A moment matching method for option pricing under stochastic interest rates
Sign Up to like & getrecommendations! Published in 2021 at "Applied Stochastic Models in Business and Industry"
DOI: 10.1002/asmb.2624
Abstract: In this paper we present a simple, but new, approximation methodology for pricing a call option in a Black \& Scholes market characterized by stochastic interest rates. The method, based on a straightforward Gaussian moment… read more here.
Keywords: pricing; moment matching; interest; option ... See more keywords
Model Order Reduction via Moment-Matching: A State of the Art Review
Sign Up to like & getrecommendations! Published in 2021 at "Archives of Computational Methods in Engineering"
DOI: 10.1007/s11831-021-09618-2
Abstract: The past few decades have seen a significant spurt in developing lower-order, parsimonious models of large-scale dynamical systems used for design and control. These surrogate models effectively capture the most interesting dynamic features of the… read more here.
Keywords: model order; moment matching; order; order reduction ... See more keywords
Generative Adversarial Networks with Joint Distribution Moment Matching
Sign Up to like & getrecommendations! Published in 2019 at "Journal of the Operations Research Society of China"
DOI: 10.1007/s40305-019-00248-x
Abstract: AbstractGenerative adversarial networks (GANs) have shown impressive power in the field of machine learning. Traditional GANs have focused on unsupervised learning tasks. In recent years, conditional GANs that can generate data with labels have been… read more here.
Keywords: adversarial networks; joint distribution; moment matching; distribution moment ... See more keywords
Moment matching priors for non-regular models
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DOI: 10.1016/j.jspi.2019.03.009
Abstract: Abstract This paper presents moment matching priors for non-regular models whose supports depend on an unknown parameter. Both one-parameter and multi-parameter cases are considered. The resulting priors are given by matching the posterior mean and… read more here.
Keywords: priors non; moment matching; non regular; regular models ... See more keywords
A connection between time domain model order reduction and moment matching for LTI systems
Sign Up to like & getrecommendations! Published in 2018 at "Mathematical and Computer Modelling of Dynamical Systems"
DOI: 10.1080/13873954.2018.1488742
Abstract: ABSTRACT We investigate the time domain model order reduction (MOR) framework using general orthogonal polynomials by Jiang and Chen [1] and extend their idea by exploiting the structure of the corresponding linear system of equations.… read more here.
Keywords: domain model; time; time domain; moment matching ... See more keywords