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Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...
Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath-Jarrow-Morton framework for forward rates. We derive general c ...
Nonconvex minimax problems appear frequently in emerging machine learning applications, such as generative adversarial networks and adversarial learning. Simple algorithms such as the gradient descent ascent (GDA) are the common practice for solving these ...
This paper introduces a new algorithm for consensus optimization in a multi-agent network, where all agents collaboratively find a minimizer for the sum of their private functions. All decentralized algorithms rely on communications between adjacent nodes. ...
This paper develops an effective distributed strategy for the solution of constrained multiagent stochastic optimization problems with coupled parameters across the agents. In this formulation, each agent is influenced by only a subset of the entries of a ...
Blockchain systems need to solve consensus despite the presence of rational users and failures. The notion of (k, t)-robustness is key to derive impossibility results with k rational players and t faulty players. However, these t faulty players are always ...
In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and EP ...
We consider the problem of finding a saddle point for the convex-concave objective minxmaxyf(x)+⟨Ax,y⟩−g∗(y), where f is a convex function with locally Lipschitz gradient and g is convex and possibly non-smooth. We propose an ...
Driven by the need to solve increasingly complex optimization problems in signal processing and machine learning, there has been increasing interest in understanding the behavior of gradient-descent algorithms in non-convex environments. Most available wor ...
Local bandgap tuning in two-dimensional (2D) materials is of significant importance for electronic and optoelectronic devices but achieving controllable and reproducible strain engineering at the nanoscale remains a challenge. Here, we report on thermomech ...