Related papers: Semiclassical CEV Option Pricing Model: an Analyti…
In this article, a compact finite difference method is proposed for pricing European and American options under jump-diffusion models. Partial integro-differential equation and linear complementary problem governing European and American…
Propagation of the Wigner function is studied on two levels of semiclassical propagation, one based on the van-Vleck propagator, the other on phase-space path integration. Leading quantum corrections to the classical Liouville propagator…
The quantum Rabi model (QRM) is widely recognized as an important model in quantum systems, particularly in quantum optics. The Hamiltonian $H_{\text{Rabi}}$ is known to have a parity decomposition $H_{\text{Rabi}} = H_{+} \oplus H_{-}$. In…
In this paper, we study the asymptotic behavior of the heat kernel with respect to the Witten Laplacian. We introduce the localization and the scaling technique in semi-classical analysis, and study the semi-classical asymptotic behavior of…
We use commutator techniques and calculations in solvable Lie groups to investigate certain evolution Partial Differential Equations (PDEs for short) that arise in the study of stochastic volatility models for pricing contingent claims on…
This work proposed kernel selection approaches for probabilistic classifiers based on features produced by the convolutional encoder of a variational autoencoder. Particularly, the developed methodologies allow the selection of the most…
Diffusion models may be viewed as hierarchical variational autoencoders (VAEs) with two improvements: parameter sharing for the conditional distributions in the generative process and efficient computation of the loss as independent terms…
This paper analyses the nonconforming Morley type virtual element method to approximate a regular solution to the von K\'{a}rm\'{a}n equations that describes bending of very thin elastic plates. Local existence and uniqueness of a discrete…
Heat kernel coefficients encode the short distance behavior of propagators in the presence of background fields, and are thus useful in quantum field theory. We present a Mathematica program for computing these coefficients and their…
In this paper we want to exploit further the semi-discrete method appeared in Halidias and Stamatiou (2015). We are interested in the numerical solution of mean reverting CEV processes that appear in financial mathematics models and are…
The R package CVEK introduces a suite of flexible machine learning models and robust hypothesis tests for learning the joint nonlinear effects of multiple covariates in limited samples. It implements the Cross-validated Ensemble of Kernels…
We continue a series of papers devoted to construction of semi-analytic solutions for barrier options. These options are written on underlying following some simple one-factor diffusion model, but all the parameters of the model as well as…
The density operator for a quantum system in thermal equilibrium with its environment depends on Planck's constant, as well as the temperature. At high temperatures, the Weyl representation, that is, the thermal Wigner function, becomes…
In this paper, we consider a semi-classical version of the nonhomogeneous heat equation with singular time-dependent coefficients on the lattice $\hbar \mathbb{Z}^n$. We establish the well-posedeness of such Cauchy equations in the…
In this paper, we consider pricing of European options and spread options for Hawkes-based model for the limit order book. We introduce multivariate Hawkes process and the multivariable general compound Hawkes process. Exponential…
We suggest a systematic calculational scheme for heat kernels of covariant nonminimal operators in causal theories whose characteristic surfaces are null with respect to a generic metric. The calculational formalism is based on a…
This article proposes a Variational Quantum Algorithm to solve linear and nonlinear thermofluid dynamic transport equations. The hybrid classical-quantum framework is applied to problems governed by the heat, wave, and Burgers' equation in…
We introduce the new concept of an EBV to assess the sensitivity of model outputs to changes in initial conditions for weather forecasting. The new algorithm, which we call the "Ensemble Bred Vector" or EBV, is based on collective dynamics…
The prosperous development of both hardware and algorithms for quantum computing (QC) potentially prompts a paradigm shift in scientific computing in various fields. As an increasingly active topic in QC, the variational quantum algorithm…
This paper explores the capabilities of the Constant Elasticity of Variance model driven by a mixed-fractional Brownian motion (mfCEV) [Axel A. Araneda. The fractional and mixed-fractional CEV model. Journal of Computational and Applied…