3 papers
cs.NE2023
Leveraging dendritic properties to advance machine learning and neuro-inspired computing
Michalis Pagkalos, Roman Makarov, Panayiota Poirazi
The brain is a remarkably capable and efficient system. It can process and store huge amounts of noisy and unstructured information using minimal energy. In contrast, current artif…
q-fin.PR2013
Pricing Step Options under the CEV and other Solvable Diffusion Models
Giuseppe Campolieti, Roman N. Makarov, Karl Wouterloot
We consider a special family of occupation-time derivatives, namely proportional step options introduced by Linetsky in [Math. Finance, 9, 55--96 (1999)]. We develop new closed-for…
q-fin.CP2009
Exact Simulation of Bessel Diffusions
Roman N. Makarov, Devin Glew
We consider the exact path sampling of the squared Bessel process and some other continuous-time Markov processes, such as the CIR model, constant elasticity of variance diffusion…