2 papers
q-fin.MF2025
Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing
Jinniao Qiu, Antony Ware, Yang Yang
This paper is devoted to the price-storage dynamics in natural gas markets. A novel stochastic path-dependent volatility model is introduced with path-dependence in both price vola…
math.AP2025
Feynman-Kac Formula for Time-Dependent Nonlinear Schrödinger Equations with Applications in Numerical Approximations
Hang Cheung, Jinniao Qiu, Yang Yang
In this paper, we present a novel Feynman-Kac formula and investigate learning-based methods for approximating general nonlinear time-dependent Schrödinger equations which may be…