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We introduce the Volterra Stein-Stein model with stochastic interest rates, where both volatility and interest rates are driven by correlated Gaussian Volterra processes. This framework unifies various well-known Markovian and non-Markovian…
We present solidfmm, a highly optimised C++ library for the solid harmonics as they are needed in fast multipole methods. The library provides efficient, vectorised implementations of the translation operations M2M, M2L, and L2L, and is…
As modern scientific simulations grow ever more in size and complexity, even their analysis and post-processing becomes increasingly demanding, calling for the use of HPC resources and methods. yt is a parallel, open source post-processing…
Machine learning interatomic potentials (MLIPs) enable atomistic simulations with near ab initio accuracy at significantly reduced computational cost, but their broader adoption is often limited by fragmented tooling, limited scalability,…
Uncertainty quantification (UQ) is crucial in computational fluid dynamics to assess the reliability and robustness of simulations, given the uncertainties in input parameters. OpenLB is an open-source lattice Boltzmann method library…
The most commonly used open-source process mining software tools today are ProM and PM4Py, written in Java and Python, respectively. Such high-level, often interpreted, programming languages trade off performance with memory safety and…
We examine popular gradient-based algorithms for nonlinear control in the light of the modern complexity analysis of first-order optimization algorithms. The examination reveals that the complexity bounds can be clearly stated in terms of…
The freud Python package is a powerful library for analyzing simulation data. Written with modern simulation and data analysis workflows in mind, freud provides a Python interface to fast, parallelized C++ routines that run efficiently on…
Security practitioners maintain vulnerability reports (e.g., GitHub Advisory) to help developers mitigate security risks. An important task for these databases is automatically extracting structured information mentioned in the report,…
Streamlined Byzantine Fault Tolerant (BFT) protocols, such as HotStuff [PODC'19], and weighted voting represent two possible strategies to improve consensus in the distributed systems world. Several studies have been conducted on both…
The Core Imaging Library (CIL) is an open-source versatile Python framework for solving inverse problems with special emphasis on imaging applications such as computed tomography (CT), using a plug-in architecture for data and operators,…
The high cost of chemistry integration is a significant computational bottleneck for realistic reactive-flow simulations using operator splitting. Here we present a methodology to accelerate the solution of the chemical kinetic ordinary…
Deep hedging is a framework for hedging derivatives in the presence of market frictions. In this study, we focus on the problem of hedging a given target option by using multiple options. To extend the deep hedging framework to this…
We present \texttt{secml}, an open-source Python library for secure and explainable machine learning. It implements the most popular attacks against machine learning, including test-time evasion attacks to generate adversarial examples…
This paper explores advancements in quantum algorithms for derivative pricing of exotics, a computational pipeline of fundamental importance in quantitative finance. For such cases, the classical Monte Carlo integration procedure provides…
We present MXtalTools, a flexible Python package for the data-driven modelling of molecular crystals, facilitating machine learning studies of the molecular solid state. MXtalTools comprises several classes of utilities: (1) synthesis,…
HepLib is a C++ Library for computations in High Energy Physics, it works on top of GiNaC, a well-established C++ library used to perform symbolic computations. HepLib combines serval well-known packages to get high efficiency, including…
Differentiable sparse linear algebra is foundational for scientific machine learning, yet PyTorch lacks a unified library for it: \texttt{torch.sparse} provides only low-level kernels and a non-differentiable, CPU-only \texttt{spsolve}, and…
In this paper, we present a method for constructing a (static) portfolio of co-maturing European options whose price sign is determined by the skewness level of the associated implied volatility. This property holds regardless of the…
This paper describes the numerical implementation in a high-performance computing environment of an open-source library for model order reduction in fluid dynamics. This library, called pyLOM, contains the algorithms of proper orthogonal…