Related papers: Density functions in high-dimensional basket optio…

In order to construct a general density-functional theory for nonuniform fluid mixtures, we propose an extension to multicomponent systems of the weighted-density approximation (WDA) of Curtin and Ashcroft [Phys. Rev. A 32, 2909 (1985)].…

Density-functional theory is a formally exact description of a many-body quantum system in terms of its density; in practice, however, approximations to the universal density functional are required. In this work, a model based on deep…

We study densities of two-dimensional diffusion processes with one non-negative component. For such diffusions, the density may explode at the boundary, thus making a precise specification of the boundary condition in the corresponding…

In this paper we discuss a closed-form approximation of the likelihood functions of an arbitrary diffusion process. The approximation is based on an exponential ansatz of the transition probability for a finite time step $\Delta t$, and a…

A number of fundamental quantities in statistical signal processing and information theory can be expressed as integral functions of two probability density functions. Such quantities are called density functionals as they map density…

The rational function approximation method, density functional theory, and NVT Monte Carlo simulation are used to obtain the density profiles of multicomponent hard-sphere mixtures near a planar hard wall. Binary mixtures with a size ratio…

In the present work, we introduce a Self-Consistent Density-Functional Embedding technique, which leaves the realm of standard energy-functional approaches in Density Functional Theory and targets directly the density-to-potential mapping…

We propose a new estimation procedure of the conditional density for independent and identically distributed data. Our procedure aims at using the data to select a function among arbitrary (at most countable) collections of candidates. By…

For certain types of statistical models, the characteristic function (Fourier transform) is available in closed form, whereas the probability density function has an intractable form, typically as an infinite sum of probability weighted…

Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatility setting. Four examples are provided in…

Given a decision process based on the approximate probability density function returned by a data assimilation algorithm, an interaction level between the decision making level and the data assimilation level is designed to incorporate the…

We present closed analytical approximations for the pricing of basket options, also applicable to Asian options with discrete averaging under the Black-Scholes model with time-dependent parameters. The formulae are obtained by using a…

We present closed analytical approximations for the pricing of Asian basket spread options under the Black-Scholes model. The formulae are obtained by using a stochastic Taylor expansion around a log-normal proxy model and are found to be…

In this paper, authors successfully construct a new algorithm for the new higher order scheme of weak approximation of SDEs. The algorithm presented here is based on [1][2]. Although this algorithm shares some features with the algorithm…

The authors present a new simple algorithm to approximate weakly stochastic differential equations in the spirit of [1] and [2]. They apply it to the problem of pricing Asian options under the Heston stochastic volatility model, and compare…

Kohn-Sham spin-density functional theory provides an efficient and accurate model to study electron-electron interaction effects in quantum dots, but its application to large systems is a challenge. An efficient algorithm for the…

A geometry-based density functional theory is presented for mixtures of hard spheres, hard needles and hard platelets; both the needles and the platelets are taken to be of vanishing thickness. Geometrical weight functions that are…

This chapter presents the development of a density functional theory (DFT)-based method for accurate, reliable treatment of various resonances in atoms. Many of these are known to be notorious for their strong correlation, proximity to more…

We propose a systematic and constructive way to determine the exchange-correlation potentials of density-functional theories including vector potentials. The approach does not rely on energy or action functionals. Instead it is based on…

This paper develops a novel analytically tractable Neumann series of Bessel functions representation for pricing (and hedging) European-style double barrier knock-out options, which can be applied to the whole class of one-dimensional…