A nonlinear partial integro-differential equation from mathematical finance

We study a nonlinear partial integrodifferential equation arising in the calibration of stochastic volatility models to a market of vanilla options.

Mining Urban Performance: Scale-Independent Classification of Cities Based on Individual Economic Transactions

Intensive development of urban systems creates a number of challenges for urban planners and policy makers in order to maintain sustainable growth. Running efficient urban policies requires meaningful urban metrics, which could quantify important urban characteristics including various aspects of an actual human behavior. Since a city size is known to have a major, yet often nonlinear, impact on the human activity, it also becomes important to develop scale-free metrics that capture qualitative city properties, beyond the effects of scale. Recent availability of extensive datasets created by human activity involving digital technologies creates new opportunities in this area. In this paper we propose a novel approach of city scoring and classification based on quantitative scale-free metrics related to economic activity of city residents, as well as domestic and foreign visitors. It is demonstrated on the example of Spain, but the proposed methodology is of a general character. We employ a new source of large-scale ubiquitous data, which consists of anonymized countrywide records of bank card transactions collected by one of the largest Spanish banks. Different aspects of the classification reveal important properties of Spanish cities, which significantly complement the pattern that might be discovered with the official socioeconomic statistics.Comment: 10 pages, 7 figures, to be published in the proceedings of ASE BigDataScience 2014 conferenc

Revisiting Street Intersections Using Slot-Based Systems

Since their appearance at the end of the 19th century, traffic lights have been the primary mode of granting access to road intersections. Today, this centuries-old technology is challenged by advances in intelligent transportation, which are opening the way to new solutions built upon slot-based systems similar to those commonly used in aerial traffic: what we call Slot-based Intersections (SIs). Despite simulation-based evidence of the potential benefits of SIs, a comprehensive, analytical framework to compare their relative performance with traffic lights is still lacking. Here, we develop such a framework. We approach the problem in a novel way, by generalizing classical queuing theory. Having defined safety conditions, we characterize capacity and delay of SIs. In the 2-road crossing configuration, we provide a capacity-optimal SI management system. For arbitrary intersection configurations, near-optimal solutions are developed. Results theoretically show that transitioning from a traffic light system to SI has the potential of doubling capacity and significantly reducing delays. This suggests a reduction of non-linear dynamics induced by intersection bottlenecks, with positive impact on the road network. Such findings can provide transportation engineers and planners with crucial insights as they prepare to manage the transition towards a more intelligent transportation infrastructure in cities