CWI Centrum Wiskunde and Informatica

Amsterdam, Netherlands

CWI Centrum Wiskunde and Informatica

Amsterdam, Netherlands
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Ortiz-Gracia L.,CWI Centrum Wiskunde and Informatica | Oosterlee C.W.,Technical University of Delft
SIAM Journal on Scientific Computing | Year: 2013

We present a novel method for pricing European options based on the wavelet approximation method and the characteristic function. We focus on the discounted expected payoff pricing formula and compute it by means of wavelets. We approximate the density function associated to the underlying asset price process by a finite combination of jth order B-splines, and recover the coefficients of the approximation from the characteristic function. Two variants for wavelet approximation will be presented, where the second variant adaptively determines the range of integration. The compact support of a B-splines basis enables us to price options in a robust way, even in cases where Fourier-based pricing methods may show weaknesses. The method appears to be particularly robust for pricing long-maturity options, fat-tailed distributions, as well as staircase-like density functions encountered in portfolio loss computations. Copyright © by SIAM. Unauthorized reproduction of this article is prohibited.


Muller-Lennert M.,ETH Zurich | Dupuis F.,University of Aarhus | Szehr O.,TU Munich | Fehr S.,CWI Centrum Wiskunde and Informatica | Tomamichel M.,National University of Singapore
Journal of Mathematical Physics | Year: 2013

The Rényi entropies constitute a family of information measures that generalizes the well-known Shannon entropy, inheriting many of its properties. They appear in the form of unconditional and conditional entropies, relative entropies, or mutual informationhave found many applications in information theory and beyond. Various generalizations of Rényi entropies to the quantum setting have been proposed, most prominently Petz's quasi-entropies and Renner's conditional min-, max-collision entropy. However, these quantum extensions are incompatible and thus unsatisfactory. We propose a new quantum generalization of the family of Rényi entropies that contains the von Neumann entropy, min-entropy, collision entropythe max-entropy as special cases, thus encompassing most quantum entropies in use today. We show several natural properties for this definition, including data-processing inequalities, a duality relationan entropic uncertainty relation. © 2013 AIP Publishing LLC.


Jansen J.,CWI Centrum Wiskunde and Informatica
MM 2014 - Proceedings of the 2014 ACM Conference on Multimedia | Year: 2014

When using a videoconferencing system there will always be a delay from sender to receiver. Such delays affect human communication, and therefore knowing the delay is a major factor in judging the expected quality of experience of the conferencing system. Additionally, for implementors, tuning the system to reduce delay requires an ability to effectively and easily gather delay metrics on a potentially wide range of settings. In order to support this process, we make available a system called videoLat. VideoLat provides an innovative approach to understand glass-toglass video delays and speaker-to-microphone audio delays. VideoLat can be used as-is to do audio and video roundtrip delays of black box systems, but by making it available as open source we want to enable people to extend and modify it for different scenarios, such as measuring one-way delays or delay of camera switching.


Nemcova J.,CWI Centrum Wiskunde and Informatica
2009 European Control Conference, ECC 2009 | Year: 2015

The concept of algebraic reachability refers to the property of a system that every state from a sufficiently big subset of a state-space can be reached from a given inital state by applying an admissible input to the system. In this paper we study algebraic reachability of rational systems. We provide necessary and sufficient conditions for a rational system to be algebraically reachable (from an initial state). These conditions are formulated in terms of ideals of polynomials which makes checking algebraic reachability of a system computationally feasible. We relate the notion of algebraic reachability to the notion of controllability of linear systems, (local and local strong) accessibility and controllability of nonlinear systems. © 2009 EUCA.


Cesar P.,CWI Centrum Wiskunde and Informatica | Cesar P.,Technical University of Delft
Communications in Computer and Information Science | Year: 2016

Several years ago, first conceptualizations of the usages of the secondary screen in the television environment were proposed. At the time, the real challenge was to convince stakeholders that interactivity was not a threat, but an opportunity. Ten years later, the mass adoption of smaller devices has reshaped the media landscape, truly enabling interactivity while consuming media content at home. What was perceived as hindering the user experience - the second screen - has resulted into an essential companion to the television. Paradoxically, even though key players are investing on secondary screen applications, there are very few successful examples. In this paper we provide an overview of the present state of the art through representative examples and discuss future possibilities and challenges. In particular, we will focus on the importance of immersion, taking into account the surrounding of the users, and of sociability, involving her social network. © Springer International Publishing Switzerland 2016.


