相关论文: Numerical aspects of integration in semi-closed op…
Monte Carlo integration using quantum computers has been widely investigated, including applications to concrete problems. It is known that quantum algorithms based on quantum amplitude estimation (QAE) can compute an integral with a…
We study the numerical integration problem for functions with infinitely many variables. The function spaces of integrands we consider are weighted reproducing kernel Hilbert spaces with norms related to the ANOVA decomposition of the…
Accurate volatility forecasting is essential in banking, investment, and risk management, because expectations about future market movements directly influence current decisions. This study proposes a hybrid modelling framework that…
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…
The paper deals with the developing of the methodological backgrounds for the modeling and simulation of complex dynamical objects. Such backgrounds allow us to perform coordinate transformation and formulate the algorithm of its usage for…
In this paper, we focus on option pricing models based on space-time fractional diffusion. We briefly revise recent results which show that the option price can be represented in the terms of rapidly converging double-series and apply these…
This paper studies the numerical computation of integrals, representing estimates or predictions, over the output $f(x)$ of a computational model with respect to a distribution $p(\mathrm{d}x)$ over uncertain inputs $x$ to the model. For…
Full electronic automation in stock exchanges has recently become popular, generating high-frequency intraday data and motivating the development of near real-time price forecasting methods. Machine learning algorithms are widely applied to…
We show that the Variational Quantum-Classical Simulation algorithm admits a finite circuit depth scaling collapse when targeting the critical point of the transverse field Ising chain. The order parameter only collapses on one side of the…
This paper studies equity basket options -- i.e., multi-dimensional derivatives whose payoffs depend on the value of a weighted sum of the underlying stocks -- and develops a new and innovative approach to ensure consistency between options…
The development of accurate and fast numerical schemes for the five fold Boltzmann collision integral represents a challenging problem in scientific computing. For a particular class of interactions, including the so-called hard spheres…
This dissertation develops and justifies a novel method for deriving approximate formulas to estimate two parameters in stochastic volatility diffusion models with exponentially-affine characteristic functions and single- or two-factor…
In this paper, we focus on the estimation of historical volatility of asset prices from high-frequency data. Stochastic volatility models pose a major statistical challenge: since in reality historical volatility is not observable, its…
A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. The method models directly the policy and does not need the…
This study provides a consistent and efficient pricing method for both Standard & Poor's 500 Index (SPX) options and the Chicago Board Options Exchange's Volatility Index (VIX) options under a multiscale stochastic volatility model. To…
When calibrating spatial partial equilibrium models with conjectural variations, some modelers fit the suppliers' sales to the available data in addition to total consumption and price levels. While this certainly enhances the quality of…
In the present work, the European option pricing SWIFT method is extended for Heston model calibration. The computation of the option price gradient is simplified thanks to the knowledge of the characteristic function in closed form. The…
This paper performs the numerical analysis and the computation of a Spread option in a market with imperfect liquidity. The number of shares traded in the stock market has a direct impact on the stock's price. Thus, we consider a…
Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and…