Related papers: Pricing Financial Derivatives using Radial Basis F…

A mixed basis approach based on density functional theory is employed for low dimensional systems. The basis functions are taken to be plane waves for the periodic direction multiplied by B-spline polynomials in the non-periodic direction.…

The purpose of this paper is to analyze the problem of option pricing when the short rate follows subdiffusive fractional Merton model. We incorporate the stochastic nature of the short rate in our option valuation model and derive explicit…

We apply the concepts of utility based pricing and hedging of derivatives in stochastic volatility markets and introduce a new class of "reciprocal affine" models for which the indifference price and optimal hedge portfolio for pure…

A major obstacle to the application of the standard Radial Basis Function-generated Finite Difference (RBF-FD) meshless method is constituted by its inability to accurately and consistently solve boundary value problems involving Neumann…

Factorization machine (FM) variants are widely used for large scale real-time content recommendation systems, since they offer an excellent balance between model accuracy and low computational costs for training and inference. These systems…

This study presents an autonomous experimental machine learning protocol for high-frequency trading (HFT) stock price forecasting that involves a dual competitive feature importance mechanism and clustering via shallow neural network…

Flux reconstruction provides a framework for solving partial differential equations in which functions are discontinuously approximated within elements. Typically, this is done by using polynomials. Here, the use of radial basis functions…

This paper performs the numerical analysis and the computation of a Spread option in a market with imperfect liquidity. The number of shares traded in the stock market has a direct impact on the stock's price. Thus, we consider a…

We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth-order accurate in space and second-order accurate in time. Under some restrictions, theoretical results…

Here we develop an option pricing method based on Legendre series expansion of the density function. The key insight, relying on the close relation of the characteristic function with the series coefficients, allows to recover the density…

We compare traditional approach of computing logarithmic returns with the fractional differencing method and its tempered extension as methods of data preparation before their usage in advanced machine learning models. Differencing…

In this paper, we present an implicit finite difference method for the numerical solution of the Black-Scholes model of American put options without dividend payments. We combine the proposed numerical method by using a front fixing…

In this article, we introduce a new class of coupled fractional Lane-Emden boundary value problems. We employ a novel approach, the fractional Haar wavelet collocation method with the Newton-Raphson method. We analyze the conditions in two…

Spline functions have long been used in numerically solving differential equations. Recently it revives as isogeometric analysis, which uses NURBS for both parametrization and element functions. In this paper, we introduce some multivariate…

This paper aims to survey our recent work relating to the radial basis function (RBF) and its applications to numerical PDEs. We introduced the kernel RBF involving general pre-wavelets and scale-orthogonal wavelets RBF. A…

There has been an increasing interest in developing efficient immersed boundary method (IBM) based on Cartesian grids, recently in the context of high-order methods. IBM based on volume penalization is a robust and easy to implement method…

One of the main purposes of this article is to give functional equations and differential equations between Bernstein basis functions and generating functions of B-spline curves. Using these equations, very useful formulas containing the…

This article presents a finite element method (FEM) for a partial integro-differential equation (PIDE) to price two-asset options with underlying price processes modeled by an exponential Levy process. We provide a variational formulation…

In this work, we implement a relatively new analytical technique, the Improved Amplitude-Frequency Formulation (IAFF) method, approach for solving accurate approximate analytical solutions for strong nonlinear oscillators, which may contain…

In this paper, we propose compactly supported radial basis functions for solving some well- known classes of astrophysics problems categorized as non-linear singular initial ordinary dif- ferential equations on a semi-infinite domain. To…