Abstracts Archive

Pricing options on multiple underlying assets is a central problem in quantitative finance, with broad relevance for risk management, structured products, and trading of multi-asset exotics. In high dimensions, classical valuation workflows (spanning construction of risk-neutral distributions, consi...

The concrete problem addressed in this project is the high computational cost of pricing financial derivatives by solving partial differential equations (PDEs). Many contracts used in real markets-including European options, barrier options, and interest-rate derivatives-are valued by solving pricin...

In our work, we solved financial network problems. A financial network is defined as a network composed of asset holdings and cross-holdings among institutions, such as countries and companies. The financial network problem aims to determine the equilibrium state of such a system under nonlinear int...