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Approximation Algorithms for Process Systems Engineering [article]

Dimitrios Letsios, Radu Baltean-Lugojan, Francesco Ceccon, Miten Mistry, Johannes Wiebe, Ruth Misener
2019 arXiv   pre-print
Finally, for instances with a single pool and attribute, unlimited supplies/pool capacities and fixed demands, the pooling problem is strongly-polynomially solvable (Baltean-Lugojan and Misener, 2018).  ... 
arXiv:1909.12328v1 fatcat:tsrrywz63jfalk5xifvpnrqyqu

Robust Numerical Calibration for Implied Volatility Expansion Models

Radu Baltean-Lugojan, Panos Parpas
2016 SIAM Journal on Financial Mathematics  
Implied volatility expansions allow calibration of sophisticated volatility models. They provide an accurate fit and parametrization of implied volatility surfaces that is consistent with empirical observations. Fine-grained higher order expansions offer a better fit but pose the challenge of finding a robust, stable and computationally tractable calibration procedure due to a large number of market parameters and nonlinearities. We propose calibration schemes for second order expansions that
more » ... ke advantage of the model's structure via exact parameter reductions and recoveries, reuse and scaling between expansion orders where permitted by the model asymptotic regime and numerical iteration over bounded significant parameters. We perform a numerical analysis over 12 years of real S&P 500 index options data for both multiscale stochastic and general local-stochastic volatility models. Our methods are validated empirically by obtaining stable market parameters that meet the qualitative and numerical constraints imposed by their functional forms and model asymptotic assumptions.
doi:10.1137/15m1035215 fatcat:6r3rnwwpezbijbutjaozc4ydp4

Piecewise parametric structure in the pooling problem: from sparse strongly-polynomial solutions to NP-hardness

Radu Baltean-Lugojan, Ruth Misener
2017 Journal of Global Optimization  
,L] Output in1 di1 p1 in2 di2 p2 inI diH pL o Radu Baltean-Lugojan, Ruth Misener  ... 
doi:10.1007/s10898-017-0577-y pmid:30956395 pmcid:PMC6417401 fatcat:csmyt5nes5cgtc7y53o6bl3fwa

Exploiting structure in nonconvex quadratic optimisation

Radu Baltean-Lugojan, Ruth Misener, Panos Parpas, Engineering And Physical Sciences Research Council, IBM
Our contribution in Chapters 5 and 6/Baltean-Lugojan et al.  ...  and Misener [37] , Chapters 5 and 6 and part of Section 2.1.1 from Baltean-Lugojan et al  ... 
doi:10.25560/79281 fatcat:ihc7fhtr7bfffivjxe7hqgw62e

Dagstuhl Reports, Volume 8, Issue 2, February 2018, Complete Issue [article]

Online generation via offline selection of strong linear cuts from QP SDP relaxation Radu Baltean-Lugojan and Ruth Misener . . . . . . . . . . . . . . . . . . . . . . .  ...  An executable software model of tetracycline-aptamer-mediated translation in yeast Radu Muschevici (TU Darmstadt, DE) License Creative Commons BY 3.0 Unported license © Radu Muschevici Gene expression  ... 
doi:10.4230/dagrep.8.2 fatcat:6kf77nt6j5g2jatriorn72fafm