4 papers
Properties of holographic superconductors from Machine Learning
Aliou Togo, Yang Yu, Kaniba Mady Keita +2
We investigate holographic superconductors using modern optimisation techniques inspired by machine learning. The critical temperature is obtained by minimising the variational fun…
An irreversible investment problem with a learning-by-doing feature
Erik Ekström, Yerkin Kitapbayev, Alessandro Milazzo +1
We study a model of irreversible investment for a decision-maker who has the possibility to gradually invest in a project with unknown value. In this setting, we introduce and expl…
Floating exercise boundaries for American options in time-inhomogeneous models
Andrey Itkin, Yerkin Kitapbayev
This paper examines a semi-analytical approach for pricing American options in time-inhomogeneous models characterized by negative interest rates (for equity/FX) or negative conven…
Semi-analytical pricing of options written on SOFR futures
Andrey Itkin, Yerkin Kitapbayev
In this paper, we propose a semi-analytical approach to pricing options on SOFR futures where the underlying SOFR follows a time-dependent CEV model. By definition, these options c…