Related papers: Fast Barrier Option Pricing by the COS BEM Method …
There has been an increasing interest in developing efficient immersed boundary method (IBM) based on Cartesian grids, recently in the context of high-order methods. IBM based on volume penalization is a robust and easy to implement method…
Despite the empirical success of the rough Bergomi (rBergomi) model in modeling volatility dynamics, its practical use remains challenging due to high computational complexity in both pricing and calibration arising from its non-Markovian…
In the present paper, we introduce a numerical scheme for the price of a barrier option when the price of the underlying follows a diffusion process. The numerical scheme is based on an extension of a static hedging formula of barrier…
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for…
A high fidelity fluid-structure interaction simulation may require many days to run, on hundreds of cores. This poses a serious burden, both in terms of time and economic considerations, when repetitions of such simulations may be required…
We present a hybrid numerical-asymptotic (HNA) boundary element method (BEM) for high frequency scattering by two-dimensional screens and apertures, whose computational cost to achieve any prescribed accuracy remains bounded with increasing…
Valuing Guaranteed Minimum Withdrawal Benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Yang and Dai, the Black and Scholes framework seems to be inappropriate…
A methodology for determining the scattered Electromagnetic (EM) fields present for interconnected regions with common metasurface boundaries is presented. The method uses a Boundary Element Method (BEM) formulation of the frequency domain…
We study a hybrid tree-finite difference method which permits to obtain efficient and accurate European and American option prices in the Heston Hull-White and Heston Hull-White2d models. Moreover, as a by-product, we provide a new…
We propose a new jump-diffusion process, the Heston-Queue-Hawkes (HQH) model, combining the well-known Heston model and the recently introduced Queue-Hawkes (Q-Hawkes) jump process. Like the Hawkes process, the HQH model can capture the…
We develop an unsupervised deep learning method to solve the barrier options under the Bergomi model. The neural networks serve as the approximate option surfaces and are trained to satisfy the PDE as well as the boundary conditions. Two…
In the present thesis, a computational framework for the analysis of the deformation and damage phenomena occurring at the micro-scale of polycrystalline materials is presented. Micro-mechanics studies are commonly performed using the…
Bayesian optimization (BO) is an effective paradigm for the optimization of expensive-to-sample systems. Standard BO learns the performance of a system $f(x)$ by using a Gaussian Process (GP) model; this treats the system as a black-box and…
We consider a novel use case for the Double Heston model (Christoffersen et al,, 2009), where the two Heston sub-variances have different spot/volatility correlations but the same volatility of volatility and mean reversion speed. This…
A surface integral representation of Maxwell's equations allows the efficient electromagnetic (EM) modeling of three-dimensional structures with a two-dimensional discretization, via the boundary element method (BEM). However, existing BEM…
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…
We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for products of both types and depends on an efficient interpolation…
We develop a conditional sampling scheme for pricing knock-out barrier options under the Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new method to an existing conditional Monte Carlo scheme from Glasserman…
We are interested in time-harmonic acoustic scattering by an impenetrable obstacle in a medium where the wavenumber is constant in an exterior unbounded subdomain and is possibly heterogeneous in a bounded subdomain. The associated…
A data-driven surrogate framework to accelerate particle-resolved modelling of quasi-dilute suspensions of rigid, non-spherical particles in Stokes flow is introduced. A regularized-Stokeslet boundary element method (BEM) is implemented to…