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Found 5 papers, 1 papers with code
A unified consensus-based parallel ADMM algorithm for high-dimensional regression with combined regularizations
The parallel alternating direction method of multipliers (ADMM) algorithm is widely recognized for its effectiveness in handling large-scale datasets stored in a distributed manner, making it a popular choice for solving statistical learning models.
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
We consider the pricing of variable annuities (VAs) with general fee structures under popular stochastic volatility models such as Heston, Hull-White, Scott, $\alpha$-Hypergeometric, $3/2$, and $4/2$ models.
Delta family approach for the stochastic control problems of utility maximization
We obtain an explicit series representation of the value function, whose coefficients are expressed through integration of the value function at a later time point against a chosen basis function.
Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models
Rough volatility models have recently been empirically shown to provide a good fit to historical volatility time series and implied volatility smiles of SPX options.
SINH-acceleration for B-spline projection with Option Pricing Applications
We clarify the relations among different Fourier-based approaches to option pricing, and improve the B-spline probability density projection method using the sinh-acceleration technique.
