Fourth Order Exponential Time Differencing Method with Local Discontinuous Galerkin Approximation for Coupled Nonlinear Schrödinger Equations - Volume 17 Issue 2 - X. Liang, A. Q. M. Khaliq, Y. Xing

We extend the regime-switching model to the rich class of time-changed Lévy processes and use the Fourier cosine expansion (COS) method to price several options under the resulting models. The extension of the COS method to price under the regime-switching model is not straightforward because it requires the evaluation of the characteristic function which is based on a matrix exponentiation which is not an easy task. For a two-state economy, we give an analytical expression for computing this matrix exponential, and for more than two states, we use the Carathéodory–Fejér approximation to find the option prices efficiently. In the new framework developed here, it is possible to allow switches not only in the model parameters as is commonly done in literature, but we can also completely switch among various popular financial models under different regimes without any additional computational cost. Calibration of the different regime-switching models with real market data shows that the best models are the regime-switching time-changed Lévy models. As expected by the error analysis, the COS method converges exponentially and thus outperforms all other numerical methods that have been proposed so far.

Epidemiological models with constant parameters may not capture satisfactory infection patterns in the presence of pharmaceutical and non-pharmaceutical mitigation measures during a pandemic, since infectiousness is a function of time. In this paper, an Epidemiology-Informed Neural Network algorithm is introduced to learn the time-varying transmission rate for the COVID-19 pandemic in the presence of various mitigation scenarios. There are asymptomatic infectives, mostly unreported, and the proposed algorithm learns the proportion of the total infective individuals that are asymptomatic infectives. Using cumulative and daily reported cases of the symptomatic infectives, we simulate the impact of non-pharmaceutical mitigation measures such as early detection of infectives, contact tracing, and social distancing on the basic reproduction number. We demonstrate the effectiveness of vaccination on the transmission of COVID-19. The accuracy of the proposed algorithm is demonstrated using error metrics in the data-driven simulation for COVID-19 data of Italy, South Korea, the United Kingdom, and the United States.