The Financial Clouds Review

2011 ◽  
Vol 1 (2) ◽  
pp. 41-63 ◽  
Author(s):  
Victor Chang ◽  
Chung-Sheng Li ◽  
David De Roure ◽  
Gary Wills ◽  
Robert John Walters ◽  
...  
Keyword(s):  
Least Square ◽  
Special Technique ◽  
Cloud Platform ◽  
Security Framework ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Improve Accuracy ◽  
Different Types ◽  
Speed Accuracy ◽  
Financial Software

This paper demonstrates financial enterprise portability, which involves moving entire application services from desktops to clouds and between different clouds, and is transparent to users who can work as if on their familiar systems. To demonstrate portability, reviews for several financial models are studied, where Monte Carlo Methods (MCM) and Black Scholes Model (BSM) are chosen. A special technique in MCM, Least Square Methods, is used to reduce errors while performing accurate calculations. Simulations for MCM are performed on different types of Clouds. Benchmark and experimental results are presented for discussion. 3D Black Scholes are used to explain the impacts and added values for risk analysis. Implications for banking are also discussed, as well as ways to track risks in order to improve accuracy. A conceptual Cloud platform is used to explain the contributions in Financial Software as a Service (FSaaS) and the IBM Fined Grained Security Framework. This study demonstrates portability, speed, accuracy, and reliability of applications in the clouds, while demonstrating portability for FSaaS and the Cloud Computing Business Framework (CCBF).

The Financial Clouds Review

2012 ◽  
pp. 1062-1083 ◽  
Author(s):  
Victor Chang ◽  
Chung-Sheng Li ◽  
David De Roure ◽  
Gary Wills ◽  
Robert John Walters ◽  
...  
Keyword(s):  
Cloud Computing ◽  
Monte Carlo ◽  
Least Square ◽  
Software As A Service ◽  
Special Technique ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Speed Accuracy ◽  
Financial Software ◽  
Business Framework

This paper demonstrates financial enterprise portability, which involves moving entire application services from desktops to clouds and between different clouds, and is transparent to users who can work as if on their familiar systems. To demonstrate portability, reviews for several financial models are studied, where Monte Carlo Methods (MCM) and Black Scholes Model (BSM) are chosen. A special technique in MCM, Least Square Methods, is used to reduce errors while performing accurate calculations. Simulations for MCM are performed on different types of Clouds. Benchmark and experimental results are presented for discussion. 3D Black Scholes are used to explain the impacts and added values for risk analysis. Implications for banking are also discussed, as well as ways to track risks in order to improve accuracy. A conceptual Cloud platform is used to explain the contributions in Financial Software as a Service (FSaaS) and the IBM Fined Grained Security Framework. This study demonstrates portability, speed, accuracy, and reliability of applications in the clouds, while demonstrating portability for FSaaS and the Cloud Computing Business Framework (CCBF).

The Financial Clouds Review

2013 ◽  
pp. 125-146
Author(s):  
Victor Chang ◽  
Chung-Sheng Li ◽  
David De Roure ◽  
Gary Wills ◽  
Robert John Walters ◽  
...  
Keyword(s):  
Cloud Computing ◽  
Monte Carlo ◽  
Least Square ◽  
Software As A Service ◽  
Special Technique ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Speed Accuracy ◽  
Financial Software ◽  
Business Framework

This paper demonstrates financial enterprise portability, which involves moving entire application services from desktops to clouds and between different clouds, and is transparent to users who can work as if on their familiar systems. To demonstrate portability, reviews for several financial models are studied, where Monte Carlo Methods (MCM) and Black Scholes Model (BSM) are chosen. A special technique in MCM, Least Square Methods, is used to reduce errors while performing accurate calculations. Simulations for MCM are performed on different types of Clouds. Benchmark and experimental results are presented for discussion. 3D Black Scholes are used to explain the impacts and added values for risk analysis. Implications for banking are also discussed, as well as ways to track risks in order to improve accuracy. A conceptual Cloud platform is used to explain the contributions in Financial Software as a Service (FSaaS) and the IBM Fined Grained Security Framework. This study demonstrates portability, speed, accuracy, and reliability of applications in the clouds, while demonstrating portability for FSaaS and the Cloud Computing Business Framework (CCBF).

