are biologically inspired models that are powerful tools for extracting texture, segments, and edges from images.
Image processing based on partial differential equations ; Proceedings of the International Conference on PDE-Based Image Processing and Related Inverse Problems, CMA, Oslo, August 8-12, 2005
The book contains twenty-two original scienti?c research articles that address the state-of-the-art in using partial di?erential equations for image and signal processing. The articles arose from presentations given at the inter- tional conference on PDE-Based Image Processing and Related Inverse Pr- lems, held at the Centre of Mathematics for Applications, University of Oslo, Norway, August 8-12, 2005.
III European Conference on computational mechanics : Solids, structures and coupled problems in engineering : Book of abstracts
Computational Mechanics in Solid, Structures and Coupled Problems in Engineering is today a mature science with applications to major industrial projects. This book contains the edited version of the Abstracts of Plenary and Keynote Lectures and Papers, and a companion CD-ROM with the full-length papers, presented at the III European Conference on Computational Mechanics: Solids, Structures and Coupled Problems in Engineering (ECCM-2006), The book reflects the state-of-art of Computation Mechanics in Solids, Structures and Coupled Problems in Engineering and it includes contributions by the world most active researchers in this field.
Hyperparameter tuning for machine and deep learning with R : A practical guide
Equips readers with the ability to achieve better results with significantly less time, costs, effort and resources using the methods described here. The case studies presented in this book can be run on a regular desktop or notebook computer. The content focuses on the hyperparameter tuning of ML and DL algorithms, and is divided into two main parts: theory (Part I) and application (Part II). Essential topics covered include: a survey of important model parameters; four parameter tuning studies and one extensive global parameter tuning study; statistical analysis of the performance of ML and DL methods based on severity; and a new, consensus-ranking-based way to aggregate and analyze results from multiple algorithms.
Hydrological modelling and the water cycle : Coupling the atmospheric and hydrological models
This collected work reports on the state of the art of hydrological model simulation, as well as the methods for satellite-based rainfall estimation. Mainly addressed to scientists and researchers, the contributions have the structure of a standard paper appearing in most cited hydrological, atmospheric and climate journals. Several already-known hydrological models and a few novel ones are presented, as well as the satellite-based precipitation techniques. As the field of hydrologic modeling is experiencing rapid development and transition to application of distributed models, many challenges including overcoming the requirements of compatible observations of inputs and outputs are addressed.
Hydrogen materials science and chemistry of carbon nanomaterials ; Proceedings of the NATO Advanced Research Workshop on Hydrogen Materials Science an Chemistry of Carbon Nanomaterials, Sudak, Crimea, Ukraine, September 14-20, 2003
presentation and discussion of the most recent research on transition to hydrogen-based energy systems, technologies for hydrogen production, storage, utilization, materials, energy and environmental problems. The aim of the volume is to provide an overview of the latest scientific results on research and development in the different topics cited above.
Hybrid Intelligent Systems : Analysis and Design
The objective of this edited volume is to offer a general view at the recent conceptual developments of Soft Computing (SC) regarded as a general methodology supporting the design of hybrid systems along with their diversified applications to modeling, simulation and control of non-linear dynamical systems. As of now, SC methodologies embrace neural networks, fuzzy logic, genetic algorithms and chaos theory. Each of these methodologies exhibits well delineated advantages and disadvantages. Interestingly, they have been found useful in solving a broad range of problems. However, many real-world complex problems require a prudent, carefully orchestrated integration of several of these methodologies to fully achieve the required efficiency, accuracy, and interpretability of the solutions. In this edited volume, an overview of SC methodologies, and their applications to modeling, simulation and control, will be given in an introductory paper by the Editors. Then, detailed methods for integrating the different SC methodologies in solving real-world problems will be given in the papers by the other authors in the book. The edited volume will cover a wide spectrum of applications including areas such as: robotic dynamic systems, non-linear plants, manufacturing systems, and time series prediction.
Human origins and environmental backgrounds
Human Origins and Environmental Backgrounds is a benchmark compendium of research that presents itself at a major paradigm shift in paleoanthropology. The editors offer a variety of theoretical approaches to puzzles on the place of the Hominidae, particularly Homo sapiens, among the Primates, including our unique bipedal positional behavior and social structure and the selective factors that might have been involved in our evolution in the broad context of Miocene and later environments. The contributors represent several generations of pioneering laboratory and field researchers from Japan, France and the United States, who have worked together over the past 40 years and who have trained future leaders in evolutionary anthropology and experimental primatology. This volume, compiled by the leading experts in the field, explores the interface between hominid origins and palaeoenvironments.
