In this paper we consider the pricing of Chicago Board Options Exchange Volatility Index (VIX) options in rough Bergomi model. setting, VIX random variable is defined by one-dimensional integral exponential a Gaussian process with correlated increments. Hence, approximate samples can be constructed via discretization and simulation vector. A Monte Carlo estimator based on rectangle scheme exact...

The formalisation of security properties for computer systems raises the problem of overcoming also in a formal setting the classical view according to which confidentiality is an absolute property stating the complete absence of any unauthorised disclosure of information. In this paper, we present two formal models in which the notion of noninterference, which is at the basis of a large variet...

We propose an algorithm that computes the ε-correlated equilibria with global-optimal (i.e., maximum) expected social welfare for single stage polynomial games. We first derive an infinite-dimensional formulation of ε-correlated equilibria using Kantorovich polynomials and re-express it as a polynomial positivity constraint. In addition, we exploit polynomial sparsity to achieve a leaner proble...

This paper addresses the optimal design and planning of biomass-to-liquids (BTL) supply chains under economic and environmental criteria. The supply chain consists of multisite distributed-centralized BTL processing networks. The economic objective is measured by the total annualized cost, and the measure of environmental performance is the life cycle greenhouse gas emissions. A bi-criterion, m...

The lack of focus that is a characteristic of unsupervised pattern mining in sequential data represents one of the major limitations of this approach. This lack of focus is due to the inherently large number of rules that is likely to be discovered in any but the more trivial sets of sequences. Several authors have promoted the use of constraints to reduce that number, but those constraints app...

In a past decade, more and more researchers have emphasized the emergent nature of cognition, as opposed to the traditional approach that assumes fixed representations and central control mechanism. Among many kinds of emergent cognition, insight has attacted many researchers’ attention (Sternberg & Davisdon, 1995). Insight has several mysterious properties. First of all, problems used in psych...

We study the problem of covering a two-dimensional spatial region P , cluttered with occluders, by sensors. A sensor placed at a location p covers a point x in P if x lies within sensing radius r from p and x is visible from p, i.e., the segment px does not intersect any occluder. The goal is to compute a placement of the minimum number of sensors that cover P . We propose a landmark-based appr...