Olena Burkovska

Olena Burkovska, Bernard Haasdonk, Julien Salomon et al.

In this paper, we present a reduced basis method for pricing European and American options based on the Black-Scholes and Heston model. To tackle each model numerically, we formulate the problem in terms of a time dependent variational equality or inequality. We apply a suitable reduced basis approach for both types of options. The characteristic ingredients used in the method are a combined POD-Greedy and Angle-Greedy procedure for the construction of the primal and dual reduced spaces. Analytically, we prove the reproduction property of the reduced scheme and derive a posteriori error estimators. Numerical examples are provided, illustrating the approximation quality and convergence of our approach for the different option pricing models. Also, we investigate the reliability and effectivity of the error estimators.

Olena Burkovska, Max Gunzburger

We consider linear and obstacle problems driven by a nonlocal integral operator, for which nonlocal interactions are restricted to a ball of finite radius. These type of operators are used to model anomalous diffusion and, for a special choice of the integral kernels, reduce to the fractional Laplace operator on a bounded domain. By means of a nonlocal vector calculus we recast the problems in a weak form, leading to corresponding nonlocal variational equality and inequality problems. We prove optimal regularity results for both problems, including a higher regularity of the solution and the Lagrange multiplier. Based on the regularity results, we analyze the convergence of finite element approximations for a linear problem and illustrate the theoretical findings by numerical results.

Olena Burkovska, Kathrin Glau, Mirco Mahlstedt et al.

American put options are among the most frequently traded single stock options, and their calibration is computationally challenging since no closed-form expression is available. Due to the higher flexibility in comparison to European options, the mathematical model involves additional constraints, and a variational inequality is obtained. We use the Heston stochastic volatility model to describe the price of a single stock option. In order to speed up the calibration process, we apply two model reduction strategies. Firstly, a reduced basis method (RBM) is used to define a suitable low-dimensional basis for the numerical approximation of the parameter-dependent partial differential equation ($μ$PDE) model. By doing so the computational complexity for solving the $μ$PDE is drastically reduced, and applications of standard minimization algorithms for the calibration are significantly faster than working with a high-dimensional finite element basis. Secondly, so-called de-Americanization strategies are applied. Here, the main idea is to reformulate the calibration problem for American options as a problem for European options and to exploit closed-form solutions. Both reduction techniques are systematically compared and tested for both synthetic and market data sets.

Ryan Bennink, Olena Burkovska, Konstantin Pieper et al.

This review is designed to introduce mathematicians and computational scientists to quantum computing (QC) through the lens of uncertainty quantification (UQ) by presenting a mathematically rigorous and accessible narrative for understanding how noise and intrinsic randomness shape quantum computational outcomes in the language of mathematics. By grounding quantum computation in statistical inference, we highlight how mathematical tools such as probabilistic modeling, stochastic analysis, Bayesian inference, and sensitivity analysis, can directly address error propagation and reliability challenges in today's quantum devices. We also connect these methods to key scientific priorities in the field, including scalable uncertainty-aware algorithms and characterization of correlated errors. The purpose is to narrow the conceptual divide between applied mathematics, scientific computing and quantum information sciences, demonstrating how mathematically rooted UQ methodologies can guide validation, error mitigation, and principled algorithm design for emerging quantum technologies, in order to address challenges and opportunities present in modern-day quantum high performance and fault-tolerant quantum computing paradigms.

Yuwei Geng, Olena Burkovska, Lili Ju et al.

We propose an efficient end-to-end deep learning method for solving nonlocal Allen-Cahn (AC) and Cahn-Hilliard (CH) phase-field models. One motivation for this effort emanates from the fact that discretized partial differential equation-based AC or CH phase-field models result in diffuse interfaces between phases, with the only recourse for remediation is to severely refine the spatial grids in the vicinity of the true moving sharp interface whose width is determined by a grid-independent parameter that is substantially larger than the local grid size. In this work, we introduce non-mass conserving nonlocal AC or CH phase-field models with regular, logarithmic, or obstacle double-well potentials. Because of non-locality, some of these models feature totally sharp interfaces separating phases. The discretization of such models can lead to a transition between phases whose width is only a single grid cell wide. Another motivation is to use deep learning approaches to ameliorate the otherwise high cost of solving discretized nonlocal phase-field models. To this end, loss functions of the customized neural networks are defined using the residual of the fully discrete approximations of the AC or CH models, which results from applying a Fourier collocation method and a temporal semi-implicit approximation. To address the long-range interactions in the models, we tailor the architecture of the neural network by incorporating a nonlocal kernel as an input channel to the neural network model. We then provide the results of extensive computational experiments to illustrate the accuracy, structure-preserving properties, predictive capabilities, and cost reductions of the proposed method.