Related papers: Valuing FtD Contract under Copula Approach via Mon…

The present work addresses the question how sampling algorithms for commonly applied copula models can be adapted to account for quasi-random numbers. Besides sampling methods such as the conditional distribution method (based on a…

In this paper we present two parallel Monte Carlo based algorithms for pricing multi--dimensional Bermudan/American options. First approach relies on computation of the optimal exercise boundary while the second relies on classification of…

We explore the possibilities of importance sampling in the Monte Carlo pricing of a structured credit derivative referred to as Collateralized Debt Obligation (CDO). Modeling a CDO contract is challenging, since it depends on a pool of…

We follow a long path for Credit Derivatives and Collateralized Debt Obligations (CDOs) in particular, from the introduction of the Gaussian copula model and the related implied correlations to the introduction of arbitrage-free dynamic…

In this paper, we propose an alternative valuation approach for CAT bonds where a pricing formula is learned by deep neural networks. Once trained, these networks can be used to price CAT bonds as a function of inputs that reflect both the…

One of the main practical applications of quasi-Monte Carlo (QMC) methods is the valuation of financial derivatives. We aim to give a short introduction into option pricing and show how it is facilitated using QMC. We give some practical…

In this work we are concerned with valuing optionalities associated to invest or to delay investment in a project when the available information provided to the manager comes from simulated data of cash flows under historical (or…

The Multiplicative Error Model (Engle (2002)) for nonnegative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with nonnegative support. A multivariate extension allows…

We develop factor copula models for analysing the dependence among mixed continuous and discrete responses. Factor copula models are canonical vine copulas that involve both observed and latent variables, hence they allow tail, asymmetric…

Collaborative machine learning (CML) provides a promising paradigm for democratizing advanced technologies by enabling cost-sharing among participants. However, the potential for rent-seeking behaviors among parties can undermine such…

The effectiveness of the recently developed Fixed-Node Quantum Monte Carlo method for lattice fermions, developed by van Leeuwen and co-workers, is tested by applying it to the 1D Kondo lattice, an example of a one-dimensional model with a…

This paper studies a valuation framework for financial contracts subject to reference and counterparty default risks with collateralization requirement. We propose a fixed point approach to analyze the mark-to-market contract value with…

We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear re-action/diffusion type equation.…

A theta-term, which couples to topological charge, is added to the two-dimensional lattice CP^3 model and U(1) gauge theory. Monte Carlo simulations are performed and compared to strong-coupling character expansions. In certain instances, a…

After the beginning of the credit and liquidity crisis, financial institutions have been considering creating a convertible-bond type contract focusing on Capital. Under the terms of this contract, a bond is converted into equity if the…

Typically options with a path dependent payoff, such as Target Accumulation Redemption Note (TARN), are evaluated by a Monte Carlo method. This paper describes a finite difference scheme for pricing a TARN option. Key steps in the proposed…

We propose a method to calculate the charge dynamical structure factors for the ground states of correlated electron systems based on the variational Monte Carlo method. Our benchmarks for the one- and two-dimensional Hubbard models show…

We consider the problem of pricing path-dependent options on a basket of underlying assets using simulations. As an example we develop our studies using Asian options. Asian options are derivative contracts in which the underlying variable…

We discuss suitable classes of diffusion processes, for which functionals relevant to finance can be computed via Monte Carlo methods. In particular, we construct exact simulation schemes for processes from this class. However, should the…

Federated learning trains models across devices with distributed data, while protecting the privacy and obtaining a model similar to that of centralized ML. A large number of workers with data and computing power are the foundation of…