Related papers: Efficient hedging in Bates model using high-order …
We compute the rate of convergence of forward, backward and central finite difference $\theta$-schemes for linear PDEs with an arbitrary odd order spatial derivative term. We prove convergence of the first or second order for smooth and…
We focus here on a class of fourth-order parabolic equations that can be written as a system of second-order equations by introducing an auxiliary variable. We design a novel second-order fully discrete mixed finite element method to…
In the present work, we investigate the computational efficiency afforded by higher-order finite-element discretization of the saddle-point formulation of orbital-free density functional theory. We first investigate the robustness of viable…
For elliptic interface problems with discontinuous coefficients, the maximum accuracy order for compact 9-point finite difference scheme in irregular points is three [7]. The discontinuous coefficients usually have abrupt jumps across the…
This work studies the deep learning-based numerical algorithms for optimal hedging problems in markets with general convex transaction costs on the trading rates, focusing on their scalability of trading time horizon. Based on the…
In the present work, the European option pricing SWIFT method is extended for Heston model calibration. The computation of the option price gradient is simplified thanks to the knowledge of the characteristic function in closed form. The…
Hedging strategies in bond markets are computed by martingale representation and the Clark-Ocone formula under the choice of a suitable of numeraire, in a model driven by the dynamics of bond prices. Applications are given to the hedging of…
In this paper we investigate the effectiveness of Alternating Direction Implicit (ADI) time discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial differential equation, which is semidiscretized…
By a high-order numerical homogenization method, a heterogeneous multiscale scheme was developed in Jin & Li (2022) for evolving differential equations containing two time scales. In this paper, we further explore the technique to propose…
This paper introduces a novel second-order splitting scheme for charged-particle dynamics in strong magnetic fields characterized by the maximal ordering. The proposed scheme is explicit and symmetric, which respectively ensure the…
Due to its highly oscillating solution, the Helmholtz equation is numerically challenging to solve. To obtain a reasonable solution, a mesh size that is much smaller than the reciprocal of the wavenumber is typically required (known as the…
In mathematical finance, many derivatives from markets with frictions can be formulated as optimal control problems in the HJB framework. Analytical optimal control can result in highly nonlinear PDEs, which might yield unstable numerical…
In this paper, we establish even order compact numerical schemes (4th-order, 6th-order, 8th-order, 10th-order) for Riesz derivatives by using the symmetrical fractional centred difference operator. Then we apply the derived 4th-order…
Recent advances in machine learning make it possible to design efficient prediction algorithms for data sets with huge numbers of parameters. This paper describes a new technique for "hedging" the predictions output by many such algorithms,…
This chapter provides an introduction to Hybrid High-Order (HHO) methods. These are new generation numerical methods for PDEs with several advantageous features: the support of arbitrary approximation orders on general polyhedral meshes,…
Context: Calculating stellar pulsations requires a sufficient accuracy to match the quality of the observations. Many current pulsation codes apply a second order finite-difference scheme, combined with Richardson extrapolation to reach…
In this paper we introduce a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price. Then it calculates an upper bound, a…
This research will present a hybrid approach to accelerate convergence in a second order optimization. An online finite difference approximation of the diagonal Hessian matrix will be introduced, along with fuzzy inferencing of several…
In this paper, we propose a new set of midpoint-based high-order discretization schemes for computing straight and mixed nonlinear second derivative terms that appear in the compressible Navier-Stokes equations. Firstly, we detail a set of…
The higher order supersymmetric partners of the Schroedinger's Hamiltonians can be explicitly constructed by iterating a simple finite difference equation corresponding to the Baecklund transformation. The method can completely replace the…