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Option pricing with orthogonal polynomial expansions

Publications associées (31)

Filter-Informed Spectral Graph Wavelet Networks for Multiscale Feature Extraction and Intelligent Fault Diagnosis

Intelligent fault diagnosis has been increasingly improved with the evolution of deep learning (DL) approaches. Recently, the emerging graph neural networks (GNNs) have also been introduced in the field of fault diagnosis with the goal to make better use o ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2023

Extension, validation, and optimization of Serpent/DYN3D/ATHLET code system for SFR applications

Vincenzo Anthony Di Nora

The sequence of codes Serpent/DYN3D has been developed by the Helmholtz-Zentrum Dresden-Rossendorf and successfully applied to core static and transient analyses of sodium-cooled fast reactors (SFRs). The successful application of the sequence to SFRs was ...

EPFL2023

The Claude Debussy Solo Piano Corpus

Martin Alois Rohrmeier, Johannes Hentschel, Gabriele Cecchetti, Sabrina Laneve, Ludovica Schaerf

This dataset originates from the DCML corpus initiative and contains musicological research data. For more information, please refer to its documentation page https://dcmlab.github.io/debussy_piano Please cite this dataset as Laneve, S., Schaerf ...

Zenodo2023

The diachronic development of Debussy’s musical style: a corpus study with Discrete Fourier Transform

Martin Alois Rohrmeier, Johannes Hentschel, Gabriele Cecchetti, Sabrina Laneve, Ludovica Schaerf

Claude Debussy’s personal style is typically characterised as a departure from earlier diatonic tonality, including a greater variety of pitch-class materials organised in fragmented yet coherent compositions. Exploiting the music-theoretical interpretabil ...

2023

An optimal preconditioned FFT-accelerated finite element solver for homogenization

Till Junge, Ali Falsafi, Martin Ladecký

We generalize and provide a linear algebra-based perspective on a finite element (FE) ho-mogenization scheme, pioneered by Schneider et al. (2017)[1] and Leuschner and Fritzen (2018)[2]. The efficiency of the scheme is based on a preconditioned, well-scale ...

ELSEVIER SCIENCE INC2023

Exploring the effectiveness of using internal CNC system signals for chatter detection in milling process

Dimitrios Kyritsis, Xiaochen Zheng, Roberto Pérez

Chatter is a harmful self-excited vibration that commonly occurs during milling processes. Data -driven chatter detection and prediction is critical to achieve high surface quality and process efficiency. Most existing chatter detection approaches are base ...

ACADEMIC PRESS LTD- ELSEVIER SCIENCE LTD2023

Nonlinear interactions of ion acoustic waves explored using fast imaging decompositions

Fast camera imaging is used to study ion acoustic waves propagating azimuthally in a magnetized plasma column. The high-speed image sequences are analyzed using proper orthogonal decomposition and 2D Fourier transform, allowing to evaluate the assets and d ...

2023

Computation of the attenuation function of the lightning return-stroke current from electromagnetic fields measured in a short-duration time-window, Part I: Theoretical investigation

Farhad Rachidi-Haeri, Marcos Rubinstein

In a recent paper, a procedure to reconstruct the attenuation function of a return-stroke current from the simultaneous measurements of the channel-base current and the radiated electromagnetic fields was presented. One of the assumptions of the whole fram ...

Elsevier2023

Illiquidity and Higher Cumulants

Semyon Malamud, Alberto Mokak Teguia

We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...

OXFORD UNIV PRESS INC2022

Covariance Estimation for Random Surfaces beyond Separability

Tomas Masák

This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, and considerations of statistical and com ...

EPFL2022