In this paper, we introduce alternating line multigrid smoothing scheme, as both pre- and post-smoother for solving discretized scalar two-dimensional convection-diffusion equations. For convection dominated problems (high Reynolds-number) we obtain a fast convergence rate. Our results are based...

Financial trading has been widely analyzed for decades with market participants and academics always looking for advanced methods to improve trading performance. Deep reinforcement learning (DRL), a recently reinvigorated method with significant success in multiple domains, still has to show its...

Principal Component Analysis (PCA) is an important methodology to reduce and extract meaningful signals from large data-sets. Financial markets introduce time and non stationarity aspects, where applying standard PCA methods may not give stable results. We propose robust rolling PCA (R2-PCA)...

In an affine term structure framework we propose a discrete time stochastic volatility model. We derive the characteristic function of the log swap rate under swap measure. Having the characteristic function, we employ the Fourier cosine (COS) technique to price swaptions. Using data on tweleve...