3 citations · 5 across the 3 of their papers we have counts for
3 papers
Quantum Systems for Monte Carlo Methods and Applications to Fractional Stochastic Processes
Sebastian F. Tudor, Rupak Chatterjee, Lac Nguyen +1
Random numbers are a fundamental and useful resource in science and engineering with important applications in simulation, machine learning and cyber-security. Quantum systems can…
Target volatility option pricing in lognormal fractional SABR model
Elisa Alos, Rupak Chatterjee, Sebastian Tudor +1
We examine in this article the pricing of target volatility options in the lognormal fractional SABR model. A decomposition formula by Ito's calculus yields a theoretical replicati…
H-infinity control problem for general discrete-time systems
Sebastian F. Tudor, Cristian Oara, Serban Sabau
The paper considers the suboptimal H-infinity control problem for a general discrete-time system (whose transfer function matrix is allowed to be improper or polynomial). The param…