Zobrazeno 1 - 10
of 31
pro vyhledávání: '"Leong-Kwan Li"'
Autor:
Sally S. L. Shao, Leong-Kwan Li
Publikováno v:
Numerical Algebra, Control & Optimization. 4:193-207
Recurrent neural networks (RNNs) have emerged as a promising tool in modeling nonlinear dynamical systems. The convergence is one of the most important issues of concern among the dynamical properties for the RNNs in practical applications. The reaso
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2da3af2e3543d80eb61340af1a5e8cac
https://doi.org/10.3934/naco.2014.4.193
https://doi.org/10.3934/naco.2014.4.193
Publikováno v:
Applied Soft Computing. 13:2857-2862
Feedforward neural networks are the most commonly used function approximation techniques in neural networks. By the universal approximation theorem, it is clear that a single-hidden layer feedforward neural network (FNN) is sufficient to approximate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ccca6b0388ea180b9c3db10aeea6f661
https://doi.org/10.1016/j.asoc.2012.04.034
https://doi.org/10.1016/j.asoc.2012.04.034
Publikováno v:
Risk and Decision Analysis. 4:59-68
In this paper, we propose a fast numerical method to evaluate discretely monitored derivatives. The key is to compute the involved probability integrals interactively. Our method can avoid the "curse of dimensionality" that most other methods suffer.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::288cbaeff823dbf85b57943b39f13481
https://doi.org/10.3233/rda-2012-0077
https://doi.org/10.3233/rda-2012-0077
Autor:
Wai Man Tse1 rtse@business.hku.hk, Leong Kwan Li2 malblkli@polyu.edu.hk, Kai Wang Ng3 hrntnkw@hkucc.hku.hk
Publikováno v:
Management Science. Mar2001, Vol. 47 Issue 3, p383. 11p. 1 Diagram.
Publikováno v:
Journal of Computational and Applied Mathematics. 235(13):3921-3931
In this paper, American put options on zero-coupon bonds are priced under a single factor model of short-term rate. The linear complementarity problem of the option value is solved numerically by a penalty method, by which the problem is transformed
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9cb8967bc6f0bd8e26a773812ab6feb8
Publikováno v:
Journal of Industrial & Management Optimization. 7:385-400
Given a task of tracking a trajectory, a recurrent neural network may be considered as a black-box nonlinear regression model for tracking unknown dynamic systems. An error function is used to measure the difference between the system outputs and the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c31382ed857955bd6f8f6767d5b2c3eb
https://doi.org/10.3934/jimo.2011.7.385
https://doi.org/10.3934/jimo.2011.7.385
Autor:
Sally S. L. Shao, Leong-Kwan Li
Publikováno v:
Neural Network World. 21:393-406
We study the discrete-time recurrent neural network that derived from the Leaky-integrator model and its application to compression of infra-red spectrum. Our results show that the discrete-time Leaky-integrator recurrent neural network (RNN) model c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9ac1b6eaa6311e243ca5d72e631e99ad
https://doi.org/10.14311/nnw.2011.21.023
https://doi.org/10.14311/nnw.2011.21.023
Publikováno v:
Journal of Risk & Insurance. 75:167-192
We derive a risk-neutral pricing model for discrete dynamic guaranteed funds with geometric Gaussian underlying security price process. We pro pose a dynamic hedging strategy by adding a gamma factor to the conven tional delta. Simulation results dem
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cad6feb936f2a586c6a04ae3a62f23fe
https://doi.org/10.1111/j.1539-6975.2007.00253.x
https://doi.org/10.1111/j.1539-6975.2007.00253.x
Publikováno v:
ESAIM: Control, Optimisation and Calculus of Variations. 12:770-785
In the present paper, we consider a wave system that is fixed at one end and a boundary control input possessing a partial time delay of weight (1 � µ) is applied over the other end. Using a simple boundary velocity feedback law, we show that the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a160e722e420b181174e10c5c8db0608
https://doi.org/10.1051/cocv:2006021
https://doi.org/10.1051/cocv:2006021
Publikováno v:
European Journal of Operational Research. 154:764-778
Interest rate swaps generally involve two firms with different credit ratings. A quality spread differential (QSD) is observed to exist at different maturities for firm debts with different credit ratings. The quality spread differential allows two f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fd4aa360a24c007b3ec32b1ed0dc4a14
https://doi.org/10.1016/s0377-2217(02)00797-x
https://doi.org/10.1016/s0377-2217(02)00797-x