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1تقرير
الوصف: In this work we rigorously establish mathematical models to obtain the capital valuation adjustment (KVA) as part of the total valuation adjustments (XVAs). For this purpose, we use a semi-replication strategy based on market theory. We formulate single factor models in terms of expectations and PDEs. For PDEs formulation we rigorously obtain the existence and uniqueness of solution, as well as some regularity and qualitative properties of the solution. Moreover, appropriate numerical methods are proposed for solving the corresponding PDEs. Finally, some examples show the numerical results for call and put European options and the corresponding XVA that includes the KVA. ...
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2تقرير
المؤلفون: J.G. LÓPEZ-SALAS, M. SUREZ-TABOADA, M.J. CASTRO, A.M. FERREIRO-FERREIRO, J.A. GARCÍA-RODRÍGUEZ
مصطلحات موضوعية: Mathematical Finance, Computational finance, Numerical analysis, Numerical Methods, High order, Runge Kutta, Imex, Option pricing, Finite volume, Parabolic
الوصف: This article deals with the development of second order finite volume numerical schemes for solving option pricing problems, modelled by low dimensional advection-diffusion-reaction scalar partial differential equations. These equations will be discretized using second order finite volume Implicit-Explicit (IMEX) Runge-Kutta schemes. The developed methods will be able to overcome the time step restriction due to the strict stability condition of parabolic problems with diffusion terms. Besides, the schemes will offer high-accurate and non oscillatory approximations of option prices and their Greeks.
العلاقة: https://zenodo.org/record/6377976Test; https://doi.org/10.5281/zenodo.6377976Test; oai:zenodo.org:6377976
الإتاحة: https://doi.org/10.5281/zenodo.6377976Test
https://doi.org/10.5281/zenodo.6377975Test
https://zenodo.org/record/6377976Test -
3تقرير
المؤلفون: J.G. LÓPEZ-SALAS, M. SUREZ-TABOADA, M.J. CASTRO, A.M. FERREIRO-FERREIRO, J.A. GARCÍA-RODRÍGUEZ
مصطلحات موضوعية: Mathematical Finance, Computational finance, Numerical analysis, Numerical Methods, High order, Runge Kutta, Imex, Option pricing, Finite volume, Parabolic, Nonlinear, Value at risk, XVA, Black-Scholes, Asian options, Barrier options, PDE, Partial Differential Equations, Semilinear, Quasilinear, State reconstructions, Second order
الوصف: This article deals with the development of second order numerical schemes for solving option pricing problems, given by linear or nonlinear parabolic partial differential equations (PDEs), with nonlinearities in the source and/or convection terms. These equations will be discretized using second order finite volume Implicit-Explicit (IMEX) Runge-Kutta schemes. The here proposed numerical schemes have several advantages. First of all, they are able to reach high order, not only in the presence of nonregular initial conditions, the usual situation in finance, but also in the case of nonlinear advection and/or reaction terms, which appear in many recent and important PDEs in finance. Furthermore, the proposed schemes combine explicit and implicit time discretizations in a highly efficient way. They allow to take large time steps, overcoming the strict stability condition imposed for the diffusion terms in explicit schemes. Also, the here proposed numerical schemes offer highly-accurate and non oscillatory approximations of option prices and their Greeks. Finally the developed numerical methods rely in a very general methodology, as they make use of well established techniques in the finite volume literature, such as numerical fluxes based in finite volume solvers, high order reconstruction operators or IMEX time marching schemes for stiff problems. This allows to apply these numerical schemes to a broad range of challenging state of the art problems in finance, given by nonlinear parabolic PDEs.
