arXiv research

We deliver a call to arms for probabilistic numerical methods: algorithms for numerical tasks, including linear algebra, integration, optimization and solving differential equations, that return uncertainties in their calculations. Such uncertainties, arising from the loss of precision induced by numerical calculation …

Method calculates function integrals on complex manifolds.

Estimation of the operational risk capital under the Loss Distribution Approach requires evaluation of aggregate (compound) loss distributions which is one of the classic problems in risk theory. Closed-form solutions are not available for the distributions typically used in operational risk. However with modern comput…

Paper proposes efficient method to calculate Fisher-Bingham distribution normalizing constant.

Study validates Libor model for insurance benefits calculation.

Calculates Laplacian spectra on Calabi-Yau hypersurfaces.

New ODE solvers improve training efficiency and accuracy.

Corrects errors in previous work on linear elasticity calculations.

We provide methods to compute the colored HOMFLY polynomials of knots and links with symmetric representations based on the linear skein theory. By using diagrammatic calculations, several formulae for the colored HOMFLY polynomials are obtained. As an application, we calculate some examples for hyperbolic knots and li…

Quantum algorithms improve calculation of parameter sensitivities in financial derivatives.

Developed accurate empirical potentials for Si:H nanowires using multi-fidelity Gaussian process.

We numerically calculate Perelman's entropy for a variety of canonical metrics on $\mathbb{CP}^{1}$-bundles over products of Fano Kähler-Einstein manifolds. The metrics investigated are Einstein metrics, Kähler-Ricci solitons and quasi-Einstein metrics. The calculation of the entropy allows a rough picture of how the R…

In this report, we derive a non-negative series expansion for the Jensen-Shannon divergence (JSD) between two probability distributions. This series expansion is shown to be useful for numerical calculations of the JSD, when the probability distributions are nearly equal, and for which, consequently, small numerical er…

Even in the simple one-factor credit portfolio model that underlies the Basel II regulatory capital rules coming into force in 2007, the exact contributions to credit value-at-risk can only be calculated with Monte-Carlo simulation or with approximation algorithms that often involve numerical integration. As this may r…

In this paper we propose a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices. We rely on a theoretical model described in [21], but extend it so that it reflects actually traded electricity contracts, transaction costs and liquidity considerations. Our nume…

In the framework of bilateral Gamma stock models we seek for adequate option pricing measures, which have an economic interpretation and allow numerical calculations of option prices. Our investigations encompass Esscher transforms, minimal entropy martingale measures, $p$-optimal martingale measures, bilateral Esscher…

We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of the optimal intertemporal risk allocation by a first order condition. Applying t…

We study metrics on shape space of immersions that have a particularly simple horizontal bundle. More specifically, we consider reparametrization invariant Sobolev metrics $G$ on the space $\operatorname{Imm}(M,N)$ of immersions of a compact manifold $M$ in a Riemannian manifold $(N,\overline{g})$. The tangent space $T…

This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value financial options and to calculate implied volatilities with the aim of accelerating the corresponding numerical methods. With ANNs being universal function approximators, this method trains an optimized ANN on a data s…

New method calculates cut locus on surfaces without boundary.

These lecture notes provide some introduction to the 3+1 formalism of general relativity, which is the foundation of most modern numerical relativity. The text is rather self-contained, with detailed calculations and numerous examples. Contents: 1. Introduction, 2. Geometry of hypersurfaces, 3. Geometry of foliations, …

We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as CV@R and monotone mean-variance. Numerical schemes are developed for the computation of these risk measures using Fourier transform methods. This leads, in particular, to a very …

In this paper we present qualitative and quantitative comparison of various analytical and numerical approximation methods for calculating a position of the early exercise boundary of the American put option paying zero dividends. First we analyze their asymptotic behavior close to expiration. In the second part of the…

Fast method developed for pricing barrier options and joint Lévy process distributions.

Twelve numerical methods for Poisson geometry concepts.

In this paper, we show that the Ozsváth-Szabó contact invariant $c^+(ξ)\in HF^+(-Y)$ of a contact 3-manifold $(Y,ξ)$ can be calculated combinatorially if $Y$ is the boundary of a certain type of plumbing $X$, and $ξ$ is induced by a Stein structure on $X$. Our technique uses an algorithm of Ozsváth and Szabó to determi…

Efficiently calculates PL model likelihood for partitioned preference data.

