Fast Polarization for Processes With Memory
Sign Up to like & getrecommendations! Published in 2019 at "IEEE Transactions on Information Theory"
DOI: 10.1109/tit.2018.2878575
Abstract: Fast polarization is crucial for the performance guarantees of polar codes. In the memoryless setting, the rate of polarization is known to be exponential in the square root of the block length. A complete characterization… read more here.
Keywords: polarization processes; fast polarization; memory; processes memory ... See more keywords
Pricing of Commodity Derivatives on Processes with Memory
Sign Up to like & getrecommendations! Published in 2020 at "Risks"
DOI: 10.3390/risks8010008
Abstract: Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process ΞΎ with memory as, e.g., a Volterra… read more here.
Keywords: derivatives processes; pricing commodity; processes memory; commodity derivatives ... See more keywords