Miracle-dz/UniFAR-FTUs huggingface dataset:
The Multivariate Variance Gamma Process and Its Applications in Multi-asset Option Pricing

Title of dissertation: The Multivariate Variance Gamma Process and Its Applications in Multi-asset Option Pricing Jun Wang, Doctor of Philosophy, 2009 Dissertation directed by: Professor Dilip B. Madan Department of Finance Dependence modeling plays a critical role in pricing and hedging multi-asset derivatives and managing risks with a portfolio of assets. With the emerge of structured products, it has attracted considerable interest in using multivariate Lévy processes to model the joint dynamics of multiple financial assets. The traditional multidimensional extension assumes a common time change for each marginal process, which implies limited dependence structure and similar kurtosis on each margin. In this thesis, we introduce a new multivariate variance gamma process which allows arbitrary marginal variance gamma (VG) processes with flexible dependence structure. Compared with other multivariate Lévy processes recently proposed in the literature, this model has several advantages when applied to financial modeling. First, the multivariate process built with any marginal VG process is easy to simulate and estimate. Second, it has a closed form joint characteristic function which largely simplifies the computation problem of pricing multi-asset options. Last, it can be applied to other time changed Lévy processes such as normal inverse gaussian (NIG) process. To test whether the multivariate variance gamma model fits the joint distribution of financial returns, we compare the model performance of explaining the portfolio returns with other popular models and we also develop Fast Fourier Transform (FFT)-based methods in pricing multi-asset options such as exchange options, basket options and cross-currency foreign exchange options. THE MULTIVARIATE VARIANCE GAMMA PROCESS AND ITS APPLICATIONS IN MULTI-ASSET OPTION PRICING
Audio Bandwidth Extension Based on Ensemble Echo State Networks with Temporal Evolution

The bandwidth limitation of wideband audio systems degrades the subjective quality and naturalness of audio signals. In this paper, a new method for blind bandwidth extension of wideband audio signals is proposed based on ensemble echo state network with temporal evolution. The high-frequency components in the band of 7 ~14 kHz are artificially restored only from the information in the wideband audio. For each region in the wideband feature space, a specific echo state network with recurrent structure is explored to dynamically model the local mapping relationship between wideband audio features and high-frequency spectral envelope. The transition process among regions is modeled by a hidden Markov model, and a network ensemble technique based on temporal evolution is used to fuse multiple echo state networks such that the high-frequency spectral envelope is estimated. Combining the high-frequency fine spectrum extended by spectral translation, the proposed method can effectively extend the wideband audio to super wideband. In addition, the proposed extension method is applied to the ITU-T G.729. 1 wideband audio codec and is further evaluated in comparison with the ITU-T G.729. 1 Annex E super-wideband audio codec and the hidden Markov model-based reference bandwidth extension method. Objective quality evaluation results indicate that the proposed method is preferred over the hidden Markov model-based reference bandwidth extension method in terms of log spectral distortion, cosh measure, and differential log spectral distortion. Further, the proposed method improves the auditory quality of the wideband audio and also gains a good performance in the subjective listening tests.
Tamil NER - Coping with Real Time Challenges

This paper describes various challenges encountered while developing an automatic Named Entity Recognition (NER) using Conditional Random Fields (CRFs) for Tamil. We also discuss how we have overcome some of these challenges. Though most of the challenges in NER discussed here are common to many Indian languages, in this work the focus is on Tamil, a South Indian language belonging to Dravidian language family. The corpus used in this work is the web data. The web data consisted of news paper articles, articles on blog sites and other online web portals.
Bright optical day-side emission from extrasolar planet CoRoT-2b