Laiola Guimaraes R.,CWI Centrum Wiskunde and Informatica
MM'10 - Proceedings of the ACM Multimedia 2010 International Conference | Year: 2010

This thesis aims to analyze, model, and develop a framework for next-generation multimedia authoring tools targeted to end-users. In particular, I concentrate on the combination of automatic and manual processes for the realization of such framework. My contributions are realized in the context of a pan-European project called Together Anywhere, Together Anytime (TA2). More specifically in a community-sharing environment in which users can combine video assets contributed by other community members to form personalized mini-stories that can be shared within their (probably restricted) social groups. The expected outcome of my thesis work is contributing for the design of authoring and sharing tools that better fit end-users' needs.


Guimaraes R.L.,CWI Centrum Wiskunde and Informatica | Cesar P.,CWI Centrum Wiskunde and Informatica | Bulterman D.C.A.,CWI Centrum Wiskunde and Informatica
DocEng2010 - Proceedings of the 2010 ACM Symposium on Document Engineering | Year: 2010

This paper introduces a multimedia document model that can structure community comments about media. In particular, we describe a set of temporal transformations for multimedia documents that allow end-users to create and share personalized timed-text comments on third party videos. The benefit over current approaches lays in the usage of a rich captioning format that is not embedded into a specific video encoding format. Using as example a Web-based video annotation tool, this paper describes the possibility of merging video clips from different video providers into a logical unit to be captioned, and tailoring the annotations to specific friends or family members. In addition, the described transformations allow for selective viewing and navigation through temporal links, based on end-users' comments. We also report on a predictive timing model for synchronizing unstructured comments with specific events within a video(s). The contributions described in this paper bring significant implications to be considered in the analysis of rich media social networking sites and the design of next generation video annotation tools. © Copyright 2010 ACM.


Jansen J.,CWI Centrum Wiskunde and Informatica | Cesar P.,CWI Centrum Wiskunde and Informatica | Bulterman D.C.A.,CWI Centrum Wiskunde and Informatica
DocEng2010 - Proceedings of the 2010 ACM Symposium on Document Engineering | Year: 2010

Inclusion of content with temporal behavior in a structured document leads to such a document gaining temporal semantics. If we then allow changes to the document during its presentation, this brings with it a number of fundamental issues that are related to those temporal semantics. In this paper we study modifications of active multimedia documents and the implications of those modifications for temporal consistency. Such modifications are becoming increasingly important as multimedia documents move from being primarily a standalone presentation format to being a building block in a larger application. We present a categorization of modification operations, where each category has distinct consistency and implementation implications for the temporal semantics. We validate the model by applying it to the SMIL language, categorizing all possible editing operations. Finally, we apply the model to the design of a teleconferencing application, where multimedia composition is only a small component of the whole application, and needs to be reactive to the rest of the system. The primary contribution of this paper is the development of a temporal editing model and a general analysis which we feel can help application designers to structure their applications such that the temporal impact of document modification can be minimized. © Copyright 2010 ACM.


Cesar P.,CWI Centrum Wiskunde and Informatica | Geerts D.,Catholic University of Leuven
2011 IEEE Consumer Communications and Networking Conference, CCNC'2011 | Year: 2011

Social Television constitutes a fundamental shift in how people interact and socialize around television content. Websites are starting to combine streaming services with social networking sites such as Facebook and Twitter. Media software like Boxee allows users to recommend and share favorite television programs, and friends can jointly watch television remotely as demonstrated by Motorola's Social TV. The purpose of this paper is to provide a structured overview of current developments in this emerging field. Current offerings can be categorized based on the social purpose: content selection and recommendation, communication, community building, and status update. The framework proposed in this article is useful for better understanding the current situation and for identifying future developments. © 2011 IEEE.


Jansen J.,CWI Centrum Wiskunde and Informatica | Bulterman D.C.A.,CWI Centrum Wiskunde and Informatica
Proceedings of the International Workshop on Network and Operating System Support for Digital Audio and Video | Year: 2013

The complexities and physical constraints associated with video transmission make the introduction of video playout delays unavoidable. Tuning systems to reduce delay requires an ability to effectively and easily gather delay metrics on a potentially wide range of systems. In order to support this process, we report on a system called videoLat. VideoLat provides an innovative approach to understand glass-to-glass video delays. This paper provides a series of requirements for obtaining representative delay information, it illustrates how such measurements can provide insights into complex (and often closed) video processing systems, and it describes how user-centric testing can be supported in a more realistic manner. We also survey the present state of the art in video delay measurement. The main contribution of this work is that it provides a measuring framework that could serve as the basis for obtaining representative comparative measurements across a wide range of video processing environments. © 2013 ACM.

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