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A closedform solution for options with stochastic volatility with applications to bond and currency options
 Review of Financial Studies
, 1993
"... I use a new technique to derive a closedform solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I introduce stochastic interest rates and show how to apply the model to bond option ..."
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Cited by 1512 (6 self)
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options and foreign currency options. Simulations show that correlation between volatility and the spot asset’s price is important for explaining return skewness and strikeprice biases in the BlackScholes (1973) model. The solution technique is based on characteristic functions and can be applied
USER’S GUIDE TO VISCOSITY SOLUTIONS OF SECOND ORDER PARTIAL DIFFERENTIAL EQUATIONS
, 1992
"... The notion of viscosity solutions of scalar fully nonlinear partial differential equations of second order provides a framework in which startling comparison and uniqueness theorems, existence theorems, and theorems about continuous dependence may now be proved by very efficient and striking argume ..."
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Cited by 1399 (16 self)
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The notion of viscosity solutions of scalar fully nonlinear partial differential equations of second order provides a framework in which startling comparison and uniqueness theorems, existence theorems, and theorems about continuous dependence may now be proved by very efficient and striking
Evolution of networks
 Adv. Phys
, 2002
"... We review the recent fast progress in statistical physics of evolving networks. Interest has focused mainly on the structural properties of random complex networks in communications, biology, social sciences and economics. A number of giant artificial networks of such a kind came into existence rece ..."
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Cited by 419 (3 self)
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recently. This opens a wide field for the study of their topology, evolution, and complex processes occurring in them. Such networks possess a rich set of scaling properties. A number of them are scalefree and show striking resilience against random breakdowns. In spite of large sizes of these networks
Greedy strikes back: Improved facility location algorithms
 Journal of Algorithms
, 1999
"... A fundamental facility location problem is to choose the location of facilities, such as industrial plants and warehouses, to minimize the cost of satisfying the demand for some commodity. There are associated costs for locating the facilities, as well as transportation costs for distributing the co ..."
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Cited by 210 (11 self)
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the commodities. We assume that the transportation costs form a metric. This problem is commonly referred to as the uncapacitated facility location (UFL) problem. Applications to bank account location and clustering, as well as many related pieces of work, are discussed by Cornuejols, Nemhauser and Wolsey [2
Exploratory and confirmatory factor analysis: Understanding concepts and applications
, 2004
"... provides a concise (162 pages of text) and basic overview of two disciplines of assessing structure: exploratory factor analysis (EFA) and confirmatory factor analysis (CFA). As Thompson explains, the book was written ‘‘to strike a happy medium between accuracy and completeness versus overwhelming ..."
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Cited by 239 (0 self)
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provides a concise (162 pages of text) and basic overview of two disciplines of assessing structure: exploratory factor analysis (EFA) and confirmatory factor analysis (CFA). As Thompson explains, the book was written ‘‘to strike a happy medium between accuracy and completeness versus over
Two Strikes Against Perfect Phylogeny
 PROC. OF 19TH INTERNATIONAL COLLOQUIUM ON AUTOMATA LANGUAGES AND PROGRAMMING
, 1992
"... One of the major efforts in molecular biology is the computation of phylo genies for species sets. A longstanding open problem in this area is called the Perfect Phylogeny problem. For almost two decades the complexity of this problem remained open, with progress limited to polynomial time algor ..."
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Cited by 123 (28 self)
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algorithms for a few special cases, and many relaxations of the problem shown to be NPComplete. From an applications point of view, the problem is of interest both in its general forin, where the number of characters may vary, and in its fixedparameter form. The Perfect Phylogeny problem has been shown
Optimization Principles and Application Performance Evaluation of a Multithreaded GPU Using CUDA
 PPOPP'08
, 2008
"... GPUs have recently attracted the attention of many application developers as commodity dataparallel coprocessors. The newest generations of GPU architecture provide easier programmability and increased generality while maintaining the tremendous memory bandwidth and computational power of tradition ..."
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Cited by 215 (11 self)
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GPUs have recently attracted the attention of many application developers as commodity dataparallel coprocessors. The newest generations of GPU architecture provide easier programmability and increased generality while maintaining the tremendous memory bandwidth and computational power
Statistical properties of community structure in large social and information networks
"... A large body of work has been devoted to identifying community structure in networks. A community is often though of as a set of nodes that has more connections between its members than to the remainder of the network. In this paper, we characterize as a function of size the statistical and structur ..."
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Cited by 246 (14 self)
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and structural properties of such sets of nodes. We define the network community profile plot, which characterizes the “best ” possible community—according to the conductance measure—over a wide range of size scales, and we study over 70 large sparse realworld networks taken from a wide range of application
The moment formula for implied volatility at extreme strikes
 Mathematical Finance
, 2004
"... Consider options on a nonnegative underlying random variable with arbitrary distribution. In the absence of arbitrage, we show that at any maturity T, the largestrike tail of the BlackScholes implied volatility skew is bounded by the square root of 2x/T, where x is logmoneyness. The smallest co ..."
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Cited by 84 (5 self)
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Consider options on a nonnegative underlying random variable with arbitrary distribution. In the absence of arbitrage, we show that at any maturity T, the largestrike tail of the BlackScholes implied volatility skew is bounded by the square root of 2x/T, where x is logmoneyness. The smallest
Quantum random walks  an introductory overview
 Contemporary Physics
, 2003
"... This article aims to provide an introductory survey on quantum random walks. Starting from a physical effect to illustrate the main ideas we will introduce quantum random walks, review some of their properties and outline their striking differences to classical walks. We will touch upon both physica ..."
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Cited by 191 (3 self)
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This article aims to provide an introductory survey on quantum random walks. Starting from a physical effect to illustrate the main ideas we will introduce quantum random walks, review some of their properties and outline their striking differences to classical walks. We will touch upon both
Results 1  10
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