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Asian option pricing with orthogonal polynomials

Publications associées (28)

Mapping orthorhombic domains with geometrical phase analysis in rare-earth nickelate heterostructures

Jean-Marc Triscone, Duncan Thomas Lindsay Alexander, Bernat Mundet

Most perovskite oxides belong to the Pbnm space group, composed of an anisotropic unit cell, A-site antipolar displacements, and oxygen octahedral tilts. Mapping the orientation of the orthorhombic unit cell in epitaxial heterostructures that consist of at ...

Aip Publishing2024

Nonlinear simulation of plasma turbulence using a gyrokinetic moment-based approach

Antoine Cyril David Hoffmann

Plasma turbulence plays a fundamental role in determining the performances of magnetic confinement fusion devices, such as tokamaks. Advances in computer science, combined with the development of efficient physical models, have significantly improved our u ...

EPFL2024

Generalization of Scaled Deep ResNets in the Mean-Field Regime

Volkan Cevher, Grigorios Chrysos, Fanghui Liu

Despite the widespread empirical success of ResNet, the generalization properties of deep ResNet are rarely explored beyond the lazy training regime. In this work, we investigate scaled ResNet in the limit of infinitely deep and wide neural networks, of wh ...

2024

A cut-cell method for the numerical simulation of 3D multiphase flows with strong interfacial effects

Alexandre Caboussat, Alexandre Masserey, Marco Picasso, Julien Hess

We present a numerical model for the approximation of multiphase flows with free surfaces and strong interfacial effects. The model relies on the multiphase incompressible Navier-Stokes equations, and includes surface tension effects on the interfaces betw ...

Academic Press Inc Elsevier Science2024

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

Alexandre Caboussat, Marco Picasso, Maude Girardin

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

Robot Learning using Tensor Networks

Suhan Narayana Shetty

In various robotics applications, the selection of function approximation methods greatly influences the feasibility and computational efficiency of algorithms. Tensor Networks (TNs), also referred to as tensor decomposition techniques, present a versatile ...

EPFL2024

An equilibrated flux a posteriori error estimator for defeaturing problems

Ondine Gabrielle Chanon, Annalisa Buffa, Rafael Vazquez Hernandez, Denise Grappein

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

Higher Order Asymptotics: Applications to Satellite Conjunction and Boundary Problems

Soumaya Elkantassi

Higher-order asymptotics provide accurate approximations for use in parametric statistical modelling. In this thesis, we investigate using higher-order approximations in two-specific settings, with a particular emphasis on the tangent exponential model. ...

EPFL2023