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07/24/2023
An Adaptive Algorithm for Rough Differential Equations
We present an adaptive algorithm for effectively solving rough different...
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03/15/2022
Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models
Efficient pricing of multi-asset options is a challenging problem in qua...
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01/19/2022
Stability of Deep Neural Networks via discrete rough paths
Using rough path techniques, we provide a priori estimates for the outpu...
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11/02/2021
Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing
When approximating the expectation of a functional of a stochastic proce...
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03/02/2021
Pricing high-dimensional Bermudan options with hierarchical tensor formats
An efficient compression technique based on hierarchical tensors for pop...
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11/24/2020
Reinforced optimal control
Least squares Monte Carlo methods are a popular numerical approximation ...
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09/02/2020
Weak error rates for option pricing under the rough Bergomi model
In quantitative finance, modeling the volatility structure of underlying...
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03/15/2020
Low-dimensional approximations of high-dimensional asset price models
We consider high-dimensional asset price models that are reduced in thei...
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02/03/2020
Randomized optimal stopping algorithms and their convergence analysis
In this paper we study randomized optimal stopping problems and consider...
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10/08/2018