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Gain-loss pricing under ambiguity of measure

Mustafa Ç. Pınar (2010)

ESAIM: Control, Optimisation and Calculus of Variations

Motivated by the observation that the gain-loss criterion, while offering economically meaningful prices of contingent claims, is sensitive to the reference measure governing the underlying stock price process (a situation referred to as ambiguity of measure), we propose a gain-loss pricing model robust to shifts in the reference measure. Using a dual representation property of polyhedral risk measures we obtain a one-step, gain-loss criterion based theorem of asset pricing under ambiguity of...

Gradient flow optimization for reducing blocking effects of transform coding

Feng Gao, Xiaokun Li, Xun Wang, William Wee (2004)

International Journal of Applied Mathematics and Computer Science

This paper addresses the problem of reducing blocking effects in transform coding. A novel optimization approach using the gradient flow is proposed. Using some properties of the gradient flow on a manifold, an optimized filter design method for reducing the blocking effects is presented. Based on this method, an image reconstruction algorithm is derived. The algorithm maintains the fidelity of images while reducing the blocking effects. Experimental tests demonstrate that the presented algorithm...

Impulse noise removal based on new hybrid conjugate gradient approach

Morteza Kimiaei, Majid Rostami (2016)

Kybernetika

Image denoising is a fundamental problem in image processing operations. In this paper, we present a two-phase scheme for the impulse noise removal. In the first phase, noise candidates are identified by the adaptive median filter (AMF) for salt-and-pepper noise. In the second phase, a new hybrid conjugate gradient method is used to minimize an edge-preserving regularization functional. The second phase of our algorithm inherits advantages of both Dai-Yuan (DY) and Hager-Zhang (HZ) conjugate gradient...

Internet shopping optimization problem

Jacek Błażewicz, Mikhail Y. Kovalyov, Jędrzej Musiał, Andrzej P. Urbański, Adam Wojciechowski (2010)

International Journal of Applied Mathematics and Computer Science

A high number of Internet shops makes it difficult for a customer to review manually all the available offers and select optimal outlets for shopping. A partial solution to the problem is brought by price comparators which produce price rankings from collected offers. However, their possibilities are limited to a comparison of offers for a single product requested by the customer. The issue we investigate in this paper is a multiple-item multiple-shop optimization problem, in which total expenses...

La programación geométrica en la economía de las producciones ganaderas.

Ana I. Allueva, Miguel Sánchez García, Ana Pérez Palomares (1991)

Trabajos de Investigación Operativa

Se modeliza el problema no lineal de producción de carne de vacuno por Programación Geométrica Signomial. Los datos técnicos utilizados se han extraído del trabajo de Epplin y Heady (1984). Se aplican transformaciones inversas y métodos de condensación al problema signomial para simplificar el modelo teórico. Finalmente, se calcula la composición de la ración óptima, bajo distintas consideraciones y se comentan los resultados obtenidos, que confirman y completan otros experimentales ya existentes...

Metasearch information fusion using linear programming

Gholam R. Amin, Ali Emrouznejad, Hamid Sadeghi (2012)

RAIRO - Operations Research - Recherche Opérationnelle

For a specific query merging the returned results from multiple search engines, in the form of a metasearch aggregation, can provide significant improvement in the quality of relevant documents. This paper suggests a minimax linear programming (LP) formulation for fusion of multiple search engines results. The paper proposes a weighting method to include the importance weights of the underlying search engines. This is a two-phase approach which in the first phase a new method for computing the importance...

Currently displaying 61 – 80 of 194