25 citations
3 papers
cs.SE2026★ 1 cited
Learning from Change: Predictive Models for Incident Prevention in a Regulated IT Environment
Eileen Kapel, Jan Lennartz, Luis Cruz +2
Effective IT change management is important for businesses that depend on software and services, particularly in highly regulated sectors such as finance, where operational reliabi…
cond-mat.stat-mech2021★ 12 cited
Collective Monte Carlo updates through tensor network renormalization
Miguel Frías-Pérez, Michael Mariën, David Pérez García +2
We introduce a Metropolis-Hastings Markov chain for Boltzmann distributions of classical spin systems. It relies on approximate tensor network contractions to propose correlated co…
q-fin.PR2008★ 25 cited
A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models
D. Lemmens, M. Wouters, J. Tempere +1
We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain v…