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We propose a new variational Monte Carlo (VMC) method with an energy variance extrapolation for large-scale shell-model calculations. This variational Monte Carlo is a stochastic optimization method with a projected correlated condensed…
Estimation and prediction in high dimensional multivariate factor stochastic volatility models is an important and active research area because such models allow a parsimonious representation of multivariate stochastic volatility. Bayesian…
The stochastic-gauge representation is a method of mapping the equation of motion for the quantum mechanical density operator onto a set of equivalent stochastic differential equations. One of the stochastic variables is termed the…
We introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the…
We consider a class of discrete time stochastic control problems motivated by some financial applications. We use a pathwise stochastic control approach to provide a dual formulation of the problem. This enables us to develop a numerical…
This topical review describes the methodology of continuum variational and diffusion quantum Monte Carlo calculations. These stochastic methods are based on many-body wave functions and are capable of achieving very high accuracy. The…
An appropriate iterative scheme for the minimization of the energy, based on the variational Monte Carlo (VMC) technique, is introduced and compared with existing stochastic schemes. We test the various methods for the 1D Heisenberg ring…
The binomial tree method and the Monte Carlo (MC) method are popular methods for solving option pricing problems. However in both methods there is a trade-off between accuracy and speed of computation, both of which are important in…
Discrete choice models are commonly used by applied statisticians in numerous fields, such as marketing, economics, finance, and operations research. When agents in discrete choice models are assumed to have differing preferences, exact…
We address the problem of estimating steady-state quantities associated to systems of stochastic chemical kinetics. In most cases of interest these systems are analytically intractable, and one has to resort to computational methods to…
We provide a simple method to estimate the parameters of multivariate stochastic volatility models with latent factor structures. These models are very useful as they alleviate the standard curse of dimensionality, allowing the number of…
While multilevel Monte Carlo (MLMC) methods for the numerical approximation of partial differential equations with random coefficients enjoy great popularity, combinations with spatial adaptivity seem to be rare. We present an adaptive MLMC…
In this paper we study variational inequalities (VI) defined by the conditional value-at-risk (CVaR) of uncertain functions. We introduce stochastic approximation schemes that employ an empirical estimate of the CVaR at each iteration to…
In this work we want to provide a general principle to evaluate the CVA (Credit Value Adjustment) for a vulnerable option, that is an option subject to some default event, concerning the solvability of the issuer. CVA is needed to evaluate…
In this work we present a general representation formula for the price of a vulnerable European option, and the related CVA in stochastic (either rough or not) volatility models for the underlying's price, when admitting correlation with…
The valuation of over-the-counter derivatives is subject to a series of valuation adjustments known as xVA, which pose additional risks for financial institutions. Associated risk measures, such as the value-at-risk of an underlying…
Stochastic collocation methods for approximating the solution of partial differential equations with random input data (e.g., coefficients and forcing terms) suffer from the curse of dimensionality whereby increases in the stochastic…
We introduce a stacking version of the Monte Carlo algorithm in the context of option pricing. Introduced recently for aeronautic computations, this simple technique, in the spirit of current machine learning ideas, learns control variates…
We demonstrate the use of a variational method to determine a quantitative lower bound on the rate of convergence of Markov Chain Monte Carlo (MCMC) algorithms as a function of the target density and proposal density. The bound relies on…
A two level sampling method is applied to variational Monte Carlo (VMC) that samples the one and two body parts of the wave function separately. The method is demonstrated on a single Li_2 molecule in free space and 32 H_2 molecules in a…