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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...

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