Numerical methods for option pricing: polynomial approximation and high dimensionality

Chattez avec Graph Search

Posez n’importe quelle question sur les cours, conférences, exercices, recherches, actualités, etc. de l’EPFL ou essayez les exemples de questions ci-dessous.

AVERTISSEMENT : Le chatbot Graph n'est pas programmé pour fournir des réponses explicites ou catégoriques à vos questions. Il transforme plutôt vos questions en demandes API qui sont distribuées aux différents services informatiques officiellement administrés par l'EPFL. Son but est uniquement de collecter et de recommander des références pertinentes à des contenus que vous pouvez explorer pour vous aider à répondre à vos questions.

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 ...

In light of the challenges posed by climate change and the goals of the Paris Agreement, electricity generation is shifting to a more renewable and decentralized pattern, while the operation of systems like buildings is increasingly electrified. This calls ...

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, ...

Decision-making permeates every aspect of human and societal development, from individuals' daily choices to the complex decisions made by communities and institutions. Central to effective decision-making is the discipline of optimization, which seeks th ...

Generative language models (LMs) have become omnipresent across data science. For a wide variety of tasks, inputs can be phrased as natural language prompts for an LM, from whose output the solution can then be extracted. LM performance has consistently be ...

Literature on linear induction motors (LIMs) has proposed several approaches to model the behavior of such devices for different applications. In terms of accuracy and fidelity, field analysis-based models are the most relevant. Closed-form or numerical so ...

In this paper, we propose an analytical stochastic dynamic programming (SDP) algorithm to address the optimal management problem of price-maker community energy storage. As a price-maker, energy storage smooths price differences, thus decreasing energy arb ...

Time-domain solutions of Maxwell’s equations in homogeneous and isotropic media are paramount to studying transient or broadband phenomena. However, analytical solutions are generally unavailable for practical applications, while numerical solutions are co ...

Given a sequence of functions

f_1,\ldots,f_n

with

f_i:\mathcal{D}\mapsto \mathbb{R}

, finite-sum minimization seeks a point

{x}^\star \in \mathcal{D}

minimizing

\sum_{j=1}^nf_j(x)/n

. In this work, we propose a key twist into the finite-sum minimizat ...

In algorithms for solving optimization problems constrained to a smooth manifold, retractions are a well-established tool to ensure that the iterates stay on the manifold. More recently, it has been demonstrated that retractions are a useful concept for ot ...

The optimal pricing of goods, especially when they are new and the innovating firm is a monopolist, must proceed without precise knowledge of the demand curve. This paper provides a pricing method with a relative robustness guarantee by maximizing a perfor ...

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 ...

The production of aluminium largely depends on the use of fossil fuels, resulting in the emission of significant amounts of greenhouse gases. As the aluminium industry is working towards decreasing its environmental burdens, the elimination of direct emiss ...

We introduce a new measure of the price charged by ﬁnancial intermediaries for con-necting mortgage borrowers with capital market investors. Based on administrativelender pricing data, we document that the price of intermediation reacts stronglyto variatio ...

Purpose: This study aims to evaluate two distinct approaches for fiber radius estimation using diffusion-relaxation MRI data acquired in biomimetic microfiber phantoms that mimic hollow axons. The methods considered are the spherical mean power-law approac ...

In this thesis we will present and analyze randomized algorithms for numerical linear algebra problems. An important theme in this thesis is randomized low-rank approximation. In particular, we will study randomized low-rank approximation of matrix functio ...

In this paper, we propose a reduced-order modeling strategy for two-way Dirichlet-Neumann parametric coupled problems solved with domain-decomposition (DD) sub-structuring methods. We split the original coupled differential problem into two sub-problems wi ...

This paper presents the new 2D electrostatic particle -in -cell code FENNECS developed to study the formation of magnetized non -neutral plasmas in geometries with azimuthal symmetry. This code has been developed in the domain of gyrotron electron gun desi ...

Molecular quantum dynamics simulations are essential for understanding many fundamental phenomena in physics and chemistry. They often require solving the time-dependent Schrödinger equation for molecular nuclei, which is challenging even for medium-sized ...

How to measure students' Computational Problem-Solving (CPS) competencies is an ongoing research topic. Prevalent approaches vary by measurement tools (e.g., interactive programming, multiple-choice tests, or programming-independent tests) and task types ( ...

Numerical methods for option pricing: polynomial approximation and high dimensionality

Chattez avec Graph Search

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

Quantifying the Unknown: Data-Driven Approaches and Applications in Energy Systems

Machine Learning for Modeling Stock Returns

Reliable data-driven decision-making through optimal transport

Fly-Swat or Cannon? Cost-Effective Language Model Choice via Meta-Modeling

Pseudo-Three-Dimensional Analytical Model of Linear Induction Motors for High-Speed Applications

Energy Management of Price-Maker Community Energy Storage by Stochastic Dynamic Programming

The time-domain Cartesian multipole expansion of electromagnetic fields

Efficient Continual Finite-Sum Minimization

From low-rank retractions to dynamical low-rank approximation and back

Monopoly Pricing with Unknown Demand

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

CO2 Capture and Management Strategies for Decarbonizing Secondary Aluminium Production

The Time‐Varying Price of Financial Intermediation in the Mortgage Market

Pore size estimation in axon-mimicking microfibers with diffusion-relaxation MRI

Randomized low-rank approximation and its applications

A Reduced Order Model for Domain Decompositions with Non-conforming Interfaces

FENNECS: a novel particle-in-cell code for simulating the formation of magnetized non-neutral plasmas trapped by electrodes of complex geometries

High-order geometric integrators for the variational Gaussian wavepacket dynamics and application to vibronic spectra at finite temperature

A Comparative Analysis of Tools & Task Types for Measuring Computational Problem-Solving