Related papers: Fast Barrier Option Pricing by the COS BEM Method …
Bayesian optimization (BO) is a sample-efficient approach to optimizing costly-to-evaluate black-box functions. Most BO methods ignore how evaluation costs may vary over the optimization domain. However, these costs can be highly…
Bayesian optimization (BO) is a leading method for optimizing expensive black-box optimization and has been successfully applied across various scenarios. However, BO suffers from the curse of dimensionality, making it challenging to scale…
In this Article, a fast numerical numerical algorithm for pricing discrete double barrier option is presented. According to Black-Scholes model, the price of option in each monitoring date can be evaluated by a recursive formula upon the…
The paper outlines some recent developments of the boundary element method (BEM) that makes it more user friendly and suitable for a realistic simulation in geomechanics, especially for underground excavations and tunnelling. The…
A parsimonious generalization of the Heston model is proposed where the volatility-of-volatility is assumed to be stochastic. We follow the perturbation technique of Fouque et al (2011, CUP) to derive a first order approximation of the…
Pricing of exotic financial derivatives, such as Asian and multi-asset American basket options, poses significant challenges for standard numerical methods such as binomial trees or Monte Carlo methods. While the former often scales…
Functional error estimates are well-established tools for a posteriori error estimation and related adaptive mesh-refinement for the finite element method (FEM). The present work proposes a first functional error estimate for the boundary…
For valuing European options, a straightforward model is the well-known Black-Scholes formula. Contrary to market reality, this model assumed that interest rate and volatility are constant. To modify the Black-Scholes model, Heston and…
High-dimensional Bayesian Optimization (BO) has attracted significant attention in recent research. However, existing methods have mainly focused on optimizing in continuous domains, while combinatorial (ordinal and categorical) and mixed…
We present a new accelerated gradient-based method for solving smooth unconstrained optimization problems. The goal is to embed a heavy-ball type of momentum into the Fast Gradient Method (FGM). For this purpose, we devise a generalization…
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…
A two-level quantum system evolving under a time-independent Hamiltonian produces oscillatory measurement probabilities. The estimation of the associated frequency is a cornerstone problem in quantum metrology, sensing, calibration and…
Bayesian optimization (BO) is increasingly employed in critical applications to find the optimal design with minimal cost. While BO is known for its sample efficiency, relying solely on costly high-fidelity data can still result in high…
Bayesian Optimization (BO) is a widely-used method for optimizing expensive-to-evaluate black-box functions. Traditional BO assumes that the learner has full control over all query variables without additional constraints. However, in many…
This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll-Ross(CIR) processes. We derive the characteristic function…
Binomial tree methods (BTM) and explicit difference schemes (EDS) for the variational inequality model of American options with time dependent coefficients are studied. When volatility is time dependent, it is not reasonable to assume that…
We first review the convolution fast-Fourier-transform (CFFT) approach for the numerical solution of backward stochastic differential equations (BSDEs) introduced in (Hyndman and Oyono Ngou, 2017). We then propose a method for improving the…
Local constraint ordered statistics decoding (LC-OSD) provides strong soft decision performance for short block length linear codes, but its practical cost is dominated by the number of tested error patterns (TEPs). This paper proposes a…
We study the binomial, trinomial, and Black-Scholes-Merton models of option pricing. We present fast parallel discrete-time finite-difference algorithms for American call option pricing under the binomial and trinomial models and American…
Model selection is an integral problem of model based optimization techniques such as Bayesian optimization (BO). Current approaches often treat model selection as an estimation problem, to be periodically updated with observations coming…