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Stochastic Mesh Method

2010· other· en· W1579452772 on OpenAlex
Adam W. Kolkiewicz

Why this work is in the frame

A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.

affAt least one author lists a Canadian institution in the pinned OpenAlex snapshot.

Bibliographic record

VenueEncyclopedia of Quantitative Finance · 2010
Typeother
Languageen
FieldEconomics, Econometrics and Finance
TopicStochastic processes and financial applications
Canadian institutionsUniversity of Waterloo
Fundersnot available
KeywordsDiscretizationContinuationDimension (graph theory)Mathematical optimizationRepresentation (politics)Computer scienceAsymptotically optimal algorithmDynamic programmingState spaceMathematicsApplied mathematicsCombinatoricsMathematical analysis

Abstract

fetched live from OpenAlex

Abstract Pricing options that depend on multiple assets and allow the owner to exercise early are challenging computational problems. Deterministic algorithms based on a discretization of the state space typically become ineffective, as the computational effort grows exponentially with the dimension of the problem. The stochastic mesh method has been designed to address these challenges. It approximates the dynamic programming representation of the price by randomly generating a mesh of points and then using weighted sums to calculate continuation values. The desirable feature of the method is that it provides lower and upper bounds for the true price and is asymptotically consistent.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.000
metaresearch head score (Gemma)0.001
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesMeta-epidemiology (narrow), Insufficient payload (model declined to judge)
Consensus categoriesInsufficient payload (model declined to judge)
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: none
GenreCandidate signal: Other · Consensus signal: none
Teacher disagreement score0.707
Threshold uncertainty score1.000

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0000.001
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0000.001
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0010.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0010.001

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.028
GPT teacher head0.288
Teacher spread0.260 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it