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We present a quantum algorithm that analyzes risk more efficiently than Monte Carlo simulations traditionally used on classical computers. We employ quantum amplitude estimation to evaluate risk measures such as Value at Risk and…
In this paper a simple, effective adaptation of Alternating Direction Implicit (ADI) time discretization schemes is proposed for the numerical pricing of American-style options under the Heston model via a partial differential…
In this paper we propose a copula contagion mixture model for correlated default times. The model includes the well known factor, copula, and contagion models as its special cases. The key advantage of such a model is that we can study the…
Correlation clustering is a widely used technique in unsupervised machine learning. Motivated by applications where individual privacy is a concern, we initiate the study of differentially private correlation clustering. We propose an…
The risk of a credit portfolio depends crucially on correlations between the probability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the…
While there is a general focus on predictions of values, mathematically more appropriate is prediction of probability distributions: with additional possibilities like prediction of uncertainty, higher moments and quantiles. For the purpose…
In the following paper we provide a review and development of sequential Monte Carlo (SMC) methods for option pricing. SMC are a class of Monte Carlo-based algorithms, that are designed to approximate expectations w.r.t a sequence of…
In this article, we present a review of the recent developments on the topic of Multilevel Monte Carlo (MLMC) algorithm, in the paradigm of applications in financial engineering. We specifically focus on the recent studies conducted in two…
Classical dependence measures such as Pearson correlation, Spearman's $\rho$, and Kendall's $\tau$ can detect only monotonic or linear dependence. To overcome these limitations, Szekely et al.(2007) proposed distance covariance as a…
We consider the problem of estimating assortment probabilities, which is common in operations management applications, including product bundling, advertising, etc. Existing approaches typically model each assortment as a category and apply…
This paper presents numerical algorithm and results for pricing a capital protection option offered by many asset managers for investment portfolios to take advantage of market growth and protect savings. Under optimal withdrawal…
Correlation filters take advantage of specific properties in the Fourier domain allowing them to be estimated efficiently: O(NDlogD) in the frequency domain, versus O(D^3 + ND^2) spatially where D is signal length, and N is the number of…
Automatic differentiation (AD) is a technique for computing the derivative of a function represented by a program. This technique is considered as the de-facto standard for computing the differentiation in many machine learning and…
Risk aggregation is a popular method used to estimate the sum of a collection of financial assets or events, where each asset or event is modelled as a random variable. Applications, in the financial services industry, include insurance,…
In the paper, we use and investigate copulas models to represent multivariate dependence in financial time series. We propose the algorithm of risk measure computation using copula models. Using the optimal mean-$CVaR$ portfolio we compute…
We report results of a Monte Carlo simulation of the $\phi^4$ quantum chain. In order to enhance the efficiency of the simulation we combine multigrid simulation techniques with a refined discretization scheme. The resulting accuracy of our…
A critical problem in the financial world deals with the management of risk, from regulatory risk to portfolio risk. Many such problems involve the analysis of securities modelled by complex dynamics that cannot be captured analytically,…
The exact and phaseless variants of Auxiliary-Field Quantum Monte Carlo (AFQMC) have been shown to be capable of producing accurate ground-state energies for a wide variety of systems including those which exhibit substantial electron…
Clustering is at the very core of machine learning, and its applications proliferate with the increasing availability of data. However, as datasets grow, comparing clusterings with an adjustment for chance becomes computationally difficult,…
Adversarial Optimization (AO) provides a reliable, practical way to match two implicitly defined distributions, one of which is usually represented by a sample of real data, and the other is defined by a generator. Typically, AO involves…