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Density approximations for multivariate affine jump-diffusion processes

Related publications (31)

How Integrated are Credit and Equity Markets? Evidence from Index Options

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We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

Wiley2024

Orbital-Resolved DFT plus U for Molecules and Solids

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We present an orbital-resolved extension of the Hubbard U correction to density-functional theory (DFT). Compared to the conventional shell-averaged approach, the prediction of energetic, electronic and structural properties is strongly improved, particula ...

Amer Chemical Soc2024

Random matrix methods for high-dimensional machine learning models

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In the rapidly evolving landscape of machine learning research, neural networks stand out with their ever-expanding number of parameters and reliance on increasingly large datasets. The financial cost and computational resources required for the training p ...

EPFL2024

Error assessment of an adaptive finite elements-neural networks method for an elliptic parametric PDE

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We present a finite elements-neural network approach for the numerical approximation of parametric partial differential equations. The algorithm generates training data from finite element simulations, and uses a data -driven (supervised) feedforward neura ...

Elsevier Science Sa2024

Learning the intrinsic dynamics of spatio-temporal processes through Latent Dynamics Networks

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Predicting the evolution of systems with spatio-temporal dynamics in response to external stimuli is essential for scientific progress. Traditional equations-based approaches leverage first principles through the numerical approximation of differential equ ...

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A key challenge across many disciplines is to extract meaningful information from data which is often obscured by noise. These datasets are typically represented as large matrices. Given the current trend of ever-increasing data volumes, with datasets grow ...

EPFL2024

CO2 Capture and Management Strategies for Decarbonizing Secondary Aluminium Production

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Information Spectrum Converse for Minimum Entropy Couplings and Functional Representations

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Given two jointly distributed random variables (X,Y), a functional representation of X is a random variable Z independent of Y, and a deterministic function g(⋅,⋅) such that X=g(Y,Z). The problem of finding a minimum entropy functional representation is kn ...

2023

Closed form approximation methods for portfolio valuation and risk management

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EPFL2023

Sensitivity to user mischaracterizations in electric vehicle charging

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ELSEVIER2023

Robust optimization of control parameters for WEC arrays using stochastic methods

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This work presents a new computational optimization framework for the robust control of parks of Wave Energy Converters (WEC) in irregular waves. The power of WEC parks is maximized with respect to the individual control damping and stiffness coefficients ...

Journal of Computational Physics2023

Exchange options with stochastic liquidity risk

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In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...

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A NEW PROOF OF THE ERDOS-KAC CENTRAL LIMIT THEOREM

Thomas Mountford, Michael Cranston

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Amer Mathematical Soc2023

Tensor approximation of the self-diffusion matrix of tagged particle processes

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The objective of this paper is to investigate a new numerical method for the approximation of the self-diffusion matrix of a tagged particle process defined on a grid. While standard numerical methods make use of long-time averages of empirical means of de ...

ACADEMIC PRESS INC ELSEVIER SCIENCE2023

Adapting Haptic Feedback for Guided Meditation

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Technology supporting meditation is a multimillion-dollar market that continues to grow. There is also strong academic interest to understand and improve the impact technology can have for the user experience of practitioners. However, little work investig ...

2023

Low-Rank Tensor Methods for High-Dimensional Problems

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In this thesis, we propose and analyze novel numerical algorithms for solving three different high-dimensional problems involving tensors. The commonality of these problems is that the tensors can potentially be well approximated in low-rank formats. Ident ...

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Numerical simulation of immiscible incompressible viscous, viscoelastic and elastic multiphase flows

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EPFL2023

Retraction-based numerical methods for continuation, interpolation and time integration on manifolds

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EPFL2023

Inferring free-energy barriers and kinetic rates from molecular dynamics via underdamped Langevin models

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Rare events include many of the most interesting transformation processes in condensed matter, from phase transitions to biomolecular conformational changes to chemical reactions. Access to the corresponding mechanisms, free-energy landscapes and kinetic r ...

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An equilibrated flux a posteriori error estimator for defeaturing problems

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An a posteriori error estimator based on an equilibrated flux reconstruction is proposed for defeaturing problems in the context of finite element discretizations. Defeaturing consists in the simplification of a geometry by removing features that are consi ...

2023