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02/27/2023
Double-loop quasi-Monte Carlo estimator for nested integration
Nested integration arises when a nonlinear function is applied to an int...
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02/21/2023
Physics-informed Spectral Learning: the Discrete Helmholtz–Hodge Decomposition
In this work, we further develop the Physics-informed Spectral Learning ...
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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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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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11/12/2017
