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Performing a comprehensive side-channel analysis evaluation of small embedded devices is a process known for its variability and complexity. In real-world experimental setups, the results are largely influenced by a huge amount of…
We describe a simple Importance Sampling strategy for Monte Carlo simulations based on a least squares optimization procedure. With several numerical examples, we show that such Least Squares Importance Sampling (LSIS) provides efficiency…
The SIML (abbreviation of Separating Information Maximal Likelihood) method, has been introduced by N. Kunitomo and S. Sato and their collaborators to estimate the integrated volatility of high-frequency data that is assumed to be an It\^o…
Under the Solvency II regime, life insurance companies are asked to derive their solvency capital requirements from the full loss distributions over the coming year. Since the industry is currently far from being endowed with sufficient…
Linear Least Squares is a very well known technique for parameter estimation, which is used even when sub-optimal, because of its very low computational requirements and the fact that exact knowledge of the noise statistics is not required.…
We study the optimization of nonperturbative renormalization group equations truncated both in fields and derivatives. On the example of the Ising model in three dimensions, we show that the Principle of Minimal Sensitivity can be…
In this paper, we tackle for the first time the problem of maximum likelihood (ML) estimation of the signal-to-noise ratio (SNR) parameter over time-varying single-input multiple-output (SIMO) channels. Both the data-aided (DA) and the…
In this paper, we propose an algorithm for channel estimation, acquisition and tracking, for orthogonal frequency division multiplexing (OFDM) systems. The proposed algorithm is suitable for vehicular communications that encounter very high…
Ordinary differential equation models facilitate the understanding of cellular signal transduction and other biological processes. However, for large and comprehensive models, the computational cost of simulating or calibrating can be…
In this paper we derive the asymptotic properties of the least squares estimator (LSE) of fractionally integrated autoregressive moving-average (FARIMA) models under the assumption that the errors are uncorrelated but not necessarily…
Orthogonal delay-Doppler division multiplexing (ODDM) modulation has recently gained significant attention as a promising candidate to promote the communication reliability in high-mobility environments. Low complexity signal detection is…
We consider the least-squares finite element method (lsfem) for systems of nonlinear ordinary differential equations and establish an optimal error estimate for this method when piecewise linear elements are used. The main assumptions are…
We propose a new `hedged' Monte-Carlo (HMC) method to price financial derivatives, which allows to determine simultaneously the optimal hedge. The inclusion of the optimal hedging strategy allows one to reduce the financial risk associated…
Differential ML (Huge and Savine 2020) is a technique for training neural networks to provide fast approximations to complex simulation-based models for derivatives pricing and risk management. It uses price sensitivities calculated through…
Support vector machine (SVM) has been one of the most popular learning algorithms, with the central idea of maximizing the minimum margin, i.e., the smallest distance from the instances to the classification boundary. Recent theoretical…
A nonlinear channel estimator using complex Least Square Support Vector Machines (LS-SVM) is proposed for pilot-aided OFDM system and applied to Long Term Evolution (LTE) downlink under high mobility conditions. The estimation algorithm…
Subspace identification methods (SIMs) are known for their simple parameterization for MIMO systems and robust numerical properties. However, a comprehensive statistical analysis of SIMs remains an open problem. Following a three-step…
This paper investigates asymptotically optimal importance sampling (IS) schemes for pricing European call options under the Heston stochastic volatility model. We focus on two distinct rare-event regimes where standard Monte Carlo methods…
The Derivative Source Method (DSM) takes derivatives of a particle transport equation with respect to selected parameters and solves them via the standard Monte Carlo random walk simulation along with the original transport problem. The…
Computational efficiency is essential for enhancing the accuracy and practicality of pricing complex financial derivatives. In this paper, we discuss Isogeometric Analysis (IGA) for valuing financial derivatives, modeled by two nonlinear…