118 citations · 169 across the 13 of their papers we have counts for
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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…