العلاقة: https://zenodo.org/record/6536570Test; https://doi.org/10.5281/zenodo.6536570Test; oai:zenodo.org:6536570
الإتاحة: https://doi.org/10.5281/zenodo.6536570Test
https://doi.org/10.5281/zenodo.6377975Test
https://zenodo.org/record/6536570Test -
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المؤلفون: Edgar N. Sanchez, E. Ruiz-Velázquez, Alma Y. Alanis, Aldo Pardo García, Y. Yuliana Rios, J.A. García-Rodríguez
المصدر: ISA Transactions-Vol. 126
ISA Transactions
Repositorio Institucional UTB
Universidad Tecnológica de Bolívar
instacron:Universidad Tecnológica de Bolívarمصطلحات موضوعية: Adult, Blood Glucose, Uva/Padova simulator, Adolescent, Neuro-fuzzy, Computer science, Population, Recurrent neural network, Machine learning, computer.software_genre, Fuzzy logic, Chart, Control theory, medicine, Diabetes Mellitus, Humans, Hypoglycemic Agents, Insulin, Computer Simulation, Electrical and Electronic Engineering, Child, education, Instrumentation, Type 1 diabetes, education.field_of_study, Neural multi-step predictor, LEMB, business.industry, Applied Mathematics, Type 1 Diabetes Mellitus, medicine.disease, Computer Science Applications, Fuzzy inference, Diabetes Mellitus, Type 1, Basal (medicine), Control and Systems Engineering, Artificial intelligence, business, computer, Algorithms
الوصف: Diabetes Mellitus is a serious metabolic condition for global health associations. Recently, the number of adults, adolescents and children who have developed Type 1 Diabetes Mellitus (T1DM) has increased as well as the mortality statistics related to this disease. For this reason, the scientific community has directed research in developing technologies to reduce T1DM complications. This contribution is related to a feedback control strategy for blood glucose management in population samples of ten virtual adult subjects, adolescents and children. This scheme focuses on the development of an inverse optimal control (IOC) proposal which is integrated by neural identification, a multi-step prediction (MSP) strategy, and Takagi-Sugeno (T-S) fuzzy inference to shape the convenient insulin infusion in the treatment of T1DM patients. The MSP makes it possible to estimate the glucose dynamics 15 min in advance; therefore, this estimation allows the Neuro-Fuzzy-IOC (NF-IOC) controller to react in advance to prevent hypoglycemic and hyperglycemic events. The T-S fuzzy membership functions are defined in such a way that the respective inferences change basal infusion rates for each patient's condition. The results achieved for scenarios simulated in Uva/Padova virtual software illustrate that this proposal is suitable to maintain blood glucose levels within normoglycemic values (70-115 mg/dL); furthermore, this level remains less than 250 mg/dL during the postprandial event. A comparison between a simple neural IOC (NIOC) and the proposed NF-IOC is carried out using the analysis for control variability named CVGA chart included in the Uva/Padova software. This analysis highlights the improvement of the NF-IOC treatment, proposed in this article, on the NIOC approach because each subject is located inside safe zones for the entire duration of the simulation.
وصف الملف: 10 páginas; Pdf; application/pdf; 10 Páginas
الوصول الحر: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::28ade8a21909940c7816914c3a72f8f6Test
https://hdl.handle.net/20.500.12585/12172Test -
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المصدر: Journal of the Franklin Institute. 357:9633-9653
مصطلحات موضوعية: Computer Networks and Communications, Computer science, 0206 medical engineering, Population, 030209 endocrinology & metabolism, 02 engineering and technology, Hypoglycemia, Machine learning, computer.software_genre, Artificial pancreas, 03 medical and health sciences, 0302 clinical medicine, Control theory, Diabetes mellitus, medicine, Sensitivity (control systems), education, Parametric statistics, education.field_of_study, business.industry, Applied Mathematics, medicine.disease, 020601 biomedical engineering, Control and Systems Engineering, Signal Processing, Blood sugar regulation, Artificial intelligence, business, computer
الوصف: Type 1 Diabetes Mellitus (T1DM) remains as a severe public health problem in a wide range of population, from children to adults. Recently, the number of diabetics worldwide and morbility rates are increasing. Therefore, emerging technologies as the artificial pancreas (AP) are directing their efforts to improve treatments and to reduce long-term complications. In this work, a cross-age control strategy is proposed to tackle the blood glucose regulation problem in people with T1DM. The contribution of this paper is focused on the blood glucose regulation in T1DM patients, at distinct ages, and it can be controlled in face to physiological uncertain parameters. In other words, a robust model-based controller is proposed via μ-synthesis technique by considering structured uncertainties in physiological meaningful parameters. The proposed controller exhibits the feasibility for blood glucose regulation in virtual diabetic children, adolescents and adults. The relevance of these parameters lies in their high sensitivity to the solutions of a physiological mathematical model; that is, a slight parametric variation can lead to a hyperglycemic scenario. Thus, it is innovative to consider this uncertainties scheme in parameters that are directly related to the glucose dynamics. The robust control algorithm was integrated into the well-known Uva/Padova simulator for T1DM to show the technical viability of this methodology in the available three populations. The outcomes of a control variability grid analysis show that 90.9% of virtual adults are in upper B-zone and 9.09% in B-zone. Likewise for virtual adolescents, 90.9% fall in upper B-zone and 9.09% B-zone. Regarding children, 63.63% lie in upper B-zone, 27.27% B-zone and only 9.09% failure to deal with hypoglycemia. Furthermore, the results are compared to the ones obtained from H ∞ schemes previously reported which also were implemented in the simulator. Despite being a theoretical approach, the results reveal that the proposed cross-age control scheme could be a useful strategy in the development of real PA systems that lead to future clinical trials in humans.
