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1,052 results on '"Chang, Shuo"'

106. Option pricing under a double-exponential jump-diffusion model with varying severity of jumps

Author

Xenos Chang-Shuo Lin, Daniel Wei-Chung Miao, Ying-I Lee, and Yu Zheng

Subjects
Statistics and Probability, Management Science and Operations Research, Statistics, Probability and Uncertainty, Industrial and Manufacturing Engineering
Abstract

This paper extends the standard double-exponential jump-diffusion (DEJD) model to allow for successive jumps to bring about different effects on the asset price process. The double-exponentially distributed jump sizes are no longer assumed to have the same parameters; instead, we assume that these parameters may take a series of different values to reflect growing or diminishing effects from these jumps. The mathematical analysis of the stock price requires an introduction of a number of distributions that are extended from the hypoexponential (HE) distribution. Under such a generalized setting, the European option price is derived in closed-form which ensures its computational convenience. Through our numerical examples, we examine the effects on the return distributions from the growing and diminishing severity of the upcoming jumps expected in the near future, and investigate how the option prices and the shapes of the implied volatility smiles are influenced by the varying severity of jumps. These results demonstrate the benefits of the modeling flexibility provided by our extension.

Published
2023

117. E2E Segmentation in a Two-Pass Cascaded Encoder ASR Model

Author

Huang, W. Ronny, primary, Chang, Shuo-Yiin, additional, Sainath, Tara N., additional, He, Yanzhang, additional, Rybach, David, additional, David, Robert, additional, Prabhavalkar, Rohit, additional, Allauzen, Cyril, additional, Peyser, Cal, additional, and Strohman, Trevor D., additional

Published
2023
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119. Option pricing under a double-exponential jump-diffusion model with varying severity of jumps.

Author

Xenos Chang-Shuo Lin, Wei-Chung Miao, Daniel, Ying-I Lee, and Yu Zheng

Subjects
*PRICES, *MARKET volatility, *MATHEMATICAL analysis, *SMILING
Abstract

This paper extends the standard double-exponential jump-diffusion (DEJD) model to allow for successive jumps to bring about different effects on the asset price process. The double-exponentially distributed jump sizes are no longer assumed to have the same parameters; instead, we assume that these parameters may take a series of different values to reflect growing or diminishing effects from these jumps. The mathematical analysis of the stock price requires an introduction of a number of distributions that are extended from the hypoexponential (HE) distribution. Under such a generalized setting, the European option price is derived in closed-form which ensures its computational convenience. Through our numerical examples, we examine the effects on the return distributions from the growing and diminishing severity of the upcoming jumps expected in the near future, and investigate how the option prices and the shapes of the implied volatility smiles are influenced by the varying severity of jumps. These results demonstrate the benefits of the modeling flexibility provided by our extension. [ABSTRACT FROM AUTHOR]

Published
2024
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130. A Unified Power Amplifier Representation-Based Receiver Equalization Technique for Nonlinear OFDM Signal Detection

Author

He, Jiashuo, Huang, Sai, Huang, Yuzhen, Chang, Shuo, Ying, Shanchuan, Shen, Ba-Zhong, and Feng, Zhiyong

Abstract

The power amplifier (PA) is an indispensable component in wireless communication systems, while the nonlinearity induced by PA can lead to significant performance degradation. The conventional nonlinearity equalization (NLE) method can effectively mitigate the nonlinear effects and provide superior BER performance but requires intensive computational complexity. To this end, we propose a novel NLE method in the time domain, which can significantly reduce the computational complexity without sacrificing the BER performance. Specifically, we first propose a novel PA representation of the sum of products (SPs), which is a unified time-domain representation for several typical memory and memoryless PA models. On this basis, the SPs-iterative least square equalizer (SPs-ILSE) method is proposed to mitigate the impact of both the memory and memoryless PA’s nonlinear distortions at the receiver side. The computational complexity of complex multiplication (CCCM) in the proposed method is $O(N\text {log}N)$ for the memoryless PA models and $O(KN^{2})$ for the memory PA models. Moreover, considering the commonly utilized PA models, we also derive the closed-form expression for the achievable SINR of the SPs-ILSE method in the ideal conditions. Numerical results show that (i) the closed-form SINR expression is valid for both the memory and memoryless scenarios (ii) the proposed method exhibits the superior bit error rate (BER) performance in comparison to several relevant nonlinear signal processing methods such as digital pre-distortion (DPD), and power amplifier nonlinearity cancellation (PANC) (iii) the proposed NLE method achieves the same BER performance as the previous NLE method, i.e., reconstruction of distorted signals (RODS), while the CCCM of the proposed method is much lower.

Published
2024
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133. Acute Glycemic Variability and Early Outcomes After Cardiac Surgery: A Meta-Analysis.

Author

Chang, Shuo, Xu, Mian, Wang, Yu, and Zhang, Yanbo

Subjects
*CARDIAC surgery, *CORONARY artery bypass, *GLYCOSYLATED hemoglobin
Abstract

The influence of acute glycemic variability (GV) on early outcomes of patients after cardiac surgery remains not fully determined. We performed a systematic review and meta-analysis to evaluate the association between acute GV and in-hospital outcomes of patients after cardiac surgery. Relevant observational studies were obtained by search of electronic databases including Medline, Embase, Cochrane Library, and Web of Science. A randomized-effects model was selected to pool the data by incorporating the influence of potential heterogeneity. Nine cohort studies involving 16 411 patients after cardiac surgery were included in this meta-analysis. Pooled results showed that a high acute GV was associated with an increased risk of major adverse events (MAE) during hospitalization for patients after cardiac surgery [odds ratio [OR]: 1.29, 95% CI: 1.15 to 1.45, p<0.001, I22=38%]. Sensitivity analysis limited to studies of on-pump surgery and GV evaluated by coefficient of variation of blood glucose showed similar results. Subgroup analysis suggested that a high acute GV was related to an increased incidence of MAE in patients after coronary artery bypass graft, but not for those after isolated valvular surgery (p=0.04), and the association was weakened after adjustment of glycosylated hemoglobin (p=0.01). Moreover, a high acute GV was also related to an increased risk of in-hospital mortality (OR: 1.55, 95% CI: 1.15 to 2.09, p=0.004; I22=0%). A high acute GV may be associated with poor in-hospital outcomes in patients after cardiac surgery. [ABSTRACT FROM AUTHOR]

Published
2023
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