REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS

This paper proposes an efficient method for calculating European option prices under local, stochastic, and fractional volatility models. Instead of directly calculating the density function of a target underlying asset, we replicate it from a simpler diffusion process with a known analytical solution for the European option. For this purpose, we derive six functions that characterize the density function of a diffusion process, for both the original and simpler processes and match these functions so that the latter mimics the former. Using the analytical formula, we then approximate the option price of the target asset. By comparison with previous works and numerical experiments, we show that the accuracy of our approximation is high, and the calculation is fast enough for practical purposes; hence, it is suitable for calibration purposes.

VideoOR: A Quality Oriented Replication Scheme for Video Opportunistic Transmission

With the development of various mobile social applications, video data has already occupied a dominant proportion of mobile Internet traffic, and is still growing rapidly, which not only brings economic pressure to users, but also causes traffic explosion on Internet. Data delivery through mobile opportunistic networks is regarded as an efficient way to deal with this problem. But, due to the characteristics of video data and the mode of multi-copy routing, video opportunistic delivery will consume large amount of network resources, resulting in excessive transmission overhead and lower delivery quality. Fortunately, the strong aggregation of human activity gives us some inspiration, which can provide more space of deep optimization on video opportunistic transmission. Thus, in this paper, taking fully advantage of the connectivity of cluster formed by the gathering crowds, we propose a Video Opportunistic Replication scheme based on multi-player cooperative games, named VideoOR, which can achieve the double optimizations of transmission overhead and video delivery quality by scheduling the replication and forwarding of video packets under the guidance of Nash Equilibrium solution. Extensive simulations have been done based on the synthetic and real mobility traces, and the results show that our scheme can maximize the quality of reconstructed video and minimize the average replication times of each video packet.

Pooled testing with replication as a mass testing strategy for the COVID-19 pandemics

During the COVID-19 pandemic it is essential to test as many people as possible, in order to detect early outbreaks of the infection. Present testing solutions are based on the extraction of RNA from patients using oropharyngeal and nasopharyngeal swabs, and then testing with real-time PCR for the presence of specific RNA filaments identifying the virus. This approach is limited by the availability of reactants, trained technicians and laboratories. One of the ways to speed up the testing procedures is a group testing, where the swabs of multiple patients are grouped together and tested. In this paper we propose to use the group testing technique in conjunction with an advanced replication scheme in which each patient is allocated in two or more groups to reduce the total numbers of tests and to allow testing of even larger numbers of people. Under mild assumptions, a 13 × average reduction of tests can be achieved compared to individual testing without delay in time.

Delayed by Design: Role of Suboptimal Signal Peptidase Processing of Viral Structural Protein Precursors in Flaviviridae Virus Assembly

The Flaviviridae virus family is classified into four different genera, including flavivirus, hepacivirus, pegivirus, and pestivirus, which cause significant morbidity and mortality in humans and other mammals, including ruminants and pigs. These are enveloped, single-stranded RNA viruses sharing a similar genome organization and replication scheme with certain unique features that differentiate them. All viruses in this family express a single polyprotein that encodes structural and nonstructural proteins at the N- and C-terminal regions, respectively. In general, the host signal peptidase cleaves the structural protein junction sites, while virus-encoded proteases process the nonstructural polyprotein region. It is known that signal peptidase processing is a rapid, co-translational event. Interestingly, certain signal peptidase processing site(s) in different Flaviviridae viral structural protein precursors display suboptimal cleavage kinetics. This review focuses on the recent progress regarding the Flaviviridae virus genus-specific mechanisms to downregulate signal peptidase-mediated processing at particular viral polyprotein junction sites and the role of delayed processing at these sites in infectious virus particle assembly.

Hedging with Liquidity Risk under CEV Diffusion

We study a discrete time hedging and pricing problem in a market with the liquidity risk. We consider a discrete version of the constant elasticity of variance (CEV) model by applying Leland’s discrete time replication scheme. The pricing equation becomes a nonlinear partial differential equation, and we solve it by a multi scale perturbation method. A numerical example is provided.