Publication

A New Approach For American Option Pricing: The Dynamic Chebyshev Method

Publications associées (29)

How Integrated are Credit and Equity Markets? Evidence from Index Options

Pierre Collin Dufresne, Jan Benjamin Junge

We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

Wiley2024

Fly-Swat or Cannon? Cost-Effective Language Model Choice via Meta-Modeling

Robert West, Maxime Jean Julien Peyrard, Marija Sakota

Generative language models (LMs) have become omnipresent across data science. For a wide variety of tasks, inputs can be phrased as natural language prompts for an LM, from whose output the solution can then be extracted. LM performance has consistently be ...

Assoc Computing Machinery2024

High-order geometric integrators for the variational Gaussian wavepacket dynamics and application to vibronic spectra at finite temperature

Roya Moghaddasi Fereidani

Molecular quantum dynamics simulations are essential for understanding many fundamental phenomena in physics and chemistry. They often require solving the time-dependent Schrödinger equation for molecular nuclei, which is challenging even for medium-sized ...

EPFL2024

CO2 Capture and Management Strategies for Decarbonizing Secondary Aluminium Production

François Maréchal, Daniel Alexander Florez Orrego, Meire Ellen Gorete Ribeiro Domingos, Réginald Germanier

The production of aluminium largely depends on the use of fossil fuels, resulting in the emission of significant amounts of greenhouse gases. As the aluminium industry is working towards decreasing its environmental burdens, the elimination of direct emiss ...

2024

Impact of beam-coupling impedance on the Schottky spectrum of bunched beam

Tatiana Pieloni, Nicolas Frank Mounet, Christophe Emmanuel R. Lannoy

The Schottky monitors of the Large Hadron Collider (LHC) can be used for non-invasive beam diagnostics to estimate various bunch characteristics, such as tune, chromaticity, bunch profile or synchrotron frequency distribution. However, collective effects, ...

Iop Publishing Ltd2024

From low-rank retractions to dynamical low-rank approximation and back

Daniel Kressner, Axel Elie Joseph Séguin, Gianluca Ceruti

In algorithms for solving optimization problems constrained to a smooth manifold, retractions are a well-established tool to ensure that the iterates stay on the manifold. More recently, it has been demonstrated that retractions are a useful concept for ot ...

Springer2024

Residual-based attention in physics-informed neural networks

Nikolaos Stergiopoulos, Sokratis Anagnostopoulos

Driven by the need for more efficient and seamless integration of physical models and data, physics -informed neural networks (PINNs) have seen a surge of interest in recent years. However, ensuring the reliability of their convergence and accuracy remains ...

Elsevier Science Sa2024

Pseudo-Three-Dimensional Analytical Model of Linear Induction Motors for High-Speed Applications

Mario Paolone, André Hodder, Lucien André Félicien Pierrejean, Simone Rametti

Literature on linear induction motors (LIMs) has proposed several approaches to model the behavior of such devices for different applications. In terms of accuracy and fidelity, field analysis-based models are the most relevant. Closed-form or numerical so ...

2024

Unified Harmonic Power-Flow and Stability Analysis of Power Grids with Converter-Interfaced Distributed Energy Resources

Johanna Kristin Maria Becker

Modern power distribution systems are experiencing a large-scale integration of Converter-Interfaced Distributed Energy Resources (CIDERs). Their presence complicates the analysis and mitigation of harmonics, whose creation and propagation may be amplified ...

EPFL2024

Machine Learning for Modeling Stock Returns

Teng Andrea Xu

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

EPFL2024