Related papers: Dynamic Initial Margin via Chebyshev Tensors
We introduce new variants of classical regression-based algorithms for optimal stopping problems based on computation of regression coefficients by Monte Carlo approximation of the corresponding $L^2$ inner products instead of the…
Monte Carlo studies involving real time dynamics are severely restricted by the sign problem that emerges from highly oscillatory phase of the path integral. In this letter, we present a new method to compute real time quantities on the…
We present a unified framework for computing CVA sensitivities, hedging the CVA, and assessing CVA risk, using probabilistic machine learning meant as refined regression tools on simulated data, validatable by low-cost companion Monte Carlo…
In this work, we introduce a simple modification of the Monte Carlo algorithm, which we call step Monte Carlo (sMC). The sMC approach allows to simulate processes far from equilibrium and obtain information about the dynamic properties of…
Many applications in mechanical, acoustic, and electronic engineering require estimating complex dynamical models, often represented as additive multi-input multi-output (MIMO) transfer functions with structural constraints. This paper…
Properties of the self-adjusted Monte Carlo algorithm applied to 2d Ising ferromagnet are studied numerically. The endogenous feedback form expressed in terms of the instant running averages is suggested in order to generate a biased random…
We develop new unbiased estimators of a number of quantities defined for functions of conditional moments, like conditional expectations and variances, of functions of two independent random variables given the first variable, including…
We introduce a dynamic model of the default waterfall of derivatives CCPs and propose a risk sensitive method for sizing the initial margin (IM), and the default fund (DF) and its allocation among clearing members. Using a Markovian…
A popular way to estimate the parameters of a hidden Markov model (HMM) is direct numerical maximization (DNM) of the (log-)likelihood function. The advantages of employing the TMB (Kristensen et al., 2016) framework in R for this purpose…
Nested Monte Carlo is widely used for risk estimation, but its efficiency is limited by the discontinuity of the indicator function and high computational cost. This paper proposes a nested Multilevel Monte Carlo (MLMC) method combined with…
The method of derivative based global sensitivity measures (DGSM) has recently become popular among practitioners. It has a strong link with the Morris screening method and Sobol' sensitivity indices and has several advantages over them.…
This article introduces a novel dynamic framework to Bayesian model averaging for time-varying parameter quantile regressions. By employing sequential Markov chain Monte Carlo, we combine empirical estimates derived from dynamically chosen…
We propose a novel Monte-Carlo based ab-initio algorithm for directly computing the statistics for quantities of interest in an immiscible two-phase compressible flow. Our algorithm samples the underlying probability space and evolves these…
We present a machine learning approach for finding minimal equivalent martingale measures for markets simulators of tradable instruments, e.g. for a spot price and options written on the same underlying. We extend our results to markets…
We revisit two basic Direct Simulation Monte Carlo Methods to model aggregation kinetics and extend them for aggregation processes with collisional fragmentation (shattering). We test the performance and accuracy of the extended methods and…
We propose an efficient tensor-train-based algorithm for simulating open quantum systems with the inchworm method, where the reduced dynamics of the open quantum system is expressed as a perturbative series of high-dimensional integrals.…
In this article, we propose an exact simulation method of the Wishart multidimensional stochastic volatility (WMSV) model, which was recently introduced by Da Fonseca et al. \cite{DGT08}. Our method is based onanalysis of the conditional…
Discrete-state, continuous-time Markov models are becoming commonplace in the modelling of biochemical processes. The mathematical formulations that such models lead to are opaque, and, due to their complexity, are often considered…
We introduce a sampling based machine learning approach, Monte Carlo physics informed neural networks (MC-PINNs), for solving forward and inverse fractional partial differential equations (FPDEs). As a generalization of physics informed…
A novel approach called Moate Simulation is presented to provide an accurate numerical evolution of probability distribution functions represented on grids arising from stochastic differential processes where initial conditions are…