相关论文: A mixed Monte Carlo and PDE variance reduction met…

We develop a novel Monte Carlo algorithm for the vector consisting of the supremum, the time at which the supremum is attained and the position at a given (constant) time of an exponentially tempered L\'evy process. The algorithm, based on…

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…

In this article, we present a review of the recent developments on the topic of Multilevel Monte Carlo (MLMC) algorithm, in the paradigm of applications in financial engineering. We specifically focus on the recent studies conducted in two…

Typically options with a path dependent payoff, such as Target Accumulation Redemption Note (TARN), are evaluated by a Monte Carlo method. This paper describes a finite difference scheme for pricing a TARN option. Key steps in the proposed…

We introduce a new deep-learning based algorithm to evaluate options in affine rough stochastic volatility models. Viewing the pricing function as the solution to a curve-dependent PDE (CPDE), depending on forward curves rather than the…

This paper presents a new model for options pricing. The Black-Scholes-Merton (BSM) model plays an important role in financial options pricing. However, the BSM model assumes that the risk-free interest rate, volatility, and equity premium…

Hamiltonian Monte Carlo (or hybrid Monte Carlo) with partial momentum refreshment explores the state space more slowly than it otherwise would due to the momentum reversals which occur on proposal rejection. These cause trajectories to…

We are interested in computing the expectation of a functional of a PDE solution under a Bayesian posterior distribution. Using Bayes' rule, we reduce the problem to estimating the ratio of two related prior expectations. For a model…

We explore the possibilities of importance sampling in the Monte Carlo pricing of a structured credit derivative referred to as Collateralized Debt Obligation (CDO). Modeling a CDO contract is challenging, since it depends on a pool of…

The Monte Carlo implementation of different approaches for diffractive scattering in $e - p$ collisions (resolved $\PO$, pQCD, soft color interactions) is described, with emphasis on the construction of the hadronic final state. Simple…

A parametric model order reduction (MOR) approach for simulating the high dimensional models arising in financial risk analysis is proposed on the basis of the proper orthogonal decomposition (POD) approach to generate small model…

We propose a novel algorithm which allows to sample paths from an underlying price process in a local volatility model and to achieve a substantial variance reduction when pricing exotic options. The new algorithm relies on the construction…

In this paper we present an algorithm for yield estimation and optimization exploiting Hessian based optimization methods, an adaptive Monte Carlo (MC) strategy, polynomial surrogates and several error indicators. Yield estimation is used…

We investigate the problem of computing a nested expectation of the form $\mathbb{P}[\mathbb{E}[X|Y] \!\geq\!0]\!=\!\mathbb{E}[\textrm{H}(\mathbb{E}[X|Y])]$ where $\textrm{H}$ is the Heaviside function. This nested expectation appears, for…

In this manuscript we analyze the weak convergence rate of a discretization scheme for the Heston model. Under mild assumptions on the smoothness of the payoff and on the Feller index of the volatility process, respectively, we establish a…

Monte Carlo approximations for random linear elliptic PDE constrained optimization problems are studied. We use empirical process theory to obtain best possible mean convergence rates $O(n^{-\frac{1}{2}})$ for optimal values and solutions,…

Multi-fidelity Monte Carlo (MFMC) is a variance reduction method that leverages a multi-fidelity ensemble of models of varying cost and accuracy levels. Constructing an MFMC estimator with optimal variance requires knowledge of the…

We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modelled with stochastic volatility and jump-diffusion dynamics. As the MOL, as with any other…

The vast majority of works on option pricing operate on the assumption of risk neutral valuation, and consequently focus on the expected value of option returns, and do not consider risk parameters, such as variance. We show that it is…

Local volatility models usually capture the surface of implied volatilities more accurately than other approaches, such as stochastic volatility models. We present the results of application of Monte Carlo (MC) and Quasi Monte Carlo (QMC)…