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Anatoliy Malyarenko

Publications and source records attributed to Anatoliy Malyarenko.

At least 19 recordsLinked to original sources
arXiv2025

Almost-Exact Simulation Scheme for Heston-type Models: Bermudan and American Option Pricing

Recently, an Almost-Exact Simulation (AES) scheme was introduced for the Heston stochastic volatility model and tested for European option pricing. This paper extends this scheme for pricing Bermudan and American options under both Heston and double Heston models. The AES improves Monte Carlo simulation efficiency by using the non-central chi-square distribution for the variance process. We derive the AES scheme for the double Heston model and compare the performance of the AES schemes under both models with the Euler scheme. Our numerical experiments validate the effectiveness of the AES scheme in providing accurate option prices with reduced computational time, highlighting its robustness for both models. In particular, the AES achieves higher accuracy and computational efficiency when the number of simulation steps matches the exercise dates for Bermudan options.

q-fin.PR↗
arXiv2024

Entropies of the Poisson distribution as functions of intensity: "normal" and "anomalous" behavior

The paper extends the analysis of the entropies of the Poisson distribution with parameter $λ$. It demonstrates that the Tsallis and Sharma-Mittal entropies exhibit monotonic behavior with respect to $λ$, whereas two generalized forms of the Rényi entropy may exhibit "anomalous" (non-monotonic) behavior. Additionally, we examine the asymptotic behavior of the entropies as $λ\to \infty$ and provide both lower and upper bounds for them.

math.PR↗
arXiv2024

Properties of Shannon and Rényi entropies of the Poisson distribution as the functions of intensity parameter

We consider two types of entropy, namely, Shannon and Rényi entropies of the Poisson distribution, and establish their properties as the functions of intensity parameter. More precisely, we prove that both entropies increase with intensity. While for Shannon entropy the proof is comparatively simple, for Rényi entropy, which depends on additional parameter $α>0$, we can characterize it as nontrivial. The proof is based on application of Karamata's inequality to the terms of Poisson distribution.

cs.IT↗
arXiv2023

Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index

This paper is devoted to the study of the properties of entropy as a function of the Hurst index, which corresponds to the fractional Gaussian noise. Since the entropy of the Gaussian vector depends on the determinant of the covariance matrix, and the behavior of this determinant as a function of the Hurst index is rather difficult to study analytically at high dimensions, we also consider simple alternative entropy functionals, whose behavior, on the one hand, mimics the behavior of entropy and, on the other hand, is not difficult to study. Asymptotic behavior of the normalized entropy (so called entropy rate) is also studied for the entropy and for the alternative functionals.

math.PR↗
arXiv2022

Constructing Trinomial Models Based on Cubature Method on Wiener Space: Applications to Pricing Financial Derivatives

This contribution deals with an extension to our developed novel cubature methods of degrees 5 on Wiener space. In our previous studies, we have shown that the cubature formula is exact for all multiple Stratonovich integrals up to dimension equal to the degree. In fact, cubature method reduces solving a stochastic differential equation to solving a finite set of ordinary differential equations. Now, we apply the above methods to construct trinomial models and to price different financial derivatives. We will compare our numerical solutions with the Black's and Black--Scholes models' analytical solutions. The constructed model has practical usage in pricing American-style derivatives and can be extended to more sophisticated stochastic market models.

q-fin.MF↗
arXiv2021

Tensor- and spinor-valued random fields with applications to continuum physics and cosmology

In this paper, we review the history, current state-of-art, and physical applications of the spectral theory of two classes of random functions. One class consists of homogeneous and isotropic random fields defined on a Euclidean space and taking values in a real finite-dimensional linear space. In applications to continuum physics, such a field describes physical properties of a homogeneous and isotropic continuous medium in the situation, when a microstructure is attached to all medium points. The range of the field is the fixed point set of a symmetry class, where two compact Lie groups act by orthogonal representations. The material symmetry group of a homogeneous medium is the same at each point and acts trivially, while the group of physical symmetries may act nontrivially. In an isotropic random medium, the rank 1 (resp. rank 2) correlation tensors of the field transform under the action of the group of physical symmetries according to the above representation (resp. its tensor square), making the field isotropic. Another class consists of isotropic random cross-sections of homogeneous vector bundles over a coset space of a compact Lie group. In applications to cosmology, the coset space models the sky sphere, while the random cross-section models a cosmic background. The Cosmological Principle ensures that the cross-section is isotropic. For convenience of the reader, a necessary material from multilinear algebra, representation theory, and differential geometry is reviewed in Appendix.

math.PR↗
arXiv2021

A deep look into the Dagum family of isotropic covariance functions

The Dagum family of isotropic covariance functions has two parameters that allow for decoupling of the fractal dimension and Hurst effect for Gaussian random fields that are stationary and isotropic over Euclidean spaces. Sufficient conditions that allow for positive definiteness in Rd of the Dagum family have been proposed on the basis of the fact that the Dagum family allows for complete monotonicity under some parameter restrictions. The spectral properties of the Dagum family have been inspected to a very limited extent only, and this paper gives insight into this direction. Specifically, we study finite and asymptotic properties of the isotropic spectral density (intended as the Hankel transform) of the Dagum model. Also, we establish some closed forms expressions for the Dagum spectral density in terms of the Fox{Wright functions. Finally, we provide asymptotic properties for such a class of spectral densities.

