Related papers: Density functions in high-dimensional basket optio…
In quantitative finance, it is often necessary to analyze the distribution of the sum of specific functions of observed values at discrete points of an underlying process. Examples include the probability density function, the hedging…
A fast method of an arbitrary high order for approximating volume potentials is proposed, which is effective also in high dimensional cases. Basis functions introduced in the theory of approximate approximations are used. Results of…
It has recently been shown that a free energy for Baxter's sticky hard sphere fluid is uniquely defined within the framework of fundamental measure theory (FMT) for the inhomogeneous hard sphere fluid, provided that it obeys scaled-particle…
The mathematical theory of a novel variational approximation scheme for general second and fourth order partial differential equations \begin{equation}\label{eq: A} \partial_t u - \nabla\cdot\Big(u\nabla\frac{\delta\phi}{\delta…
This paper investigates the universal approximation capabilities of Hamiltonian Deep Neural Networks (HDNNs) that arise from the discretization of Hamiltonian Neural Ordinary Differential Equations. Recently, it has been shown that HDNNs…
The latter author, together with collaborators, proposed a numerical scheme to calculate the price of barrier options. The scheme is based on a symmetrization of diffusion process. The present paper aims to give a mathematical credit to the…
Density-functional theory is applied to compute the ground-state energies of quantum hard-sphere solids. The modified weighted-density approximation is used to map both the Bose and the Fermi solid onto a corresponding uniform Bose liquid,…
We showcase the advantages of orbital-free density-potential functional theory (DPFT), a more flexible variant of Hohenberg-Kohn density functional theory. DPFT resolves the usual trouble with the gradient-expanded kinetic energy functional…
This paper develops a new efficient scheme for approximations of expectations of the solutions to stochastic differential equations (SDEs). In particular, we present a method for connecting approximate operators based on an asymptotic…
This work addresses the problem of pricing American basket options in a multivariate setting, which includes among others, the Bachelier and the Black-Scholes models. In high dimensions, nonlinear partial differential equation methods for…
We study approximations to a class of vector-valued equations of Burgers type driven by a multiplicative space-time white noise. A solution theory for this class of equations has been developed recently in [Hairer, Weber, Probab. Theory…
Approximating functions by a linear span of truncated basis sets is a standard procedure for the numerical solution of differential and integral equations. Commonly used concepts of approximation methods are well-posed and convergent, by…
Spread options are a fundamental class of derivative contract written on multiple assets, and are widely used in a range of financial markets. There is a long history of approximation methods for computing such products, but as yet there is…
We present a set of benchmark calculations for the Kohn-Sham elastic transmission function of five representative single-molecule junctions. The transmission functions are calculated using two different density functional theory (DFT)…
A computational technique borrowed from the physical sciences is introduced to obtain accurate closed-form approximations for the transition probability of arbitrary diffusion processes. Within the path integral framework the same technique…
We present an accurate and efficient real-space formulation of the Hellmann-Feynman stress tensor for $\mathcal{O}(N)$ Kohn-Sham density functional theory (DFT). While applicable at any temperature, the formulation is most efficient at high…
We introduce a spectral density functional theory which can be used to compute energetics and spectra of real strongly--correlated materials using methods, algorithms and computer programs of the electronic structure theory of solids. The…
In the present paper, an expansion of the transition density of Hyperbolic Brownian motion with drift is given, which is potentially useful for pricing and hedging of options under stochastic volatility models. We work on a condition on the…
We prove hypercontractive inequalities on high dimensional expanders. As in the settings of the p-biased hypercube, the symmetric group, and the Grassmann scheme, our inequalities are effective for global functions, which are functions that…
Near-critical thermodynamics in the hard-sphere (1,1) electrolyte is well described, at a classical level, by Debye-Hueckel (DH) theory with (+,-) ion pairing and dipolar-pair-ionic-fluid coupling. But DH-based theories do not address…