4 papers
Geometry-Aware R-Structured Kolmogorov-Arnold Networks
Sergei Kucherenko, Nilay Shah
We propose a novel hybrid neural architecture, the Geometry-aware R-Structured Kolmogorov-Arnold Network (GRS-KAN), which integrates V.L.Rvachev's R-functions into the Kolmogorov-A…
Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks
Stefano Scoleri, Marco Bianchetti, Sergei Kucherenko
Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques are applied for pricing and hedging representative financial instruments of increasing complexity. We compa…
Active subspace methods and derivative-based Shapley effects for functions with non-independent variables
Matieyendou Lamboni, Sergei Kucherenko
Lower-dimensional subspaces that impact estimates of uncertainty are often described by Linear combinations of input variables, leading to active variables. This paper extends the…
Effective dimensionality reduction for Greeks computation using Randomized QMC
Luca Albieri, Sergei Kucherenko, Stefano Scoleri +1
Global sensitivity analysis is employed to evaluate the effective dimension reduction achieved through Chebyshev interpolation and the conditional pathwise method for Greek estimat…