We establish a relation between several easy-to-calculate numerical invariants of generic knots in $\mathbb{H}^2 \times S^1$, and use it to give a new method of computing the Thurston-Bennequin number of Legendrian knots in the tight contact $\mathbb{R}^3$.

Optimal insurance policy for exponential utility maximization with convex premium calculation.

In the framework of path integral the evolution operator kernel for the Merton-Garman Hamiltonian is constructed. Based on this kernel option formula is obtained, which generalizes the well-known Black-Scholes result. Possible approximation numerical schemes for path integral calculations are proposed.

New method calculates DMN log-likelihood faster.

The latter author, together with collaborators, proposed a numerical scheme to calculate the price of barrier options. The scheme is based on a symmetrization of diffusion process. The present paper aims to give a mathematical credit to the use of the numerical scheme for Heston or SABR type stochastic volatility model…

This paper presents analytical solutions to the problem of how to calculate sensible VaR (Value-at-Risk) and ES (Expected Shortfall) contributions in the CreditRisk+ methodology. Via the ES contributions, ES itself can be exactly computed in finitely many steps. The methods are illustrated by numerical examples.

Existing feature selection methods fail to properly account for interactions between features when evaluating feature subsets. In this paper, we attempt to remedy this issue by using orthogonal variance decomposition to evaluate features. The orthogonality of the decomposition allows us to directly calculate the total …

During reactive transport modeling, the computational cost associated with chemical reaction calculations is often 10-100 times higher than that of transport calculations. Most of these costs results from chemical equilibrium calculations that are performed at least once in every mesh cell and at every time step of the…

In this paper, a rapid and high accurate numerical method for pricing discrete single and double barrier knock-out call options is presented. According to the well-known Black-Scholes framework, the price of option in each monitoring date could be calculate by computing a recursive integral formula upon the heat equati…

We study the explicit calculation of the set of superhedging portfolios of contingent claims in a discrete-time market model for d assets with proportional transaction costs. The set of superhedging portfolios can be obtained by a recursive construction involving set operations, going backward in the event tree. We ref…

A method for calculating multi-portfolio time consistent multivariate risk measures in discrete time is presented. Market models for $d$ assets with transaction costs or illiquidity and possible trading constraints are considered on a finite probability space. The set of capital requirements at each time and state is c…

Variable annuities (VA) are popular insurance products. VAs provides the insured with a guaranteed accumulation rate on their premium at maturity. In addition, the insured may receive extra benefit if returns of underlying funds are high enough. Here we consider a special case of VA with high-water mark feature and Gua…

The paper calculates involutive Heegaard Floer homology for specific 3-manifolds.

Motivated by AdS/CFT, the extension is made to spin-half of a scalar calculation of the conformal anomalies and functional determinants of GJMS operators. The formal aspects are heuristic but sufficient. A Barnes zeta function representation again proves effective. The determinants are calculated for the two factorisat…

We apply machine learning to the problem of finding numerical Calabi-Yau metrics. Building on Donaldson's algorithm for calculating balanced metrics on Kähler manifolds, we combine conventional curve fitting and machine-learning techniques to numerically approximate Ricci-flat metrics. We show that machine learning is …

Paper solves convertible bond valuation using finite elements with penalty method.

Efficiently calculates Brazilian stock options with discrete dividends.

The aim of this work is to provide fast and accurate approximation schemes for the Monte-Carlo pricing of derivatives in the Lévy LIBOR model of Eberlein and Özkan (2005). Standard methods can be applied to solve the stochastic differential equations of the successive LIBOR rates but the methods are generally slow. We …

Paper introduces new metrics for evaluating model accuracy.

We speed up Gaussian process cross-validation calculations and improve model diagnostics.

In this paper we apply the innovative Laplace transformation method introduced by Sheen, Sloan, and Thomée (IMA J. Numer. Anal., 2003) to solve the Black-Scholes equation. The algorithm is of arbitrary high convergence rate and naturally parallelizable. It is shown that the method is very efficient for calculating vari…