Related papers: An SFP--FCC Method for Pricing and Hedging Early-e…
This paper presents a Monte-Carlo-based artificial neural network framework for pricing Bermudan options, offering several notable advantages. These advantages encompass the efficient static hedging of the target Bermudan option and the…
This paper presents the FS-Planner, a fast graph-search planner based on a modified Lazy Theta* algorithm that exploits the analytical properties of Euclidean Distance Fields (EDFs). We introduce a new cost function that integrates an…
The semiparametric linear hazard regression model introduced by McKeague and Sasieni (1994) is an extension of the linear hazard regression model developed by Aalen (1980). Methods of model selection for this type of model are still…
Fully-partitioned fixed-priority scheduling (FP-FPS) multiprocessor systems are widely found in real-time applications, where spin-based protocols are often deployed to manage the mutually exclusive access of shared resources.…
A long-standing issue in mathematical finance is the speed-up of option pricing, especially for multi-asset options. A recent study has proposed to use tensor train learning algorithms to speed up Fourier transform (FT)-based option…
We propose a new non parametric technique to estimate the CALL function based on the superhedging principle. Our approach does not require absence of arbitrage and easily accommodates bid/ask spreads and other market imperfections. We prove…
This paper studies the problem of option replication in general stochastic volatility markets with transaction costs, using a new specification for the volatility adjustment in Leland's algorithm \cite{Leland}. We prove several limit…
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…
Cryptographic Self-Selection is a paradigm employed by modern Proof-of-Stake consensus protocols to select a block-proposing "leader." Algorand [Chen and Micali, 2019] proposes a canonical protocol, and Ferreira et al. [2022] establish…
This paper presents the Safe Sequential Quadratically Constrained Quadratic Programming (SS-QCQP) algorithm, a first-order method for smooth inequality-constrained nonconvex optimization that guarantees feasibility at every iteration. The…
In this note we consider the approximation of the Greeks Delta and Gamma of American-style options through the numerical solution of time-dependent partial differential complementarity problems (PDCPs). This approach is very attractive as…
We investigate the pricing of cliquet options in a geometric Meixner model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a pure-jump Meixner--L\'{e}vy process yielding Meixner…
False positives in pedestrian detection remain a challenge that has yet to be effectively resolved. To address this issue, this paper proposes a Full-stage Refined Proposal (FRP) algorithm aimed at eliminating these false positives within a…
The COS method proposed in Fang and Oosterlee (2008), although highly efficient, may lack robustness for a number of cases. In this paper, we present a Stable pricing of call options based on Fourier cosine series expansion. The Stability…
We propose a new fourth-order compact time-splitting ($S_\text{4c}$) Fourier pseudospectral method for the Dirac equation by splitting the Dirac equation into two parts together with using the double commutator between them to integrate the…
The Forward-Forward (FF) algorithm was recently proposed as a local learning method to address the limitations of backpropagation (BP), offering biological plausibility along with memory-efficient and highly parallelized computational…
In this paper, we propose variants of forward-backward splitting method for solving the system of splitting inclusion problem. We propose a conceptual algorithm containing three variants, each having a different projection steps. The…
In this paper, we address the dichotomy between heterogeneous models and simultaneous training in Federated Learning (FL) via a clustering framework. We define a new clustering model for FL based on the (optimal) local models of the users:…
Central clearing counterparty houses (CCPs) play a fundamental role in mitigating the counterparty risk for exchange traded options. CCPs cover for possible losses during the liquidation of a defaulting member's portfolio by collecting…
This paper is concerned with sequential filtering based stochastic optimization (FSO) approaches that leverage a probabilistic perspective to implement the incremental proximity method (IPM). The present FSO methods are derived based on the…