1 code implementation • 21 Nov 2023 • Xiaofei Wu, Zhimin Zhang, Zhenyu Cui
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.
no code implementations • 29 Jul 2022 • Zhenyu Cui, Anne MacKay, Marie-Claude Vachon
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.
no code implementations • 25 Feb 2022 • Jingtang Ma, Zhengyang Lu, Zhenyu Cui
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.
no code implementations • 15 Oct 2021 • Jingtang Ma, Wensheng Yang, Zhenyu Cui
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.
no code implementations • 17 Sep 2021 • Svetlana Boyarchenko, Sergei Levendorskiĭ, J. Lars Kirkby, Zhenyu Cui
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.