118 citations · 169 across the 13 of their papers we have counts for
14 papers
Sequential Monte Carlo Sampling of Feasible Regions Represented by R-Functions
Sinan Yıldırım, Sergei Kucherenko
Feasible-region sampling and volume estimation become increasingly inefficient when constraints define only a small fraction of a convenient bounding domain. We combine R-functions…
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…
The importance of being scrambled: supercharged Quasi Monte Carlo
J. Hok, S. Kucherenko
In many financial applications Quasi Monte Carlo (QMC) based on Sobol low-discrepancy sequences (LDS) outperforms Monte Carlo showing faster and more stable convergence. However, u…
Quasi-Monte Carlo methods for calculating derivatives sensitivities on the GPU
Paul Bilokon, Sergei Kucherenko, Casey Williams
The calculation of option Greeks is vital for risk management. Traditional pathwise and finite-difference methods work poorly for higher-order Greeks and options with discontinuous…
Pricing and Risk Analysis in Hyperbolic Local Volatility Model with Quasi Monte Carlo
Julien Hok, Sergei Kucherenko
Local volatility models usually capture the surface of implied volatilities more accurately than other approaches, such as stochastic volatility models. We present the results of a…
Quantile based global sensitivity measures
Sergei Kucherenko, Shufang Song
New global sensitivity measures based on quantiles of the output are introduced. Such measures can be used for global sensitivity analysis of problems in which quantiles are explic…
Different numerical estimators for main effect global sensitivity indices
Sergei Kucherenko, Shufang Song
The variance-based method of global sensitivity indices based on Sobol sensitivity indices became very popular among practitioners due to its easiness of interpretation. For comple…
Derivative-based global sensitivity measures and their link with Sobol sensitivity indices
S. Kucherenko, S. Song
The variance-based method of Sobol sensitivity indices is very popular among practitioners due to its efficiency and easiness of interpretation. However, for high-dimensional model…
Sobol' indices for problems defined in non-rectangular domains
S. Kucherenko, O. V. Klymenko, N. Shah
A novel theoretical and numerical framework for the estimation of Sobol sensitivity indices for models in which inputs are confined to a non-rectangular domain (e.g., in presence o…
Exploring multi-dimensional spaces: a Comparison of Latin Hypercube and Quasi Monte Carlo Sampling Techniques
Sergei Kucherenko, Daniel Albrecht, Andrea Saltelli
Three sampling methods are compared for efficiency on a number of test problems of various complexity for which analytic quadratures are available. The methods compared are Monte C…
Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis
Marco Bianchetti, Sergei Kucherenko, Stefano Scoleri
We review and apply Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques to pricing and risk management (greeks) of representative financial instruments of incr…