Related papers: Notes on the SWIFT method based on Shannon Wavelet…
Fourier extension is an approximation method that alleviates the periodicity requirements of Fourier series and avoids the Gibbs phenomenon when approximating functions. We describe a similar extension approach using regular wavelet bases…
In this work, we develop a novel efficient quadrature and sparse grid based polynomial interpolation method to price American options with multiple underlying assets. The approach is based on first formulating the pricing of American…
We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that…
We present an accurate and efficient formulation for the calculation of phonons in real-space Kohn-Sham density functional theory. Specifically, employing a local exchange-correlation functional, norm-conserving pseudopotential in the…
In this paper the salient features of the Plane Wave Expansion (PWE) method and the mixed variational technique are combined for the fast eigenvalue computations of arbitrarily complex phononic unit cells. This is done by expanding the…
The goal of this work is to develop deep learning numerical methods for solving option XVA pricing problems given by non-linear PDE models. A novel strategy for the treatment of the boundary conditions is proposed, which allows to get rid…
In this paper we analyze a nonlinear Black--Scholes model for option pricing under variable transaction costs. The diffusion coefficient of the nonlinear parabolic equation for the price $V$ is assumed to be a function of the underlying…
A method for estimating the Shannon differential entropy of multidimensional random variables using independent samples is described. The method is based on decomposing the distribution into a product of the marginal distributions and the…
In this paper, numerical methods based on Vieta-Lucas wavelets are proposed for solving a class of singular differential equations. The operational matrix of the derivative for Vieta-Lucas wavelets is derived. It is employed to reduce the…
The COS method is a very efficient way to compute European option prices under L\'evy models or affine stochastic volatility models, based on a Fourier Cosine expansion of the density, involving the characteristic function. This note shows…
We introduce a smooth variant of the SCAD thresholding rule for wavelet denoising by replacing its piecewise linear transition with a raised cosine. The resulting shrinkage function is odd, continuous on R, and continuously differentiable…
This paper uses a classical approach to feature selection: minimization of a cost function applied on estimated joint distributions. However, the search space in which such minimization is performed is extended. In the original formulation,…
We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which is based on a system of integral equations that relates terminal density and option prices. Using a discretization of…
In this paper, we study the computation of sensitivities with respect to spot of path dependent financial derivatives by means of path weighting. We propose explicit path weighting formula and variance reduction adjustment in order to…
The paper focuses on pricing European-style options on several underlying assets under the Black-Scholes model represented by a nonstationary partial differential equation. The proposed method combines the Galerkin method with…
A new, very fast, implementation of the exact (Fock) exchange operator for electronic structure calculations within the plane-wave pseudopotential method is described in detail for both molecular and periodic systems, and carefully…
We present a new algorithm for dynamic prefix-free coding, based on Shannon coding. We give a simple analysis and prove a better upper bound on the length of the encoding produced than the corresponding bound for dynamic Huffman coding. We…
We introduce a variational algorithm based on the quantum alternating operator ansatz (QAOA) for the approximate solution of computationally hard counting problems. Our algorithm, dubbed VQCount, is based on the equivalence between random…
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatility setting. Four examples are provided in…
We obtain approximation formulas for fractional integrals and derivatives of Riemann-Liouville and Marchaud types with a variable fractional order. The approximations involve integer-order derivatives only. An estimation for the error is…