We present our analysis of the red-channel CoRoT data of extrasolar planet CoRoT-2b. A deep secondary eclipse is detected at a level of 1.02 ±0.20 ×10 −4 , which suggests that all of the planet-signal detected previously in white light by Alonso et al. (2009, A&A, 501, L23) originates from the red channel. CoRoT-2b is the coolest exoplanet that has been detected in the optical so far. In contrast to the other planets, its measured brightness temperature of 2170 ± 55 K is significantly higher than its maximum hemisphere-averaged effective day-side temperature. However, it is not expected that a hot Jupiter radiates as a black body, and its thermal spectrum can deviate significantly from a Planck curve. We present models of the planet/star flux ratio as function of wavelength, which are calculated for a T/P profile in radiative and hydrostatic equilibrium, using a self-consistent atmosphere code. These are compared with the CoRoT detection, and with measurements at 4.5 and 8 μm from the Spitzer Space Telescope from Gillon et al. (2010, A&A, 511, A3). We estimate that reflected light contributes only at a 10−20% level to the total optical eclipse depth. The models allow for an “extra absorber” to be inserted at high altitude in the planet’s atmosphere. This produces a thermal inversion layer, recently invoked to explain the photometric reversals and flux enhancements seen in some planets in the infrared. In the 0.5−1.5 μm wavelength range, the model-spectra of planets with an extra absorber at high altitude, are relatively suppressed in flux compared to those without such absorber. We therefore argue that, in contrast to the other exoplanets detected in the optical so far, CoRoT-2b may not exhibit a significant thermal inversion in its atmosphere, causing its optical brightness temperature to be boosted above its maximum effective day-side temperature.
1 Breaking the F 5 Algorithm : An Improved Approach

In this paper, we present an improved approach to the “breaking the F5 algorithm”. The key idea is to search for an “optimal” value of β (the probability that a non-zero AC coefficient will be modified) for the image under consideration. Rather than averaging the values of β for 64 shifting steps worked on an image, an optimal β is determined that corresponds to the shift having minimal distance E from the double compression removal step. Numerical experiments were carried out to validate the proposed improved algorithm, and compare it against the original one, using two sets of test images. The first set uses reference benchmark test data of 20 grayscale images used by the original algorithm, and the second uses 432 images created by manipulating 12 images for various image parameters. Test results show that the proposed algorithm yields ‘better’ less average absolute error values for β and secret message length than the original algorithm; this is particularly valid for stego images with actual β values larger than 0.05. We suggest that the original algorithm may be used as a classifier, since it shows a good detection performance of both clean and stego test images; whereas, the proposed algorithm may be used as an improved estimator for the true message length for those images that have been classified by original algorithm as stego images.
What Do I Want and When Do I Want It: Brain Correlates of Decisions Made for Self and Other

A number of recent functional Magnetic Resonance Imaging (fMRI) studies on intertemporal choice behavior have demonstrated that so-called emotion- and reward-related brain areas are preferentially activated by decisions involving immediately available (but smaller) rewards as compared to (larger) delayed rewards. This pattern of activation was not seen, however, when intertemporal choices were made for another (unknown) individual, which speaks to that activation having been triggered by self-relatedness. In the present fMRI study, we investigated the brain correlates of individuals who passively observed intertemporal choices being made either for themselves or for an unknown person. We found higher activation within the ventral striatum, medial prefrontal and orbitofrontal cortex, pregenual anterior cingulate cortex, and posterior cingulate cortex when an immediate reward was possible for the observer herself, which is in line with findings from studies in which individuals actively chose immediately available rewards. Additionally, activation in the dorsal anterior cingulate cortex, posterior cingulate cortex, and precuneus was higher for choices that included immediate options than for choices that offered only delayed options, irrespective of who was to be the beneficiary. These results indicate that (1) the activations found in active intertemporal decision making are also present when the same decisions are merely observed, thus supporting the assumption that a robust brain network is engaged in immediate gratification; and (2) with immediate rewards, certain brain areas are activated irrespective of whether the observer or another person is the beneficiary of a decision, suggesting that immediacy plays a more general role for neural activation. An explorative analysis of participants’ brain activation corresponding to chosen rewards, further indicates that activation in the aforementioned brain areas depends on the mere presence, availability, or actual reception of immediate rewards.
Spectacularizing the homosexual body: the secret rendezvous among global gay media, local straight women, and the media industry in South Korea

