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Fast Valuation of Options Under Parameter Uncertainty

Option valuation is typically done under the assumption of perfect knowledge about latent states (such as stochastic volatility) and parameters, an assumption that is rather dubious from a statistical point of view! This needs to be accounted for without introducing arbitrage. Fourier based methods for computing (vanilla) option values are nowadays the bread and butter in many risk management sys

Bonsai: Rapid Bounding Volume Hierarchy Generation using Mini Trees

We present an algorithm, called Bonsai, for rapidly building bounding volume hierarchies for ray tracing. Our method starts by computing midpoints of the triangle bounding boxes and then performs a rough hierarchical top-down split using the midpoints, creating triangle groups with tight bounding boxes. For each triangle group, a mini tree is built using an improved sweep SAH method. Once all mini

Secure RPC in embedded system - Evaluation of some GlobalPlatform implementation alternatives

In secure computing systems, isolation between different components is normally the basis for security. However, ab- solute isolation is seldom desired nor practical. Often for the system to function, a secure communication channel between otherwise isolated components is also needed. In this work, we consider implementation of the secure Remote Procedure Call (RPC) mechanism defined by the Global

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