Related papers: An SFP--FCC Method for Pricing and Hedging Early-e…
Hybrid Bayesian networks (HBN) contain complex conditional probabilistic distributions (CPD) specified as partitioned expressions over discrete and continuous variables. The size of these CPDs grows exponentially with the number of parent…
In this paper we study recent developments in the approximation of the spread option pricing. As the Kirk\'s Approximation is extremely flawed in the cases when the correlation is very high, we explore a recent development that allows…
In this paper, we develop novel numerical methods based on the Multi-Point Flux Approximation (MPFA) method to solve the degenerated partial differential equation (PDE) arising from pricing two-assets options. The standard MPFA is used as…
We introduce a new numerical approximation method for functionals of factor credit portfolio models based on the theory of mod-$\phi$ convergence and mod-$\phi$ approximation schemes. The method can be understood as providing correction…
Fourier ptychographic microscopy (FPM) is a recently proposed quantitative phase imaging technique with high resolution and wide field-of-view (FOV). In current FPM imaging platforms, systematic error sources come from the aberrations, LED…
We present three modifications to our recently introduced fast randomized iteration method for full configuration interaction (FCI-FRI) and investigate their effects on the method's performance for Ne, H$_2$O, and N$_2$. The initiator…
In this paper, authors successfully construct a new algorithm for the new higher order scheme of weak approximation of SDEs. The algorithm presented here is based on [1][2]. Although this algorithm shares some features with the algorithm…
Federated Learning (FL) enables collaborative training on decentralized data. Differential privacy (DP) is crucial for FL, but current private methods often rely on unrealistic assumptions (e.g., bounded gradients or heterogeneity),…
The Fourier-cosine expansion (COS) method is used to price European options numerically in a very efficient way. To apply the COS method, one has to specify two parameters: a truncation range for the density of the log-returns and a number…
Virtually all federated learning (FL) methods, including FedAvg, operate in the following manner: i) an orchestrating server sends the current model parameters to a cohort of clients selected via certain rule, ii) these clients then…
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 investigate a modified split-step Fourier method (SSFM) by including low-pass filters in the linear steps. This method can simultaneously achieve a higher simulation accuracy and a slightly reduced complexity.
One popular approach to option pricing in L\'evy models is through solving the related partial integro differential equation (PIDE). For the numerical solution of such equations powerful Galerkin methods have been put forward e.g. by Hilber…
In Compressed Sensing and high dimensional estimation, signal recovery often relies on sparsity assumptions and estimation is performed via $\ell_1$-penalized least-squares optimization, a.k.a. LASSO. The $\ell_1$ penalisation is usually…
Automated matching engines execute millions of orders per session, yet systematic asymmetries in latency, order size, and market access compound into persistent execution disparities that erode participant trust. We formulate provably fair…
Personalised federated learning (FL) aims at collaboratively learning a machine learning model taylored for each client. Albeit promising advances have been made in this direction, most of existing approaches works do not allow for…
This work describes a new variant of projective splitting for solving maximal monotone inclusions and complicated convex optimization problems. In the new version, cocoercive operators can be processed with a single forward step per…
Greedy optimization methods such as Matching Pursuit (MP) and Frank-Wolfe (FW) algorithms regained popularity in recent years due to their simplicity, effectiveness and theoretical guarantees. MP and FW address optimization over the linear…
Rules are widely used in Fintech institutions to make fraud prevention decisions, since rules are highly interpretable thanks to their intuitive if-then structure. In practice, a two-stage framework of fraud prevention decision rule set…
The convergence property of a stochastic algorithm for the self-consistent field (SCF) calculations of electron structures is studied. The algorithm is formulated by rewriting the electron charges as a trace/diagonal of a matrix function,…