Human interface and the management of information : Methods, techniques and tools in information design ; Symposium on human interface 2007, Held as Part of HCI International 2007, Beijing, China, July 22-27, 2007, Proceedings, Part I
The 12th International Conference on Human-Computer Interaction, HCI Inter- tional 2007, was held in Beijing, P.R. This volume, edited by Michael J. Smith and Gavriel Salvendy, contains papers in the thematic area of Human Interface and the Management of Information, addressing the following major topics: • Design and Evaluation Methods and Techniques • Visualizing Information • Retrieval, Searching, Browsing and Navigation • Development Methods and Techniques • Advanced Interaction Technologies and Techniques.
Human Creation Between Reality and Illusion
Identifying quickly illusion with deception, we tend to oppose it to the reality of life. However, investigating in this collection of essays illusion's functions in the Arts, which thrives upon illusion and yet maintains its existential roots and meaningfullness in the real, we might wonder about the nature of reality itself.
Holonic and multi-agent systems for manufacturing ; 3rd International Conference on industrial applications of holonic and multi-agent systems, HoloMAS 2007, Regensburg, Germany, September 3-5, 2007, Proceedings
The research of holonic and agent-based systems is developing rapidly, as is the community around this R&D topic. Despite the fact that real-life practical implementations of such systems remain surprisingly rare, the leaders in different branches of industry feel that the holonic and agent-based systems represent the only way to manage and control very complex, highly distributed systems in the future.
Hilbert-Huang Transform Analysis Of Hydrological And Environmental Time Series
The Hilbert-Huang Transform ((HHT) is a recently developed technique which is used to analyze nonstationary data. Hydrologic and environmental series are, in the main, analyzed by using techniques which were developed for stationary data. This has led to problems of interpretation of the results. Environmental and hydrologic series are quite often nonstationary. The basic objective of the material discussed in this book is to analyze these data by using methods based on the Hilbert-Huang transform. These results are compared to the results from the traditional methods such as those based on Fourier transform and other classical statistical tests.
High-Performance Modelling and Simulation for Big Data Applications: Selected Results of the COST Action IC1406 cHiPSet
This book is the final compendium of case studies emanated from “High-Performance Modelling and Simulation for Big Data Applications” (cHiPSet).cHiPSet has created a sustainable reference network linking applied research in High Performance Computing (HPC) and Modelling & Simulation to tangibly address Big Data challenges.cHiPSet has also endeavoured to use and exploit results through Open Science practices, i.e., open access publication, open access to data repositories, and open-source software development. A testament to this philosophy, this compendium is set to become a required reference for the fast-changing fields of HPC, Big Data, and Modelling & Simulation.
High-Performance Computing ; 6th International Symposium, ISHPC 2005, Nara, Japan, September 7-9, 2005, First International Workshop on Advanced Low Power Systems, ALPS 2006, Revised Selected Papers
This is the joint post-proceedings of the 6th International Symposium on High Performance Computing (ISHPC-VI) and the First International Workshop on Advanced Low Power Systems 2006 (ALPS2006). The post-proceedings also contain the papers presented at the Second HPF International Workshop: - periences and Progress (HiWEP2005) and the Workshop on Applications for PetaFLOPS Computing (APC2005), which are workshops of ISHPC-VI. ISHPC-VI, HiWEP2005 and APC2005 were held in Nara, Japan during September 7–9, 2005. Fifty-eight papers from 11 countries were submitted to ISHPC-VI. After the reviews of the submitted papers, the ISHPC-VI Program Committee selected 15 regular (12-page) papers for oral presentation. In ad- tion, several other papers with favorable reviews were recommended for poster presentation, and 14 short (8-page) papers were also selected.
High-Linearity CMOS RF Front-End Circuits
High-Linearity CMOS RF Front-End Circuits presents some unique techniques to enhance the linearity of both the receiver and transmitter. For example, using harmonic cancellation techniques, the linearity of the receiver front-end can be increased by few tens of dB with only minimal impact on the other circuit parameters. The new parallel class A&B power amplifier can not only increase the transmitter's output power in the linear range, but can also result in significant savings in power consumption. High-Linearity CMOS RF Front-End Circuits can be used as a textbook for graduate courses in RF CMOS design and will also be useful as a reference for the practicing engineer.
