Encontrados 30 documentos, a visualizar página 1 de 3
Recovering risk-neutral probability density functions from options prices using...
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, Luís N.We present a new approach to estimate the risk-neutral probability density function (pdf) of the future prices of an underlying asset from the prices of options written on the asset. The estimation is carried out in the space of cubic spline functions, yielding appropriate smoothness. The resulting optimization problem, used to invert the data and determine the corresponding density function, is a convex quadra...
Geometry of interpolation sets in derivative free optimization
Conn, A.; Scheinberg, K.; Vicente, LuísAbstract We consider derivative free methods based on sampling approaches for nonlinear optimization problems where derivatives of the objective function are not available and cannot be directly approximated. We show how the bounds on the error between an interpolating polynomial and the true function can be used in the convergence theory of derivative free sampling methods. These bounds involve a constant tha...
Dynamic evolution for risk-neutral densities
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, Luís NunesOption price data is often used to infer risk-neutral densities for future prices of an underlying asset. Given the prices of a set of options on the same underlying asset with different strikes and maturities, we propose a nonparametric approach for estimating the evolution of the risk-neutral density in time. Our method uses bicubic splines in order to achieve the desired smoothness for the estimation and an ...
Incorporating minimum Frobenius norm models in direct search
Custódio, Ana Luísa; Rocha, Humberto; Vicente, Luís NunesThe goal of this paper is to show that the use of minimum Frobenius norm quadratic models can improve the performance of direct-search methods. The approach taken here is to maintain the structure of directional direct-search methods, organized around a search and a poll step, and to use the set of previously evaluated points generated during a direct-search run to build the models. The minimization of the mode...
Modelling nearby FGK Population I stars: A new form of estimating stellar param...
Fernandes, João Manuel; Vaz, A. Ismael F.; Vicente, Luís NunesModelling a single star by means of theoretical stellar evolutionary tracks is a nontrivial problem due to the large number of unknowns compared to the number of observations. Currently, stellar age and mass are estimated using interpo- lations in grids of stellar models and/or isochrones assuming ad-hoc approximations for the mixing length parameter and the metal to helium enrichment, normally scaled on the so...
A globally convergent primal-dual interior-point filter method for nonlinear pr...
Silva, Renata; Ulbrich, Michael; Ulbrich, Stefan; Vicente, Luís NunesIn this paper we prove global convergence for first and second-order stationarity points of a class of derivative-free trust-region methods for unconstrained optimization. These methods are based on the sequential minimization of linear or quadratic models built from evaluating the objective function at sample sets. The derivative-free models are required to satisfy Taylor-type bounds but, apart from that, the ...
Dominância e atracção social num grupo de macacos-verdes (Cercopithecus aethiop...
Daniel, João Rodrigo; Santos, António José; Vicente, Luís A.Dados de interacções de catagem, recolhidos durante quatro meses de observações directas, de um grupo de macacos-vervet (Cercopithecus aethiops) em cativeiro, no Jardim Zoológico de Lisboa, foram utilizados para testar o modelo clássico de Seyfarth (1977) de atracção por indivíduos dominantes. Cada indivíduo foi observado um total de 10.5 horas, através de amostragens focais. Todas as ocorrências de comportamen...
A particle swarm pattern search method for bound constrained global optimization
Vaz, A.; Vicente, LuísAbstract In this paper we develop, analyze, and test a new algorithm for the global minimization of a function subject to simple bounds without the use of derivatives. The underlying algorithm is a pattern search method, more specifically a coordinate search method, which guarantees convergence to stationary points from arbitrary starting points. In the optional search phase of pattern search we apply a partic...
Global convergence of general derivative-free trust-region algorithms to first ...
Conn, Andrew R.; Scheinberg, Katya; Vicente, Luís NunesIn this paper we prove global convergence for first and second-order stationarity points of a class of derivative-free trust-region methods for unconstrained optimization. These methods are based on the sequential minimization of linear or quadratic models built from evaluating the objective function at sample sets. The derivative-free models are required to satisfy Taylor-type bounds but, apart from that, the ...
Using simplex gradients of nonsmooth functions in direct search methods
Custódio, A. L.; Dennis Jr., John E.; Vicente, Luís NunesIt has been shown recently that the efficiency of direct search methods that use opportunistic polling in positive spanning directions can be improved significantly by reordering the poll directions according to descent indicators built from simplex gradients. The purpose of this paper is twofold. First, we analyze the properties of simplex gradients of nonsmooth functions in the context of direct search method...
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