Related papers: Explicit RKF-Compact Scheme for Pricing Regime Swi…
We propose a new methodology for pricing options on flow forwards by applying infinite-dimensional neural networks. We recast the pricing problem as an optimization problem in a Hilbert space of real-valued function on the positive real…
In this paper a technique is given to recover the classical order of the method when explicit exponential Runge-Kutta methods integrate reaction-diffusion problems. Although methods of high stiff order for problems with vanishing boundary…
We introduce in this paper an optimal first-order method that allows an easy and cheap evaluation of the local Lipschitz constant of the objective's gradient. This constant must ideally be chosen at every iteration as small as possible,…
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values…
This paper is devoted to the question, whether there is an order barrier $p\leq2$ for time integration in computational elasto-plasticity. In the analysis we use an implicit Runge-Kutta (RK) method of order $p=3$ for integrating the…
In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on all variables including control and market regime. There is…
We provide a bound for the error committed when using a Fourier method to price European options when the underlying follows an exponential \levy dynamic. The price of the option is described by a partial integro-differential equation…
We derive closed-form solutions to the optimal stopping problems related to the pricing of perpetual American standard and lookback put and call options in the extensions of the Black-Merton-Scholes model with progressively enlarged…
We extend the scheme developed in B. D\"uring, A. Pitkin, "High-order compact finite difference scheme for option pricing in stochastic volatility jump models", 2019, to the so-called stochastic volatility with contemporaneous jumps (SVCJ)…
The energy dissipation law and the maximum bound principle are two critical physical properties of the Allen--Cahn equations. While many existing time-stepping methods are known to preserve the energy dissipation law, most apply to a…
Transmission-constrained problems in power systems can be cast as polynomial optimization problems whose coefficients vary over time. We consider the complications therein and suggest several approaches. On the example of the…
We use probabilistic methods to characterise time dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications we consider a payoff of immediate stopping of…
The series-parallel (active) redundancy allocation problem with mixed components (RAP) involves setting reliable objectives for components or subsystems to meet the resource consumption constraint, e.g., the total cost. RAP has been an…
We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…
In this paper, we propose two discontinuous dynamical systems in continuous time with guaranteed prescribed finite-time local convergence to strict local minima of a given cost function. Our approach consists of exploiting a Lyapunov-based…
We propose an algorithm for stochastic and adversarial multiarmed bandits with switching costs, where the algorithm pays a price $\lambda$ every time it switches the arm being played. Our algorithm is based on adaptation of the Tsallis-INF…
We study a discrete-time random feature method for nonlinear, time-dependent partial differential equations. In contrast to continuous-time formulations that treat time as an additional input variable, the method advances the solution step…
This paper introduces a semi-analytical method for pricing American options on assets (stocks, ETFs) that pay discrete and/or continuous dividends. The problem is notoriously complex because discrete dividends create abrupt price drops and…
In this paper we focus on high order finite element approximations of the electric field combined with suitable preconditioners, to solve the time-harmonic Maxwell's equations in waveguide configurations. The implementation of high order…
We consider the computation of model-free bounds for multi-asset options in a setting that combines dependence uncertainty with additional information on the dependence structure. More specifically, we consider the setting where the…