AIDA: Analytic Isolation and Distance-based Anomaly Detection Algorithm

1 code implementation • 5 Dec 2022 • Luis Antonio Souto Arias, Cornelis W. Oosterlee, Pasquale Cirillo

We combine the metrics of distance and isolation to develop the Analytic Isolation and Distance-based Anomaly (AIDA) detection algorithm.

Anomaly Detection

A new self-exciting jump-diffusion process for option pricing

1 code implementation • 26 May 2022 • Luis A. Souto Arias, Pasquale Cirillo, Cornelis W. Oosterlee

Furthermore, we show that by using partial integrals of the characteristic function, which are also explicitly known for the HQH process, we can reduce the dimensionality of the COS method, and so its numerical complexity.