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Quasi-Monte Carlo (QMC) method is a useful numerical tool for pricing and hedging of complex financial derivatives. These problems are usually of high dimensionality and discontinuities. The two factors may significantly deteriorate the…
The multilevel Monte Carlo (MLMC) method is highly efficient for estimating expectations of a functional of a solution to a stochastic differential equation (SDE). However, MLMC estimators may be unstable and have a poor (noncanonical)…
The rough Bergomi (rBergomi) model, introduced recently in [5], is a promising rough volatility model in quantitative finance. It is a parsimonious model depending on only three parameters, and yet remarkably fits with empirical implied…
We consider the problem of pricing basket options in a multivariate Black Scholes or Variance Gamma model. From a numerical point of view, pricing such options corresponds to moderate and high dimensional numerical integration problems with…
Many problems require to approximate an expected value by some kind of Monte Carlo (MC) sampling, e.g. molecular dynamics (MD) or simulation of stochastic reaction models (also termed kinetic Monte Carlo (kMC)). Often, we are furthermore…
Efficiently pricing multi-asset options is a challenging problem in quantitative finance. When the characteristic function is available, Fourier-based methods are competitive compared to alternative techniques because the integrand in the…
Stochastic optimisation problems minimise expectations of random cost functions. We use 'optimise then discretise' method to solve stochastic optimisation. In our approach, accurate quadrature methods are required to calculate the…
This work presents stochastic optimization methods targeted at least-squares problems involving Monte Carlo integration. While the most common approach to solving these problems is to apply stochastic gradient descent (SGD) or similar…
This study presents a comparative analysis of Monte Carlo (MC) and quasi-Monte Carlo (QMC) methods in the context of derivative pricing, emphasizing convergence rates and the curse of dimensionality. After a concise overview of traditional…
This work proposes a scheme for significantly reducing the computational complexity of discretized problems involving the non-smooth forward propagation of uncertainty by combining the adaptive hierarchical sparse grid stochastic…
Unconstrained optimization problems become more common in scientific computing and engineering applications with the rapid development of artificial intelligence, and numerical methods for solving them more quickly and efficiently have been…
Science and engineering problems subject to uncertainty are frequently both computationally expensive and feature nonsmooth parameter dependence, making standard Monte Carlo too slow, and excluding efficient use of accelerated uncertainty…
This work introduces an end-to-end framework for multi-asset option pricing that combines market-consistent risk-neutral density recovery with quantum-accelerated numerical integration. We first calibrate arbitrage-free marginal…
For uncertainty propagation of highly complex and/or nonlinear problems, one must resort to sample-based non-intrusive approaches [1]. In such cases, minimizing the number of function evaluations required to evaluate the response surface is…
We study an optimal control problem under uncertainty, where the target function is the solution of an elliptic partial differential equation with random coefficients, steered by a control function. The robust formulation of the…
Sequential Monte Carlo (SMC) methods are a widely used set of computational tools for inference in non-linear non-Gaussian state-space models. We propose a new SMC algorithm to compute the expectation of additive functionals recursively.…
Local volatility models usually capture the surface of implied volatilities more accurately than other approaches, such as stochastic volatility models. We present the results of application of Monte Carlo (MC) and Quasi Monte Carlo (QMC)…
Stochastic approximation Monte Carlo (SAMC) has recently been proposed by Liang, Liu and Carroll [J. Amer. Statist. Assoc. 102 (2007) 305--320] as a general simulation and optimization algorithm. In this paper, we propose to improve its…
The classical approaches to numerically integrating a function $f$ are Monte Carlo (MC) and quasi-Monte Carlo (QMC) methods. MC methods use random samples to evaluate $f$ and have error $O(\sigma(f)/\sqrt{n})$, where $\sigma(f)$ is the…
We consider the computational efficiency of Monte Carlo (MC) and Multilevel Monte Carlo (MLMC) methods applied to partial differential equations with random coefficients. These arise, for example, in groundwater flow modelling, where a…