This thesis investigates computational methods for pricing complex path-dependent derivative securities, especially geometricand arithmetic-moving-average-lookback options. The latter security was rst issued by Polaris Securities in 1999. Our methodology can be easily modi ed to price similarly structured options issued by other securities rms. The moving-average-lookback option is a call optio...

The training of precise speech recognition models depends on accurate segmentation of the phonemes in a training corpus. Segmentation is typically performed using HMMs, but recent speech recognition work suggests that the transient acoustic features characteristic of manner-class phoneme boundaries (landmarks) may be more precisely localized using acoustic classifiers specifically designed for ...

An iterative least squares algorithm and a recursive least squares algorithms are developed for estimating the parameters of moving average systems. The key is use the least squares principle and to replace the unmeasurable noise terms in the information vector. The steps and flowcharts of computing the parameter estimates are given. The simulation results validate that the proposed algorithms ...

this analysis was conducted on 31 synoptic stations in iran. initially, the mann-kendall test was administered in order to analyse the trend of alterations of these two components over time and the results suggest that 16% of the stations show significant relationship with annual precipitation (positive and negative). more stations showed significant relationships between sunspots and minimum a...

We consider strictly stationary infinitely divisible processes and first extend the mixing conditions given in Maruyama [18] and Rosiński and Żak [23] from the univariate to the d-dimensional case. Thereafter, we show that multivariate Lévy-driven mixed moving average processes satisfy these conditions and hence a wide range of well-known processes such as superpositions of Ornstein-Uhlenbeck (...

ecological changes resulting from climate conditions can severely affect human societies especially in the area of economy and safety. climate catastrophes may cause social and economic tension. forecasting such changes accurately can help the government to control the disasters and to achieve possible benefits (such as water supply in flood). weather forecasting is the application of science a...

Moving Target Indicators (MTI) are systems used to distinguish movement from stationary scenes and sometimes to derive the spatial attributes of these objects. These systems are currently used in many sectors such as traffic studies, border surveillance, and military applications. The proposed MTI reveals vehicles and their velocities using commercial imagery from a passive optical satellite-mo...

In this study, we focused on Tehran stock exchange market analysis based on applying moving average rules. The Tehran stock exchange in the Middle East has evolved into an exciting and growing marketplace where individual and institutional investor trade securities of over 420 companies. In an attempt to examine the ability to earn excess return by exploiting moving average rules, the average a...