Stochastic Optimization Algorithms for Pricing American Put Options Under Regime-Switching Models

This work provides a Markov-modulated stochastic approximation based approach for pricing American put options under a regime-switching geometric Brownian motion market model. The solutions of pricing American options may be characterized by certain threshold values. Here, a class of Markov-modulated stochastic approximation (SA) algorithms is developed to determine the optimal threshold levels. For option pricing in a finite horizon, a SA procedure is carried out for a fixed time T. As T varies, the optimal threshold values obtained via SA trace out a curve, called the threshold frontier. Numerical experiments are reported to demonstrate the effectiveness of the approach. Our approach provides us with a viable computational tool and has advantage in terms of the reduced computational complexity compared with the variational or quasivariational inequality methods for optimal stopping.Communicated by C. T. LeondesThis research was supported in part by the National Science Foundation under Grant DMS-0304928, and in part by the National Natural Science Foundation of China under Grant 60574069.     

Four-wave mixing in semiconductor laser amplifiers: Applications for optical communication systems

Four-wave mixing in semiconductor laser amplifiers enables various applications in photonic switching including wavelength conversion, space and time switching, optical phase conjugation, and demultiplexing. Switching times faster than 1 ps are possible.     

ATMOS (ATM optical switching)—system perspective

The expected traffic growth from new broadband services will require network capacities that can be beneficially provided by optical WDM transport networks. Optical packet techniques are essential for large networks to provide flexibility and granularity. A layered network architecture with a transparent optical layer and optical packet layers has been elaborated. Four switching concept options for large optical ATM switch fabrics in the public network and small access nodes are presented. The technology for the related key functions of space and wavelength switching was developed in the RACE ATMOS project and the feasibility of concepts and technologies was verified in four system demonstrators.     

Solving a concrete sleepers production scheduling by genetic algorithms

PRECON S.A. is a manufacturing company devoted to produce prefabricated concrete parts for several industries as railway transportation and agricultural industries. Recently, PRECON S.A. signed a contract with RENFE, the Spanish National Railway Company, to manufacture pre-stressed concrete sleepers for the sidings of the new railways of the high speed train (AVE). The scheduling problem associated with the manufacturing process of the sleepers is very complex, since this involves several constraints and objectives. These constraints are related to production capacity, the quantity of available moulds, demand satisfaction and other operational constraints. The two main objectives are related to the way to maximize the utilization of manufacturing resources and minimize mould movements. We developed a deterministic crowding genetic algorithm for this multiobjective problem. The algorithm has proved to be a powerful and flexible tool to solve large-scale instances of this real and complex scheduling problem.     

The cost benefits of multi-layer architecture with multi-granularity switching in optical networks

The benefits of using multi-granularity switching to reduce the number of ports, including both electronic and optical ports, have been investigated. A novel multi-layer ring architecture with multiple switches is proposed and two general equations to count the number of ports are derived. Comparisons are made between the multi-layer multi-granularity switching (MM-XC) architecture and the reported architectures: multi-switching (M-XC) and single switching (S-XC) architectures. The results show that the M-XC or S-XC architectures can be deduced from the MM-XC architecture and the latter architecture can achieve more considerable savings of the port count compared to the former.     

Identification of Apigenin Metabolites in Rat Liver Perfusate by Column Switching High Performance Liquid Chromatography/Electrospray Ionization Mass Spectrometry

Summary.  A selective column switching high performance liquid chromatographic method has been used for the simultaneous determination of apigenin and metabolites in rat liver perfusate. This new method clearly separated apigenin and the metabolites with high resolution. The structures of metabolites were proposed based on selective ion recording and full scan analysis by electrospray ionization mass spectrometry. Corresponding author. E-mail: basly@pharma.unilim.fr Received May 15, 2002; accepted (revised) September 13, 2002     

Cost-Effective Migration from Sub-Lambda to Wavelength-Based Metro Networks

This article will discuss the importance of hybrid coexistence of sub-lambda grooming with wavelength-based services for driving down costs and maximizing the use of metro bandwidth, as well as enabling next-generation lambda-based services. The article will also address migration to all optical metro networks.     

Monitoring cooperative equilibria in a stochastic differential game

This paper deals with a class of equilibria which are based on the use of memory strategies in the context of continuous-time stochastic differential games. In order to get interpretable results, we will focus the study on a stochastic differential game model of the exploitation of one species of fish by two competing fisheries. We explore the possibility of defining a so-called cooperative equilibrium, which will implement a fishing agreement. In order to obtain that equilibrium, one defines a monitoring variable and an associated retaliation scheme. Depending on the value of the monitoring variable, which provides some evidence of a deviation from the agreement, the probability increases that the mode of a game will change from a cooperative to a punitive one. Both the monitoring variable and the parameters of this jump process are design elements of the cooperative equilibrium. A cooperative equilibrium designed in this way is a solution concept for a switching diffusion game. We solve that game using the sufficient conditions for a feedback equilibrium which are given by a set of coupled HJB equations. A numerical analysis, approximating the solution of the HJB equations through an associated Markov game, enables us to show that there exist cooperative equilibria which dominate the classical feedback Nash equilibrium of the original diffusion game model.This research was supported by FNRS-Switzerland, NSERC-Canada, FCAR-Quebec.     

A column switching technique for the determination of lidocaine and its metabolites in horse urine

Summary A rapid method is described for the determination of lidocaine and its metabolites in horse urine using a column switching technique and HPLC analysis. This procedure offers a sensitive assay without the need for time consuming extractions.     

A <Emphasis Type="Italic">d</Emphasis>-person Differential Game with State Space Constraints

We consider a network of d companies (insurance companies, for example) operating under a treaty to diversify risk. Internal and external borrowing are allowed to avert ruin of any member of the network. The amount borrowed to prevent ruin is viewed upon as control. Repayment of these loans entails a control cost in addition to the usual costs. Each company tries to minimize its repayment liability. This leads to a d -person differential game with state space constraints. If the companies are also in possible competition a Nash equilibrium is sought. Otherwise a utopian equilibrium is more appropriate. The corresponding systems of HJB equations and boundary conditions are derived. In the case of Nash equilibrium, the Hamiltonian can be discontinuous; there are d interlinked control problems with state constraints; each value function is a constrained viscosity solution to the appropriate discontinuous HJB equation. Uniqueness does not hold in general in this case. In the case of utopian equilibrium, each value function turns out to be the unique constrained viscosity solution to the appropriate HJB equation. Connection with Skorokhod problem is briefly discussed.