相关论文: Static and dynamic SABR stochastic volatility mode…

We outline how auxiliary-field quantum Monte Carlo (AFQMC) can leverage graphical processing units (GPUs) to accelerate the simulation of solid state sytems. By exploiting conservation of crystal momentum in the one- and two-electron…

In this paper we study the short-time behavior of the at-the-money implied volatility for European and arithmetic Asian call options with fixed strike price. The asset price is assumed to follow the Bachelier model with a general stochastic…

This paper presents two conceptually simple methods for parallelizing a Parallel Tempering Monte Carlo simulation in a distributed volunteer computing context, where computers belonging to the general public are used. The first method uses…

Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization of randomly varying volatility. The recent book Fouque, Papanicolaou, Sircar…

We use a graphics processing unit (GPU) for fast computations of Monte Carlo integrations. Two widely used Monte Carlo integration programs, VEGAS and BASES, are parallelized on GPU. By using $W^{+}$ plus multi-gluon production processes at…

We present a scalable dissipative particle dynamics simulation code, fully implemented on the Graphics Processing Units (GPUs) using a hybrid CUDA/MPI programming model, which achieves 10-30 times speedup on a single GPU over 16 CPU cores…

This paper seeks to forecast intraday volatility curves for major foreign exchange (FX) currencies using functional GARCH models. Intraday return curves are observed at a daily frequency, yet preserve the full high-frequency trading…

We tackle the calibration of the so-called Stochastic-Local Volatility (SLV) model. This is the class of financial models that combines the local and stochastic volatility features and has been subject of the attention by many researchers…

We consider the numerical approximation of $\mathbb{P}[G\in \Omega]$ where the $d$-dimensional random variable $G$ cannot be sampled directly, but there is a hierarchy of increasingly accurate approximations $\{G_\ell\}_{\ell\in\mathbb{N}}$…

We develop and implement a non-parametric method for joint exact calibration of a local volatility model and a correlated stochastic short rate model using semimartingale optimal transport. The method relies on the duality results…

We propose a general, very fast method to quickly approximate the solution of a parabolic Partial Differential Equation (PDEs) with explicit formulas. Our method also provides equaly fast approximations of the derivatives of the solution,…

Monte Carlo simulation provides a powerful tool for understanding and exploring thermodynamic phase equilibria in many-particle interacting systems. Among the most physically intuitive simulation methods is Gibbs ensemble Monte Carlo…

This work presents an updated and extended guide on methods of a proper acceleration of the Monte Carlo integration of stochastic differential equations with the commonly available NVIDIA Graphics Processing Units using the CUDA programming…

In the present work, we propose a new multifactor stochastic volatility model in which slow factor of volatility is approximated by a parabolic arc. We retain ourselves to the perturbation technique to obtain approximate expression for…

Stochastic gradient Markov chain Monte Carlo (SG-MCMC) methods are Bayesian analogs to popular stochastic optimization methods; however, this connection is not well studied. We explore this relationship by applying simulated annealing to an…

This paper presents a computation-efficient stochastic dynamic programming algorithm for solving energy storage price arbitrage considering variable charge and discharge efficiencies. We formulate the price arbitrage problem using…

In this paper we study short-time behavior of the at-the-money implied volatility for Inverse European options with fixed strike price. The asset price is assumed to follow a general stochastic volatility process. Using techniques of the…

We implement a master-slave parallel genetic algorithm (PGA) with a bespoke log-likelihood fitness function to identify emergent clusters within price evolutions. We use graphics processing units (GPUs) to implement a PGA and visualise the…

We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for…

Monte Carlo Localization is a widely used approach in the field of mobile robotics. While this problem has been well studied in the 2D case, global localization in 3D maps with six degrees of freedom has so far been too computationally…