الوصول الحر: https://explore.openaire.eu/search/publication?articleId=doi_________::1eec42fbd8d8d892b74daa2473cc630aTest
https://doi.org/10.1016/j.jfranklin.2020.07.030Test -
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المؤلفون: Joel P. Villarino, Álvaro Leitao, J.A. García Rodríguez
مصطلحات موضوعية: Boundary conditions, Applied Mathematics, PINNs, Deep learning, Computational Finance (q-fin.CP), Nonlinear, Numerical Analysis (math.NA), 68T07, 35Q91, 65M99, 91G20, FOS: Economics and business, Computational Mathematics, Couterparty credit risk, Quantitative Finance - Computational Finance, FOS: Mathematics, Mathematics - Numerical Analysis, PDEs
الوصف: [Abstract]: The goal of this work is to develop a novel strategy for the treatment of the boundary conditions for multi-dimension nonlinear parabolic PDEs. The proposed methodology allows to get rid of the heuristic choice of the weights for the different addends that appear in the loss function related to the training process. It is based on defining the losses associated to the boundaries by means of the PDEs that arise from substituting the related conditions into the model equation itself. The approach is applied to challenging problems appearing in quantitative finance, namely, in counterparty credit risk management. Further, automatic differentiation is employed to obtain accurate approximation of the partial derivatives, the so called Greeks, that are very relevant quantities in the field. Xunta de Galicia; ED431C 2018/33 Xunta de Galicia; ED431G 2019/01 A.L and J.A.G.R. acknowledge the support received by the Spanish MINECO under research project number PDI2019-108584RB-I00, and by the Xunta de Galicia, Spain under grant ED431C 2018/33. All the authors thank to the support received from the CITIC research center, funded by Xunta de Galicia and the European Union (European Regional Development Fund - Galicia Program, Spain ), by grant ED431G 2019/01.
الوصول الحر: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8fa04990d2bde52f8be4bd7c8d0f9066Test
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المؤلفون: Y. Yuliana Rios, E. Ruiz-Velázquez, Aldo Pardo García, J.A. García-Rodríguez, Edgar N. Sanchez, Alma Y. Alanis
المصدر: Control Applications for Biomedical Engineering Systems 2020, Pages 1-24
مصطلحات موضوعية: Neuro-fuzzy, Artificial neural network, Computer science, business.industry, Intelligent decision support system, Recurrent high-order neural network, Type 1 diabetes mellitus, Machine learning, computer.software_genre, Artificial pancreas, Fuzzy logic, Fuzzy inference, Basal (medicine), Control theory, Uva/Padova, Simulator, Blood sugar regulation, Artificial intelligence, Inverse optimal control, business, computer
الوصف: Emerging technologies seek to provide effective solutions to the most severe health problems such as type 1 diabetes mellitus (T1DM). In fact, the number of diabetics around the world has increased as well as the mortality rate associated with this condition. T1DM is caused by an autoimmune failure which disables the pancreas to produce insulin; therefore, glucose is not correctly metabolized to be used as efficient energy. Consequently, the most important fact is to keep the patient's blood glucose level within normal ranges in order to avoid long-term complications. Recently, engineering innovative approaches based on intelligent systems such as artificial neural networks have been proposed for control in biomedical systems. In this work, a novel neuro-fuzzy control scheme for blood glucose regulation in virtual T1DM patients is proposed. The glucose-insulin dynamics is modeled by a recurrent high-order neural network and then a neural multistep predictor is incorporated in order to know the glucose behavior within a 15-min horizon; thereby, allowing the knowledge of future values to determine the convenient basal infusion insulin rate as defined by the fuzzy membership functions. Test using the well-known Uva/Padova simulator illustrated that the proposed neuro-fuzzy controller maintains normoglycemia in virtual populations of adults, adolescents, and children digressing from two other neuro control approaches. Thus, intelligent systems based on neural networks offer enormous potential for health improvement of T1DM patients. The present contribution illustrates very encouraging results to closed-loop glucose level regulation regarding the autonomous artificial pancreas.
