JSTOR Daily

Polynomial-Time Approximation Schemes for Maximizing Gross Substitutes Utility Under Budget Constraints

We consider the maximization of a gross substitutes utility function under budget constraints. This problem naturally arises in applications such as exchange economies in mathematical economics and ...
JSTOR Daily

A full scale approximation of covariance functions for large spatial data sets

This is a preview. Log in through your library . Abstract Gaussian process models have been widely used in spatial statistics but face tremendous computational challenges for very large data sets. The ...
Risk

Pricing high-dimensional Bermudan options using deep learning and higher-order weak approximation

This paper proposes a new deep-learning-based algorithm for high-dimensional Bermudan option pricing. To the best of our knowledge, this is the first study of the arbitrary-order discretization scheme ...
Risk

Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models

Two essential quantities for the analysis of approximation schemes of evolution equations are stability and convergence. We derive stability and convergence of fully discrete approximation schemes of ...
Nature

Stochastic Differential Equations and Asymptotic Analysis in Finance

Stochastic differential equations (SDEs) are at the heart of modern financial modelling, providing a framework that accommodates the inherent randomness observed in financial markets. These equations ...