Related papers: Pricing Bermudan Swaption under Two Factor Hull-Wh…
Using the shift-operator technique, a compact formula for the Fourier transform of a product of two Slater-type orbitals located on different atomic centers is derived. The result is valid for arbitrary quantum numbers and was found to be…
An integral scheme for the efficient evaluation of two-center integrals over contracted solid harmonic Gaussian functions is presented. Integral expressions are derived for local operators that depend on the position vector of one of the…
We propose an algorithm to compute the dynamics of articulated rigid-bodies with different sensor distributions. Prior to the on-line computations, the proposed algorithm performs an off-line optimisation step to simplify the computational…
An efficient compression technique based on hierarchical tensors for popular option pricing methods is presented. It is shown that the "curse of dimensionality" can be alleviated for the computation of Bermudan option prices with the Monte…
We design, analyze and test a golden ratio primal-dual algorithm (GRPDA) for solving structured convex optimization problem, where the objective function is the sum of two closed proper convex functions, one of which involves a composition…
Robust estimation is essential in computer vision, robotics, and navigation, aiming to minimize the impact of outlier measurements for improved accuracy. We present a fast algorithm for Geman-McClure robust estimation, FracGM, leveraging…
We present a semi-static hedging algorithm for callable interest rate derivatives under an affine, multi-factor term-structure model. With a traditional dynamic hedge, the replication portfolio needs to be updated continuously through time…
We present a new version of the fast Gauss transform (FGT) for discrete and continuous sources. Classical Hermite expansions are avoided entirely, making use only of the plane-wave representation of the Gaussian kernel and a new…
The Bayesian transformed Gaussian process (BTG) model, proposed by Kedem and Oliviera, is a fully Bayesian counterpart to the warped Gaussian process (WGP) and marginalizes out a joint prior over input warping and kernel hyperparameters.…
This paper proposes a hybrid Gaussian process (GP) approach to robust economic model predictive control under unknown future disturbances in order to reduce the conservatism of the controller. The proposed hybrid GP is a combination of two…
Within a Markovian complete financial market, we consider the problem of hedging a Bermudan option with a given probability. Using stochastic target and duality arguments, we derive a backward numerical scheme for the Fenchel transform of…
We present an efficient algorithm for computing the exact exchange contributions in the Hartree-Fock and hybrid density functional theory models on the basis of the fast multipole method (FMM). Our algorithm is based on the observation that…
In this work, we study several variants of matrix reduction via Gaussian elimination that try to keep the reduced matrix sparse. The motivation comes from the growing field of topological data analysis where matrix reduction is the major…
We present and investigate a new type of implicit fractional linear multistep method of order two for fractional initial value problems. The method is obtained from the second order super convergence of the Gr\"unwald-Letnikov approximation…
The Moran process on graphs is a popular model to study the dynamics of evolution in a spatially structured population. Exact analytical solutions for the fixation probability and time of a new mutant have been found for only a few classes…
We introduce a simulation scheme for Brownian semistationary processes, which is based on discretizing the stochastic integral representation of the process in the time domain. We assume that the kernel function of the process is regularly…
The fluctuation exchange (FLEX) approximation is applied to study the Holstein-Hubbard model. Due to the retarded nature of the phonon-mediated electron-electron interaction, neither fast Fourier transform (FFT) nor previously developed NRG…
We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a…
We develop a mixed least squares Monte Carlo-partial differential equation (LSMC-PDE) method for pricing Bermudan style options on assets whose volatility is stochastic. The algorithm is formulated for an arbitrary number of assets and…
We present enhancements to the computational efficiency of exact exchange calculations using the density matrix and local support functions. We introduce a numerical method which avoids the explicit calculation the four-center two-electron…