The Analysis of Urban Road Traffic State Based on Kinds Floating Car Data

2014 ◽  
Vol 694 ◽  
pp. 80-84
Author(s):  
Xiao Tong Yin ◽  
Chao Qun Ma ◽  
Liang Peng Qu
Keyword(s):  
Road Traffic ◽  
Velocity Estimation ◽  
Least Square ◽  
Single Type ◽  
Estimation Model ◽  
Average Speed ◽  
Urban Road ◽  
Traffic State ◽  
Floating Car Data ◽  
Different Types

The analysis of the unban road traffic state based on kinds of floating car data, is based on the model and algorithm of floating car data preprocessing and map matching, etc. Firstly, according to the characteristics of the different types of urban road, the urban road section division has been carried on the elaboration and optimization. And this paper introduces the method of calculating the section average speed with single floating car data, also applies the dynamic consolidation of sections to estimate the section average velocity.Then the minimum sample size of floating car data is studied, and section average velocity estimation model based on single type of floating car data in the different case of floating car data sample sizes has been built. Finally, the section average speed of floating car in different types is fitted to the section average car speed by the least square method, using section average speed as the judgment standard, the grade division standard of urban road traffic state is established to obtain the information of road traffic state.

Comparison of two different types of fractional-order COVID-19 distributed time-delay models with real data application

2021 ◽  
pp. 2150219
Author(s):  
Liangli Yang ◽  
Yongmei Su ◽  
Xinjian Zhuo
Keyword(s):  
Time Delay ◽  
Fractional Order ◽  
Distributed Delay ◽  
Real Data ◽  
Least Square ◽  
Order Model ◽  
The Real ◽  
Fractional Order Model ◽  
Different Types ◽  
Distributed Time Delay

The outbreak of COVID-19 has a great impact on the world. Considering that there are different infection delays among different populations, which can be expressed as distributed delay, and the distributed time-delay is rarely used in fractional-order model to simulate the real data, here we establish two different types of fractional order (Caputo and Caputo–Fabrizio) COVID-19 models with distributed time-delay. Parameters are estimated by the least-square method according to the report data of China and other 12 countries. The results of Caputo and Caputo–Fabrizio model with distributed time-delay and without delay, the integer-order model with distributed delay are compared. These show that the fractional-order model can be better in fitting the real data. Moreover, Caputo order is better in short-term time fitting, Caputo–Fabrizio order is better in long-term fitting and prediction. Finally, the influence of several parameters is simulated in Caputo order model, which further verifies the importance of taking strict quarantine measures and paying close attention to the incubation period population.

An analytical approximation formula for the pricing of credit default swaps with regime switching

2021 ◽  
Vol 63 ◽  
pp. 143-162
Author(s):  
Xin-Jiang He ◽  
Sha Lin
Keyword(s):  
Regime Switching ◽  
Credit Default Swap ◽  
Analytical Approximation ◽  
Approximation Formula ◽  
Current Time ◽  
Fourier Cosine ◽  
Cosine Series ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Credit Default

We derive an analytical approximation for the price of a credit default swap (CDS) contract under a regime-switching Black–Scholes model. To achieve this, we first derive a general formula for the CDS price, and establish the relationship between the unknown no-default probability and the price of a down-and-out binary option written on the same reference asset. Then we present a two-step procedure: the first step assumes that all the future information of the Markov chain is known at the current time and presents an approximation for the conditional price under a time-dependent Black–Scholes model, based on which the second step derives the target option pricing formula written in a Fourier cosine series. The efficiency and accuracy of the newly derived formula are demonstrated through numerical experiments. doi:10.1017/S1446181121000274

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