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Traditional control-flow analysis (CFA) for higher-order languages, whether implemented by constraint-solving or abstract interpretation, introduces spurious connections between callers and callees. Two distinct invocations of a function…
We develop a numerical method for pricing multidimensional vanilla options in the Black-Scholes framework. In low dimensions, we improve an adaptive integration algorithm proposed by two of the authors by introducing a new splitting…
We present the method of moments approach to pricing barrier-type options when the underlying is modelled by a general class of jump diffusions. By general principles the option prices are linked to certain infinite dimensional linear…
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…
Recently, research using point clouds has been increasing with the development of 3D scanner technology. According to this trend, the demand for high-quality point clouds is increasing, but there is still a problem with the high cost of…
In this paper, a rapid and high accurate numerical method for pricing discrete single and double barrier knock-out call options is presented. According to the well-known Black-Scholes framework, the price of option in each monitoring date…
Fitting probabilistic models to data is often difficult, due to the general intractability of the partition function. We propose a new parameter fitting method, Minimum Probability Flow (MPF), which is applicable to any parametric model. We…
We develop finite element methods for coupling the steady-state Onsager--Stefan--Maxwell equations to compressible Stokes flow. These equations describe multicomponent flow at low Reynolds number, where a mixture of different chemical…
In this work we are interested in dealing with single-phase flows in fractured porous media for underground processes. We focus our attention on domains where the presence of faults, with thickness several orders of magnitude smaller than…
Finite volume methods are prevalent in reservoir simulation due to their mass conservation properties and their ability to handle complex grids. However, a simple and consistent finite volume method for elasticity was unavailable until the…
In this paper, we adopt the least squares Monte Carlo (LSMC) method to price time-capped American options. The aforementioned cap can be an independent random variable or dependent on asset price at random time. We allow various time caps.…
In this work, we propose to apply a new model fusion and learning paradigm, known as Combinatorial Fusion Analysis (CFA), to the field of Bitcoin price prediction. Price prediction of financial product has always been a big topic in…
We present an approximation method based on the mixing formula (Hull & White 1987, Romano & Touzi 1997) for pricing European options in Barndorff-Nielsen and Shephard models. This approximation is based on a Taylor expansion of the option…
The variance gamma model is a widely popular model for option pricing in both academia and industry. In this paper, we provide a new perspective for pricing European style options for the variance gamma model by deriving closed-form…
This paper is devoted to the pricing of Barrier options by optimal quadratic quantization method. From a known useful representation of the premium of barrier options one deduces an algorithm similar to one used to estimate nonlinear filter…
In this paper, we investigate the use of a mass lumped fully explicit time stepping scheme for the discretisation of the wave equation with underlying material parameters that vary at arbitrarily fine scales. We combine the leapfrog scheme…
We consider a non-stochastic online learning approach to price financial options by modeling the market dynamic as a repeated game between the nature (adversary) and the investor. We demonstrate that such framework yields analogous…
We propose a methodology for computing single and multi-asset European option prices, and more generally expectations of scalar functions of (multivariate) random variables. This new approach combines the ability of Monte Carlo simulation…
In this paper, a novel non-intrusive probabilistic power flow (PPF) analysis method based on the low-rank approximation (LRA) is proposed, which can accurately and efficiently estimate the probabilistic characteristics (e.g., mean,…
The resolution of the incompressible Navier-Stokes equations is tricky, and it is well known that one of the major issue is to compute a divergence free velocity. The non-conforming Crouzeix-Raviart finite element are convenient since they…