وصف الملف: application/pdf
الوصول الحر: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::014d6d2d282ab060e49c953d41c4a2c7Test
https://doi.org/10.1016/b978-0-12-817461-6.00001-9Test -
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المؤلفون: P. Abuin, Omid Aghajanzadeh, Alma Y. Alanis, Mumtaz Ali, Vibha Bhalerao, Mathias Blandeau, Manuchi Dansa, Paolo Di Giamberardino, Urmila Diwekar, Ali Falsafi, A. Ferramosca, Aldo Pardo Garcia, J.A. García-Rodríguez, J.L. Godoy, A.H. González, Thierry-Marie Guerra, Wassim M. Haddad, Jorge Herrera, Mehdi Hosseinzadeh, Daniela Iacoviello, Asier Ibeas, M. Ishfaq, Davide Manca, Eduardo Márquez-Martín, Nader Meskin, null NasimUllah, Apoorva Nisal, Tiago Roux Oliveira, Francisco Ortega-Ruiz, Regina Padmanabhan, Victor Hugo Pereira Rodrigues, Philippe Pudlo, Muhammad Mohsin Rafiq, Javier Reina-Tosina, Y.Yuliana Rios, Pablo S. Rivadeneira, Laura María Roa-Romero, E. Ruiz-Velázquez, Edgar N. Sanchez, Adriana Savoca, J.E. Sereno, Mojtaba Sharifi, Alejandro Talaminos-Barroso, Fleur T. Tehrani, Kirti Yenkie
الوصول الحر: https://explore.openaire.eu/search/publication?articleId=doi_________::54870d1b3f73665f95ca541888a82946Test
https://doi.org/10.1016/b978-0-12-817461-6.09992-3Test -
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المصدر: REVISTA COLOMBIANA DE TECNOLOGIAS DE AVANZADA (RCTA). 2
الوصف: Resumen: La condición de Diabetes Mellitus Tipo 1 (DMT1) ocurre cuando el páncreas se comporta de manera anormal e impide la producción de insulina parcialmente o totalmente. Por lo tanto, la glucosa no es metabolizada para convertirse en una fuente natural de energía y permanece en el torrente sanguíneo. Esta enfermedad causa miles de muertes alrededor del mundo. Los sectores de salud, así como la comunidad científica, han fortalecido los esfuerzos para proporcionar tratamientos más efectivos. En este trabajo, se expone un novedoso enfoque de control neuro-difuso para la regulación de la glucosa en sangre en pacientes virtuales con DMT1. La estrategia es diseñada tal que las funciones de membresía están definidas para determinar la tasa de infusión de insulina para evitar eventos de hiperglucemia e hipoglucemia. Adicionalmente, se lleva a cabo un prototipado rápido programando la ley de control óptimo inverso en la tarjeta de desarrollo LAUNCHXL-F28069M de Texas Instruments Inc. El análisis de la variabilidad de control (Siglas en inglés CVGA) obtenido a través del simulador Uva/Padova muestra claramente un desempeño satisfactorio para la reducción de hiperglucemia e hipoglucemia en una población de 10 adultos virtuales. De esta manera, el trabajo tiene como objetivo expandir la investigación de la diabetes hacia el Páncreas Artificial (PA) como un dispositivo programable.
الوصول الحر: https://explore.openaire.eu/search/publication?articleId=doi_________::85f943e9382b25ccccf6eb5986868c1fTest
https://doi.org/10.24054/16927257.v32.n32.2018.3023Test -
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المؤلفون: Edgar N. Sanchez, E. Ruiz-Velázquez, Alma Y. Alanis, J.A. García-Rodríguez, Y. Yuliana Rios
المصدر: LA-CCI
مصطلحات موضوعية: Rapid prototyping, Type 1 diabetes, endocrine system diseases, Neuro-fuzzy, Computer science, Insulin, medicine.medical_treatment, nutritional and metabolic diseases, Hypoglycemia, medicine.disease, Risk analysis (engineering), Control theory, Diabetes mellitus, medicine, Blood sugar regulation
الوصف: The Type 1 Diabetes Mellitus (T1DM) disease appears due to a pancreas atypical failure, which precludes insulin production. Hence, glucose is not metabolized to become a natural source of energy and therefore remains in the bloodstream. Dealing with T1DM becomes a very serious issue since it causes the death of millions of people around the world. Government sectors, as well as the scientific community, have enhanced efforts to provide convenient treatments. This article exposes a novel neuro-fuzzy control approach for blood glucose regulation in T1DM virtual patients. The scheme is designed so that the membership functions are well-defined to determine the rate of insulin infusion to avoid hyperglycemia and hypoglycemia episodes. In addition, a rapid prototyping is carried out by programming the control law into the LAUNCHXL-F28069M development board from Texas Instruments Inc. The results obtained in the UVa/Padova simulator clearly show that the approach is capable of maintaining postprandial glycemia in a virtual adult when the controller is a programmed external device. This work aims to expand diabetes research towards programmable devices.
الوصول الحر: https://explore.openaire.eu/search/publication?articleId=doi_________::6daa4451f4b9b62fb832c5b7b1448466Test
https://doi.org/10.1109/la-cci.2018.8625241Test
