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Option pricing with orthogonal polynomial expansions

Related publications (31)

Skew-Brownian motion and pricing European exchange options br

This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...

ELSEVIER SCIENCE INC2022

Dynamic Personalized Ranking

Jérémie Rappaz

Personalized ranking methods are at the core of many systems that learn to produce recommendations from user feedbacks. Their primary objective is to identify relevant items from very large vocabularies and to assist users in discovering new content. These ...

EPFL2022

Multi-physics modeling of VVERs with high fidelity high-resolution codes

Marianna Papadionysiou

The calculations performed for the design and operation of a Nuclear Power Plant (NPP) are a key factor for their safety analyses. The standard for the computational analysis of NPPs is the so called conventional approach, which relies on coarse mesh diffu ...

EPFL2022

Oxidation of organic micropollutant surrogate functional groups with peracetic acid activated by aqueous Co(II), Cu(II), or Ag(I) and geopolymer-supported Co(II)

Urs von Gunten

Peracetic acid (PAA) in combination with transition metals has recently gained increasing attention for organic micropollutant abatement. In this study, aqueous Co(II), Cu(II), and Ag(I) were compared for their capacity to activate PAA. Co(II) outperformed ...

PERGAMON-ELSEVIER SCIENCE LTD2022

pyFFS: A Python Library for Fast Fourier Series Computation and Interpolation with GPU Acceleration

Martin Vetterli, Paul Hurley, Eric Bezzam, Sepand Kashani, Matthieu Martin Jean-André Simeoni

Fourier transforms are an often necessary component in many computational tasks, and can be computed efficiently through the fast Fourier transform (FFT) algorithm. However, many applications involve an underlying continuous signal, and a more natural choi ...

SIAM2022

midiVERTO: A Web Application to Visualize Tonality in Real Time

Daniel Harasim, Fabian Claude Moss

This paper presents a web application for visualizing the tonality of a piece of music-the organization of its chords and scales-at a high level of abstraction and with coordinated playback. The application applies the discrete Fourier transform to the pit ...

SPRINGER INTERNATIONAL PUBLISHING AG2022

A simulation tool for building and lighting design considering ipRGC-influenced light responses

Marilyne Andersen, Clotilde Marie A Pierson, Myrta Gkaintatzi-Masouti

The ipRGCs in the human eye mediate several effects on people, such as alertness and circadian rhythms. The spectral, temporal and spatial characteristics of light influence the magnitude of these effects. To facilitate the anticipation of the ipRGC-influe ...

2022

Finite free convolutions of polynomials

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We study three convolutions of polynomials in the context of free probability theory. We prove that these convolutions can be written as the expected characteristic polynomials of sums and products of unitarily invariant random matrices. The symmetric addi ...

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Dissecting the role of biliary epithelial cells during non-alcoholic fatty liver disease progression

Ece Yildiz

The liver is the largest solid organ and the only one capable of using regenerative mechanisms to recover its mass fully. Although liver regeneration from acute injuries has been effective and extensively studied, chronic liver damage has adverse effects o ...

EPFL2022

Fourier uniqueness and interpolation in Euclidean space

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We prove that every Schwartz function in Euclidean space can be completely recovered given only its restrictions and the restrictions of its Fourier transform to all origin-centered spheres whose radii are square roots of integers. In particular, the only ...

EPFL2022