BIOENGINEER

Interpolative dynamical low-rank method extended to quantized tensor trains

Researchers have extended the interpolative dynamical low-rank approximation to quantized tensor trains, enabling higher ...
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Stratified approximations for the pricing of options on average

We propose to use stratified approximations based on the gamma and lognormal distributions for the pricing of options on average, such as Asian options and bond prices in the Dothan model. We show ...
TES

Approximation Numerical Methods Challenging Real-Life Context

A challenging approximation PowerPoint for Numerical Methods A-Level based on real-life gravity variations around the Earth. It is worth discussing the causes of these variations for a more meaningful ...
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Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression

In their 2001 paper, Longstaff and Schwartz suggested a method for American option pricing using simulation and regression, and since then this method has rapidly gained importance. However, the idea ...