5 papers
Interval Fisher's Discriminant Analysis and Visualisation
Diogo Pinheiro, M. Rosário Oliveira, Igor Kravchenko +1
In Data Science, entities are typically represented by single valued measurements. Symbolic Data Analysis extends this framework to more complex structures, such as intervals and h…
On the trace ratio method and Fisher's discriminant analysis for robust multigroup classification
Giulia Ferrandi, Igor V. Kravchenko, Michiel E. Hochstenbach +1
We compare two different linear dimensionality reduction strategies for the multigroup classification problem: the trace ratio method and Fisher's discriminant analysis. Recently,…
Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing
Igor V. Kravchenko, Vladislav V. Kravchenko, Sergii M. Torba +1
This paper develops a method for solving free boundary problems for time-homogeneous diffusions. We combine the complete exponential system of solutions for the heat equation, tran…
Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation
Igor V. Kravchenko, Vladislav V. Kravchenko, Sergii M. Torba +1
This paper develops a novel analytically tractable Neumann series of Bessel functions representation for pricing (and hedging) European-style double barrier knock-out options, whic…
Solution of parabolic free boundary problems using transmuted heat polynomials
Igor V. Kravchenko, Vladislav V. Kravchenko, Sergii M. Torba
A numerical method for free boundary problems for the equation \[ u_{xx}-q(x)u=u_t \] is proposed. The method is based on recent results from transmutation operators theory allowin…