Related papers: Semiclassical CEV Option Pricing Model: an Analyti…
Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L. Borland (Quantitative Finance, {\bf 2}, 415-431, 2002) to include…
The continuous observation of the financial markets has identified some stylized facts which challenge the conventional assumptions, promoting the born of new approaches. On the one hand, the long-range dependence has been faced replacing…
We investigate the nonlinear vibration of a fractional viscoelastic cantilever beam, subject to base excitation, where the viscoelasticity takes the general form of a distributed-order fractional model, and the beam curvature introduces…
The Heisenberg evolution of a given unitary operator corresponds classically to a fixed canonical transformation that is viewed through a moving coordinate system. The operators that form the bases of the Weyl representation and its Fourier…
Let $d\geq 1$ and $\alpha \in (0, 2)$. Consider the following non-local and non-symmetric L\'evy-type operator on $\mR^d$: $$ \sL^\kappa_{\alpha}f(x):=\mbox{p.v.}\int_{\mR^d}(f(x+z)-f(x))\frac{\kappa(x,z)}{|z|^{d+\alpha}} \dif z, $$ where…
We present an approach for pricing European call options in presence of proportional transaction costs, when the stock price follows a general exponential L\'{e}vy process. The model is a generalization of the celebrated work of Davis,…
This paper is devoted to the numerical analysis of the Hermite spectral method proposed in [14], which provides, in the semiclassical limit, an asymptotic preserving approximation of the von Neumann equation. More precisely, it relies on…
In this paper we use a Variational Quantum Algorithm to solve Initial Value Problems with the Implicit Crank-Nicolson and the Method of Lines (MoL) evolution schemes. The unknown functions use a spectral decomposition with the Fourier…
Deterministic neural operators perform well on many PDEs but can struggle with the approximation of high-frequency wave phenomena, where strong input-to-output sensitivity makes operator learning challenging, and spectral bias blurs…
The VB-QMC method is presented in this chapter. It consists of using in quantum Monte Carlo (QMC) approaches with a wave function expressed as a usually short expansion of classical Valence-Bond (VB) structures supplemented by a Jastrow…
Based on the Mehler heat kernel of the Schroedinger operator for a free electron in a constant magnetic field an estimate for the kernel of E_A is derived, where E_A represents the kinetic energy of a Dirac electron within the…
The Variational Quantum Eigensolver (VQE) is a Variational Quantum Algorithm (VQA) to determine the ground state of quantum-mechanical systems. As a VQA, it makes use of a classical computer to optimize parameter values for its quantum…
We extend the uncertainty principle, the Cowling--Price theorem, on non-compact Riemannian symmetric spaces $X$. We establish a characterization of the heat kernel of the Laplace--Beltrami operator on $X$ from integral estimates of the…
This paper introduces a novel approach to approximate a broad range of reaction-convection-diffusion equations using conforming finite element methods while providing a discrete solution respecting the physical bounds given by the…
Structure-preserving integrators are in the focus of ongoing research because of their distinguished features of robustness and long time stability. In particular, their formulation for coupled problems that include dissipative mechanisms…
We obtain new closed-form pricing formulas for contingent claims when the asset follows a Dupire-type local volatility model. To obtain the formulas we use the Dyson-Taylor commutator method that we have recently developed in [5, 6, 8] for…
Effective utilization of flexible loads for grid services, while satisfying end-user preferences and constraints, requires an accurate estimation of the aggregated predictive flexibility offered by the electrical loads. Virtual battery (VB)…
We present a comprehensive study of semiclassical phase-space propagation in the Wigner representation, emphasizing numerical applications, in particular as an initial-value representation. Two semiclassical approximation schemes are…
We study the role of charge density-wave fluctuations on the temperature dependence of Seebeck coefficient in quasi-one dimensional conductors with a Peierls instability. The description of low-dimensional incommensurate charge density-wave…
The purpose of this article is to establish regularity and pointwise upper bounds for the (relative) fundamental solution of the heat equation associated to the weighted dbar-operator in $L^2(C^n)$ for a certain class of weights. The…