Related papers: Dynamic sensitivities and Initial Margin via Cheby…
Sensitivity indices when the inputs of a model are not independent are estimated by local polynomial techniques. Two original estimators based on local polynomial smoothers are proposed. Both have good theoretical properties which are…
Importance sampling is a variance reduction technique for efficient estimation of rare-event probabilities by Monte Carlo. In standard importance sampling schemes, the system is simulated using an a priori fixed change of measure suggested…
We present a simulation-and-regression method for solving dynamic portfolio allocation problems in the presence of general transaction costs, liquidity costs and market impacts. This method extends the classical least squares Monte Carlo…
We explore the initial conditions in short-time critical dynamics to propose a new method to evaluate the dynamic exponent z. Estimates are obtained with high precision for 2D Ising model and 2D Potts model for three and four states by…
Computational fluid dynamics (CFD) analysis is widely used in engineering. Although CFD calculations are accurate, the computational cost associated with complex systems makes it difficult to obtain empirical equations between system…
The importance of unspanned macroeconomic variables for Dynamic Term Structure Models has been intensively discussed in the literature. To our best knowledge the earlier studies considered only linear interactions between the economy and…
There is a growing interest in methods for detecting and interpreting changes in experimental time evolution data. Based on measured time series, the quantitative characterization of dynamical phase transitions at bifurcation points of the…
Chebyshev interpolation is a highly effective, intensively studied method and enjoys excellent numerical properties. The interpolation nodes are known beforehand, implementation is straightforward and the method is numerically stable. For…
This paper proposes an innovative state estimation method for visual-inertial fusion based on Chebyshev polynomial optimization. Specifically, the pose is modeled as a Chebyshev polynomial of a certain order, and its time derivatives are…
We deal with the calculation of price sensitivities for stochastic volatility models. General forms for the dynamics of the underlying asset price and its volatility are considered. We make use of the chaotic (or Malliavin) calculus to…
In this paper, we suggest that reserves must be computed dynamically to account for wind power volatility. We formalize the notion of dynamic reserves in support of sequential Day-Ahead-Market (DAM) and Real-Time-Market (RTM) clearing and…
Credit Valuation Adjustment is a balance sheet item which is nowadays subject to active risk management by specialized traders. However, one of the most important risk factors, which is the vector of default intensities of the counterparty,…
A dynamical price formation model for financial assets is presented. It aims to capture the essence of speculative trading where mispricings of assets are used to make profits. It is shown that together with the incorporation of the concept…
Time series momentum strategies are widely applied in the quantitative financial industry and its academic research has grown rapidly since the work of Moskowitz, Ooi and Pedersen (2012). However, trading signals are usually obtained via…
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…
We propose new nonparametric estimators of the integrated volatility of an It\^{o} semimartingale observed at discrete times on a fixed time interval with mesh of the observation grid shrinking to zero. The proposed estimators achieve the…
We describe a method for the identification of models for dynamical systems from observational data. The method is based on the concept of symbolic regression and uses genetic programming to evolve a system of ordinary differential…
A volatility surface is an important tool for pricing and hedging derivatives. The surface shows the volatility that is implied by the market price of an option on an asset as a function of the option's strike price and maturity. Often,…
We consider initial value problems of nonlinear dynamical systems, which include physical parameters. A quantity of interest depending on the solution is observed. A discretisation yields the trajectories of the quantity of interest in many…
In this paper, the boundary element method is combined with Chebyshev operational matrix technique to solve two-dimensional multi-order time-fractional partial differential equations; nonlinear and linear in respect to spatial and temporal…