Related papers: Notes on the SWIFT method based on Shannon Wavelet…
This study employs the Riesz-Feller fractional derivative to determine Fisher and Shannon parameters for a one-dimensional harmonic oscillator. By deriving the Riesz fractional derivative of the probability density function, we quantify…
We give an analytical characterization of the price function of an American option in Heston-type models. Our approach is based on variational inequalities and extends recent results of Daskalopoulos and Feehan (2011). We study the…
Quality data is a fundamental contributor to success in statistics and machine learning. If a statistical assessment or machine learning leads to decisions that create value, data contributors may want a share of that value. This paper…
The paper presents a new copula based method for measuring dependence between random variables. Our approach extends the Maximum Mean Discrepancy to the copula of the joint distribution. We prove that this approach has several advantageous…
We study two important operations on polynomials defined over complete discrete valuation fields: Euclidean division and factorization. In particular, we design a simple and efficient algorithm for computing slope factorizations, based on…
In this paper we discuss a closed-form approximation of the likelihood functions of an arbitrary diffusion process. The approximation is based on an exponential ansatz of the transition probability for a finite time step $\Delta t$, and a…
This article combines various methods of analysis to draw a comprehensive picture of penalty approximations to the value, hedge ratio, and optimal exercise strategy of American options. While convergence of the penalised solution for…
Recently, we have proposed a new diffusive representation for fractional derivatives and, based on this representation, suggested an algorithm for their numerical computation. From the construction of the algorithm, it is immediately…
There is a vast literature on numerical valuation of exotic options using Monte Carlo, binomial and trinomial trees, and finite difference methods. When transition density of the underlying asset or its moments are known in closed form, it…
The convolution quadrature theory is a systematic approach to analyse the approximation of the Riemann-Liouville fractional operator $I^{\alpha}$ at node $x_{n}$. In this paper, we develop the shifted convolution quadrature ($SCQ$) theory…
This paper introduces the use of tailored variational forms for variational quantum eigensolver that have properties of representing certain constraints on the search domain of a linear constrained quadratic binary optimization problem…
In this paper, we study the variable-order (VO) time-fractional diffusion equations. For a VO function $\alpha(t)\in(0,1)$, we develop an exponential-sum-approximation (ESA) technique to approach the VO Caputo fractional derivative. The ESA…
We propose an efficient and easy-to-implement gradient-enhanced least squares Monte Carlo method for computing price and Greeks (i.e., derivatives of the price function) of high-dimensional American options. It employs the sparse Hermite…
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…
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims…
This paper studies how to price and hedge options under stock models given as a path-dependent SDE solution. When the path-dependent SDE coefficients have Fr\'{e}chet derivatives, an option price is differentiable with respect to time and…
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and…
A generalisation of the Shannon complex wavelet is introduced, which is related to raised cosine filters. This approach is used to derive a new family of orthogonal complex wavelets based on the Nyquist criterion for Intersymbolic…
A new method is presented for solving Poisson's equation inside an open-ended rectangular pipe. The method uses Fast Fourier Transforms (FFTs) to perform mixed convolutions and correlations of the charge density with the Green function.…
We apply a utility-based method to obtain the value of a finite-time investment opportunity when the underlying real asset is not perfectly correlated to a traded financial asset. Using a discrete-time algorithm to calculate the…