This dissertation explores the relationship among global gay media, local straight women, and the media industry in relation to the current popularity of gay popular culture in South Korea. While the homosexual body in Korea is currently pervasive in popular media, negative attitudes toward homosexuals are also common. Despite media attention to this discrepancy between the appearance and reality of gay visibility in popular culture, there has been little scholarly interest to date. I seek to provide a fundamental explanation of the popularity of same-sex themed films in Korea, whilst exploring and delineating relationships among the transnational flow of cultural artifacts (gay mediated texts), local audiences (young Korean women), and the local media industry (Korean film corporations), the result being the spectacularization of the homosexual body. The popular visual cultures of homosexuality are eagerly consumed by young women, but the lives of gay people remain largely unknown. In the first chapter of my dissertation, I historicize the consumption of global gay media by young women, predominantly from Japan and the United States, and the production of their own online/offline gay texts, such as Yaoi or fanfic. In the second chapter, I examine the current status of women in Korean society as they enter their 20s and 30s and become increasingly influential in the public sphere, both as citizens and consumers. In the third chapter, I investigate the processes by which globalized media corporations commercially co-opt gay culture for consumption by young women. In the fourth chapter, I analyze an assemblage of gay film images and narratives, reflecting on the marketing strategies employed by producers of same-sex content to illustrate the issues underlying representations of the homosexual body. Each chapter includes interviews conducted with fanfic writers/readers, young women, producers and marketers of same-sex cultural texts, and Korean male homosexuals. I hope to make a strong academic contribution in several areas. First, my work revisits the relationship between the global and the local. Second, through actually meeting with and listening to them, I explore the positioning of postfeminist women as global prosumers in a neoliberal age. Third, my research examines youth digital subculture and the cultural industry in the digital era by exploring the commercialization of young people’s exploitation of digital media technology. Finally, this dissertation contributes to providing an opportunity for Korean homosexuals to voice concerns about their visibility.
Performance Evaluation of ETSI GeoNetworking for Vehicular Ad Hoc Networks

The GeoNetworking protocol provides single-hop and multi-hop communication in vehicular ad hoc networks based on IEEE 802.11p/ITS-G5. It has been standardized by the ETSI Technical Committee ITS as part of its Release 1 set of specifications and is expected to be deployed in the next years. This paper presents a performance evaluation of the GeoNetworking protocol in its recently published version. Our study assesses the performance of the broadcast forwarding algorithms for multi-hop packet transport that are used to disseminate information in geographical areas for road safety and traffic efficiency applications. From the algorithms specification in the standard, we derive six variants with different combinations of protocol mechanisms with increasing complexity and assess their performance in terms of reliability, latency, and overhead. The algorithms are evaluated in a reference freeway scenario with bidirectional road traffic and a realistic trace-based mobility model with varying vehicle density. The obtained results indicate that the combination of contention-based and greedy forwarding shows the best overall performance; further functional improvements have a limited performance gain in the studied scenario.
Predicting Bank Failure in Nigeria Using Survival Analysis Approach

After the global economy recession of 2008/2009, where many international corporation and financial institutions needed a bail out by government to remain in business, many of the banks operating in Nigeria were found to be distressed. Many of the banks have high ratio of portfolio at risk and are gradually unable to meet payment obligations to both depositors and creditors as they fall due, hence, bank distress was inevitable. Bank distress is not a new phenomenon in Nigeria. The first bank distress was recorded in 1930 when the first indigenous bank, Commercial and Industrial Bank established in 1929 went into liquidation with total deposit liabilities of 23,000 British pound sterling. Bad management, lack of trained manpower, inadequate working capital, poor record keeping and accounting system are among the factors that led to its liquidation. More than Eighty years after, those factors still remain major issues facing the banking industry in Nigeria today. A study carried out by the World bank in 1989 on Nigerian Banks identified poor lending; Abstract
COST STRUCTURE OF THE INTERCITY BUS INDUSTRY

The study described estimates a multiple output cost function for the production of intercity bus-mile data. Of the primary results, the first is that the marginal costs of all services are not identical where the general ranking from lowest to highest marginal cost is--school, regular-route, charter, and local routes. The second conclusion is that scale economies in the production of intercity bus-miles are exhausted at an output level which is a small fraction of total industry output. It was also concluded that economic efficiency offers some grounds for government intervention in the industry in order to co-ordinate services among companies although not necessarily to regulate entry and prices. (Author/TRRL)
Simulation and analysis of buying behavior in supermarkets

Future supermarkets will provide instrumented shopping carts, shelves and products so that large amounts of event data of customer's actions inside the store will be recorded. Special data mining algorithms will be necessary for analyzing this data effectively. At present, respective event data is not available. In order to create test data sets for developing, implementing and testing respective data mining algorithms presently, a simulation of buying behavior in supermarkets is currently being developed by the authors. It will be used to investigate tailored data mining methods.
Effects of Attention on what is known and what is not: MEG Evidence for Functionally Discrete Memory Circuits

