Related papers: Notes on the SWIFT method based on Shannon Wavelet…
A new sampling methodology based on incomplete cosine expansion series is presented as an alternative to the traditional sinc function approach. Numerical integration shows that this methodology is efficient and practical. Applying the…
We revisit the well-studied problem of estimating the Shannon entropy of a probability distribution, now given access to a probability-revealing conditional sampling oracle. In this model, the oracle takes as input the representation of a…
A discretization scheme for variable coefficient elliptic PDEs in the plane is presented. The scheme is based on high-order Gaussian quadratures and is designed for problems with smooth solutions, such as scattering problems involving soft…
This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll-Ross(CIR) processes. We derive the characteristic function…
In this paper, we extend the functional approach for calculating the EFT likelihood by applying the saddle-point expansion. We demonstrate that, after suitable reformulation, the likelihood expression is consistent with the path integral…
In this paper we focus on the subdiffusive Black Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option pricing in the considered model. We derive the governing fractional…
We present new numerical schemes for pricing perpetual Bermudan and American options as well as $\alpha$-quantile options. This includes a new direct calculation of the optimal exercise barrier for early-exercise options. Our approach is…
Recent studies have demonstrated the efficiency of Variational Autoencoders (VAE) to compress high-dimensional implied volatility surfaces into a low dimensional representation. Although this method can be effectively used for pricing…
We consider the problem of approximation of density functions which is important in the theory of pricing of basket options. Our method is well adopted to the multidimensional case. Observe that implementations of polynomial and spline…
The continuous extension of a discrete random variable is amongst the computational methods used for estimation of multivariate normal copula-based models with discrete margins. Its advantage is that the likelihood can be derived…
We consider an important class of derivative contracts written on multiple assets (so-called spread options) which are traded on a wide range of financial markets. The present paper introduces a new approximation method of density functions…
In this paper, we consider the partially linear single-index models with longitudinal data. To deal with the variable selection problem in this context, we propose a penalized procedure combined with two bias correction methods, resulting…
Speculative decoding (SD) has emerged as a widely used paradigm to accelerate LLM inference without compromising quality. It works by first employing a compact model to draft multiple tokens efficiently and then using the target LLM to…
We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear re-action/diffusion type equation.…
We present a machine learning algorithm for the prediction of molecule properties inspired by ideas from density functional theory. Using Gaussian-type orbital functions, we create surrogate electronic densities of the molecule from which…
A new method is presented that allows for efficient evaluation of spin-orbit coupling (SOC) in density-functional theory calculations. In the so-called second-variational scheme, where Kohn-Sham functions obtained in a scalar-relativistic…
Classical optimization is a cornerstone of the success of variational quantum algorithms, which often require determining the derivatives of the cost function relative to variational parameters. The computation of the cost function and its…
We introduce signature payoffs, a family of path-dependent derivatives that are given in terms of the signature of the price path of the underlying asset. We show that these derivatives are dense in the space of continuous payoffs, a result…
The major simplification in a number of quantum integrable systems is the existence of special coordinates in which the eigenstates take a factorised form. Despite many years of studies, the basis realising the separation of variables (SoV)…
This paper deals with the numerical approximation of American-style option values governed by partial differential complementarity problems. For a variety of one- and two-asset American options we investigate by ample numerical experiments…