math.ST↗
arXiv2018

Time-Varying Isotropic Vector Random Fields on Compact Two-Point Homogeneous Spaces

A general form of the covariance matrix function is derived in this paper for a vector random field that is isotropic and mean square continuous on a compact connected two-point homogeneous space and stationary on a temporal domain. A series representation is presented for such a vector random field, which involve Jacobi polynomials and the distance defined on the compact two-point homogeneous space.

math.PR↗
arXiv2017

Spectral expansions of random sections of homogeneous vector bundles

Tiny fluctuations of the Cosmic Microwave Background as well as various observable quantities obtained by spin raising and spin lowering of the effective gravitational lensing potential of distant galaxies and galaxy clusters, are described mathematically as isotropic random sections of homogeneous spin and tensor bundles. We consider the three existing approaches to rigourous constructing of the above objects, emphasising an approach based on the theory of induced group representations. Both orthogonal and unitary representations are treated in a unified manner. Several examples from astrophysics are included.

math.PR↗
arXiv2017

Matérn Class Tensor-Valued Random Fields and Beyond

We construct classes of homogeneous random fields on a three-dimensional Euclidean space that take values in linear spaces of tensors of a fixed rank and are isotropic with respect to a fixed orthogonal representation of the group of $3\times 3$ orthogonal matrices. The constructed classes depend on finitely many isotropic spectral densities. We say that such a field belong to either the Matérn or the dual Matérn class if all of the above densities are Matérn or dual Matérn. Several examples are considered.

math.PR↗
arXiv2016

Saturn rings: fractal structure and random field model

This study is motivated by the observation, based on photographs from the Cassini mission, that Saturn's rings have a fractal structure in radial direction. Accordingly, two questions are considered: (1) What Newtonian mechanics argument in support of that fractal structure is possible? (2) What kinematics model of such fractal rings can be formulated? Both challenges are based on taking Saturn's rings' spatial structure as being statistically stationarity in time and statistically isotropic in space, but statistically non-stationary in space. An answer to the first challenge is given through the calculus in non-integer dimensional spaces and basic mechanics arguments (Tarasov (2006) \textit{Celest. Mech. Dyn. Astron.} \textbf{94}). The second issue is approached in Section~3 by taking the random field of angular velocity vector of a rotating particle of the ring as a random section of a special vector bundle. Using the theory of group representations, we prove that such a field is completely determined by a sequence of continuous positive-definite matrix-valued functions defined on the Cartesian square $F^{2}$ of the radial cross-section $F$ of the rings, where $F$ is a fat fractal.

physics.class-ph↗
arXiv2016

A random field formulation of Hooke's law in all elasticity classes

For each of the $8$ isotropy classes of elastic materials, we consider a homogeneous random field taking values in the fixed point set $\mathsf{V}$ of the corresponding class, that is isotropic with respect to the natural orthogonal representation of a group lying between the isotropy group of the class and its normaliser. We find the general form of the correlation tensors of orders $1$ and $2$ of such a field, and the field's spectral expansion.

math-ph↗
arXiv2014

Spectral Expansions of Homogeneous and Isotropic Tensor-Valued Random Fields

We establish spectral expansions of homogeneous and isotropic random fields taking values in the $3$-dimensional Euclidean space $E^3$ and in the space $\mathsf{S}^2(E^3)$ of symmetric rank $2$ tensors over $E^3$. The former is a model of turbulent fluid velocity, while the latter is a model for the random stress tensor or the random conductivity tensor. We found a link between the theory of random fields and the theory of finite-dimensional convex compacta.

math.PR↗
arXiv2013

Spectral expansions of cosmological fields

We give a review of the theory of random fields defined on the observable part of the Universe that satisfy the cosmological principle, i.e., invariant with respect to the 6-dimensional group $\mathcal{G}$ of the isometries of the time slice of the Friedmann--Lema\^ıtre--Robertson--Walker standard chart. Our new results include proof of spectral expansions of scalar and spin weighted $\mathcal{G}$-invariant cosmological fields in open, flat, and closed cosmological models.

math.PR↗
arXiv2009

Invariant random fields in vector bundles and application to cosmology

We develop the theory of invariant random fields in vector bundles. The spectral decomposition of an invariant random field in a homogeneous vector bundle generated by an induced representation of a compact connected Lie group $G$ is obtained. We discuss an application to the theory of cosmic microwave background, where $G=SO(3)$. A theorem about equivalence of two different groups of assumptions in cosmological theories is proved.

math.PR↗
arXiv2007

Adapted Downhill Simplex Method for Pricing Convertible Bonds

The paper is devoted to modeling optimal exercise strategies of the behavior of investors and issuers working with convertible bonds. This implies solution of the problems of stock price modeling, payoff computation and min-max optimization. Stock prices (underlying asset) were modeled under the assumption of the geometric Brownian motion of their values. The Monte Carlo method was used for calculating the real payoff which is the objective function. The min-max optimization problem was solved using the derivative-free Downhill Simplex method. The performed numerical experiments allowed to formulate recommendations for the choice of appropriate size of the initial simplex in the Downhill Simplex Method, the number of generated trajectories of underlying asset, the size of the problem and initial trajectories of the behavior of investors and issuers.

q-fin.PR↗