Recent results obtained with a neural-network model of the language cortex suggest that the memory circuits developing for words are both distributed and functionally discrete. This model makes testable predictions about brain responses to words and pseudowords under variable availability of attentional resources. In particular, due to their strong internal connections, the action-perception circuits for words that the network spontaneously developed exhibit functionally discrete activation dynamics, which are only marginally affected by attentional variations. At the same time, network responses to unfamiliar items – pseudowords – that have not been previously learned (and, therefore, lack corresponding memory representations) exhibit (and predict) strong attention dependence, explained by the different amounts of attentional resources available and, therefore, different degrees of competition between multiple memory circuits partially activated by items lacking lexical traces. We tested these predictions in a novel magnetoencephalography experiment and presented subjects with familiar words and matched unfamiliar pseudowords during attention demanding tasks and under distraction. The magnetic mismatch negativity (MMN) response to words showed relative immunity to attention variations, whereas the MMN to pseudowords exhibited profound variability: when subjects attended the stimuli, the brain response to pseudowords was larger than that to words (as typically observed in the N400); when attention was withdrawn, the opposite pattern emerged, with the response to pseudowords reduced below the response to words. Main cortical sources of these activations were localized to superior-temporal cortex. These results confirm the model's predictions and provide evidence in support of the hypothesis that words are represented in the brain as action-perception circuits that are both discrete and distributed.
An algorithm for object tracking based on adaptive triangle shape mesh estimation method

Although "Adaptive Mesh" is regarded as complicating method for object tracking accompanied with many controversies and obstacles, but it has been proposed that such method may eliminate many problems and challenges in this field. In this tracking process, an effective and new algorithm is used for designing a concept based triangular two dimensional mesh considering locally equiangular property. This algorithm includes a non smooth selection process of a complex of nodes with a simple and fast star polygon based Triangulation methods which can cover all inter nod regions The basic point of this algorithm is to select a complex of nodes adapting mesh cells with the object borders and making a suitable correlation between nodes density and the level of local movements' changes. This algorithm is described and analyzed in detail and implemented in real time situation
Predictors of in-hospital mortality of trauma patients injured in vehicle accidents.

OBJECTIVES Identification and assessment of predictive factors of in-hospital mortality of trauma patients injured in vehicle accidents. METHODS We reviewed the Trauma Registry data of Herakleion University Hospital, a level I trauma center in Crete, Greece. All 730 consecutive, adult motor-vehicle trauma patients admitted to our hospital from 1997 to 2000 were included in the study. Variables included in the analysis were: sex, age, mechanism of injury, injuries per anatomic region, initial vital signs, Glasgow Coma Scale (GCS), Injury Severity Score (ISS), and the final outcome. In order to better describe continuous variables, two categories were created: age > or = 60 and <60; ISS > or = 18 and <18. RESULTS Mortality rate was 4.8% (n=35). Multivariate survival analysis showed that age greater than or equal to 60 years (p=0.0002), ISS greater than or equal to 18 (p=0.003), being a pedestrian (p=0.007), craniocerebral injuries (p=0.01), thoracic (p=0.01), and abdominal injuries (p=0.01) are independent predictors of the in-hospital mortality of the patients. CONCLUSION Trauma patients after vehicle accidents aged > or = 60, pedestrians, those with an ISS > or = 18 and craniocerebral, thoracic or abdominal injuries are at higher risk of an in-hospital fatal outcome.
How home HIV testing and counselling with follow-up support achieves high testing coverage and linkage to treatment and prevention: a qualitative analysis from Uganda

The successes of HIV treatment scale‐up and the availability of new prevention tools have raised hopes that the epidemic can finally be controlled and ended. Reduction in HIV incidence and control of the epidemic requires high testing rates at population levels, followed by linkage to treatment or prevention. As effective linkage strategies are identified, it becomes important to understand how these strategies work. We use qualitative data from The Linkages Study, a recent community intervention trial of community‐based testing with linkage interventions in sub‐Saharan Africa, to show how lay counsellor home HIV testing and counselling (home HTC) with follow‐up support leads to linkage to clinic‐based HIV treatment and medical male circumcision services.
Analysis of Automatic Stress Assignment in Slovene

We tested the ability of humans and machines (data mining techniques) to assign stress to Slovene words. This is a challenging comparison for machines since humans accomplish the task outstandingly even on unknown words without any context. The goal of finding good machine-made models for stress assignment was set by applying new methods and by making use of a known theory about rules for stress assignment in Slovene. The upgraded data mining methods outperformed expert-defined rules on practically all subtasks, thus showing that data mining can more than compete with humans when constructing formal knowledge about stress assignment is concerned. Unfortunately, compared to humans directly, the data mining methods still failed to achieve as good results as humans on assigning stress to unknown words.