Publications associées à Affine Processes On Positive Semidefinite Matrices

Machine Learning for Modeling Stock Returns

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

EPFL2024

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

Pierre Collin Dufresne, Jan Benjamin Junge

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

Experiments and gyrokinetic simulations of TCV plasmas with negative triangularity in view of DTT operations

Olivier Sauter, Stefano Coda, Alberto Mariani, Justin Richard Ball, Filippo Bagnato, Matteo Vallar

Negative triangularity (NT) scenarios in TCV have been compared to positive triangularity (PT) scenarios using the same plasma shapes foreseen for divertor tokamak test tokamak operations. The experiments provided a NT/PT L-mode pair and a PT H-mode with d ...

Iop Publishing Ltd2024

Physical insights from the aspect ratio dependence of turbulence in negative triangularity plasmas

Stefano Coda, Justin Richard Ball

In this work, we study the impact of aspect ratio A = R 0 / r (the ratio of major radius R 0 to minor radius r) on the confinement benefits of negative triangularity (NT) plasma shaping. We use high-fidelity flux tube gyrokinetic GENE simulations and consi ...

Iop Publishing Ltd2024

SPEEDING UP KRYLOV SUBSPACE METHODS FOR COMPUTING f(A)b VIA RANDOMIZATION

Daniel Kressner, Alice Cortinovis

This work is concerned with the computation of the action of a matrix function f(A), such as the matrix exponential or the matrix square root, on a vector b. For a general matrix A, this can be done by computing the compression of A onto a suitable Krylov ...

Siam Publications2024

Spectral Estimators for High-Dimensional Matrix Inference

Farzad Pourkamali

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

Study of impurity C transport and plasma rotation in negative triangularity on the TCV tokamak

Basil Duval, Olivier Sauter, Stefano Coda, Alexander Karpushov, Laurie Porte, Benoît Labit, Antoine Pierre Emmanuel Alexis Merle, Justin Richard Ball, Filippo Bagnato, Alessandro Pau, Dmytry Mykytchuk

Carbon impurity transport is studied in the TCV tokamak using a charge exchange recombination diagnostic. TCVs flexible shaping capabilities were exploited to extend previous impurity transport studies to negative triangularity (delta < 0). A practical way ...

Iop Publishing Ltd2024

First-principle based predictions of the effects of negative triangularity on DTT scenarios

Olivier Sauter, Gabriele Merlo, Alberto Mariani

Plasmas with negative triangularity (NT) shape have been recently shown to be able to achieve H-mode levels of confinement in L-mode, avoiding detrimental edge localised modes. Therefore, this plasma geometry is now studied as a possible viable option for ...

IOP Publishing Ltd2024

Tangent functional connectomes uncover more unique phenotypic traits

Mingkui Wang, Enrico Amico

Functional connectomes (FCs) containing pairwise estimations of functional couplings between pairs of brain regions are commonly represented by correlation matrices. As symmetric positive definite matrices, FCs can be transformed via tangent space projecti ...

CELL PRESS2023

Exchange options with stochastic liquidity risk

Puneet Pasricha

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 ...

PERGAMON-ELSEVIER SCIENCE LTD2023

Effect of triangularity on plasma turbulence and the SOL-width scaling in L-mode diverted tokamak configurations

Paolo Ricci, Louis Nicolas Stenger, Maurizio Giacomin, Davide Mancini

The effect of triangularity on tokamak boundary plasma turbulence is investigated using global, flux-driven, three-dimensional, two-fluid simulations. The simulations show that negative triangularity (NT) stabilizes boundary plasma turbulence, and linear i ...

IOP Publishing Ltd2023

IMPROVED VARIANTS OF THE HUTCH plus plus ALGORITHM FOR TRACE ESTIMATION

Daniel Kressner, Alice Cortinovis, Ulf David Persson

This paper is concerned with two improved variants of the Hutch++ algorithm for estimating the trace of a square matrix, implicitly given through matrix-vector products. Hutch++ combines randomized low-rank approximation in a first phase with stochastic tr ...

SIAM PUBLICATIONS2022

Covariance Estimation for Random Surfaces beyond Separability

Tomas Masák

This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, and considerations of statistical and com ...

EPFL2022

Inference and Computation for Sparsely Sampled Random Surfaces

Victor Panaretos, Tomas Rubin, Tomas Masák

Nonparametric inference for functional data over two-dimensional domains entails additional computational and statistical challenges, compared to the one-dimensional case. Separability of the covariance is commonly assumed to address these issues in the de ...

TAYLOR & FRANCIS INC2022

Essays in Empirical Asset Pricing

Alexis Arilès Marchal

This thesis consists of three applications of machine learning techniques to empirical asset pricing. In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...

EPFL2022

Essays in Monetary Policy and Asset Pricing

Benoit Vincent Sylvain Cornet

This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices. The first chapter, entitled Market Expectations and the Impact of Unconv ...

EPFL2022

Skew-Brownian motion and pricing European exchange options br

Puneet Pasricha

This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...

ELSEVIER SCIENCE INC2022

Fast deterministic and randomized algorithms for low-rank approximation, matrix functions, and trace estimation

Alice Cortinovis

In this thesis we propose and analyze algorithms for some numerical linear algebra tasks: finding low-rank approximations of matrices, computing matrix functions, and estimating the trace of matrices. In the first part, we consider algorithms for building ...

EPFL2022

Iterative refinement of Schur decompositions

Daniel Kressner, Zvonimir Bujanovic

The Schur decomposition of a square matrix A is an important intermediate step of state-of-the-art numerical algorithms for addressing eigenvalue problems, matrix functions, and matrix equations. This work is concerned with the following task: Compute a (m ...

SPRINGER2023

Modelling of sawtooth-induced fast ion transport in positive and negative triangularity in TCV

Basil Duval, Olivier Sauter, Alexander Karpushov, Mario Ludovico Podesta, Duccio Testa, Antoine Pierre Emmanuel Alexis Merle, Marcelo Baquero Ruiz, Lorenzo Stipani, Matteo Vallar, Dmytry Mykytchuk

Internal kinks are a common magneto hydro-dynamic (MHD) instability observed in tokamak operation when the q profile in the plasma core is close to unity. This MHD instability impacts both the transport of the bulk plasma (current, particle and energy tran ...

IOP Publishing Ltd2022