Proceedings of the Forum "Math-for-Industry" 2018: Big Data Analysis, AI, Fintech, Math in Finances and Economics (Mathematics for Industry, 35)

Organization
Preface
Contents
About the Editors
Copula-Based Estimation of Value  at Risk for the Portfolio Problem
	1 Introduction
	2 Preliminary
		2.1 Value at Risk
		2.2 Copula
	3 Determination Formula
	4 Empirical Study
		4.1 Margins Modelling
		4.2 Copula-Based Approach
		4.3 Backtesting
	5 Discussions
	References
Notes on Backward Stochastic Differential Equations for Computing XVA
	1 Introduction
	2 BSDE with a Random Horizon in a Progressively Enlarged Filtration
		2.1 Setup
		2.2 Existence, Uniqueness, and Construction of Solution
		2.3 Markovian Model
	3 XVA Calculation via BSDE
		3.1 Non-defaultable/Defaultable Risky Assets
		3.2 Defaultable Derivative Security
		3.3 Dynamic Portfolio Strategy
		3.4 Deriving BSDE
		3.5 Hedging Problem
		3.6 Markovian Model
	4 Results
		4.1 Results on Arbitrage
		4.2 Results on XVA
		4.3 Perturbed BSDEs
	References
An Overview of Exact Solution Methods for Guaranteed Minimum Death Benefit Options in Variable Annuities
	1 Introduction
	2 The Direct Integration Method
	3 The Partial Differential Equation Method
	4 The Discounted Density Method
	5 Extensions of the Analytic Methods to Related Problems
	6 Conclusions and Future Research Directions
	References
Mathematical Modeling and Inverse Problem Approaches for Functional Clothing Design Based on Thermal Mechanism
	1 Background of the IPTMD
	2 Mathematical Model of Dynamic Heat–Moisture Transfer within the TCC System
	3 Mathematical Model of Dynamic Heat Transfer within the TPC System
		3.1 Fractional Description for Superdiffusion
		3.2 Mathematical Model for TPC System
	4 Numerical Computation for the TPC Direct Problems to Determine the Fractional Order
		4.1 Numerical Algorithm
		4.2 Parameters and Conditions in Numerical Process
		4.3 Numerical Result
	5 Mathematical Formulation for Inverse Problems for the TCC/TPC Design
		5.1 Mathematical Reformulation of the TCC Inverse Problems (IP 1)
		5.2 Mathematical Reformulation of the TPC Inverse Problems (IP 2)
	6 Computational Strategy for the IPTMD of the TCC/TPC Design
		6.1 Deterministic Case: Least Squares Method and Regularization Method
		6.2 Stochastic Case: Bayesian Inference Method and Maximum Probability Method
		6.3 Computational Examples for IPTMD
	7 Concluding Remarks and Future Studies
	References
Determinantal Reinforcement Learning with Techniques to Avoid Poor Local Optima
	1 Introduction
	2 Determinantal SARSA
	3 Avoiding Poor Local Optima
	4 Experiments
	5 Conclusion
	References
Surface Denoising Based on Normal Filtering in a Robust Statistics Framework
	1 Introduction
		1.1 Notation
		1.2 Related Work
		1.3 Face Normal Filtering Versus Vertex Position Filtering
		1.4 Scope
	2 Robust Statistical Estimation
		2.1 M-estimators
	3 Face Normal Filtering in the Robust Statistics Framework
		3.1 Unilateral Normal Filtering
		3.2 Bilateral Normal Filtering
	4 Point Set Surface Denoising in the Robust Statistics Framework
		4.1 Unilateral Normal Filtering
		4.2 Bilateral Normal Filtering
	5 Experiments and Results
	6 Conclusion
	References
Unique Continuation on a Sphere for Helmholtz Equation and Its Numerical Treatments
	1 Introduction
	2 Main Results
	3 Numerical Method and Examples
	4 Conclusion
	References
Huberization Image Restoration  Model from Incomplete Multiplicative Noisy Data
	1 Introduction
	2 The Algorithm for the Double Regularizing Image Restoration Model
	3 Numerical Experiments
	4 Conclusion
	References
A Brief Review of Some Swarming Models Using Stochastic Differential Equations
	1 Introduction
	2 Model Equations
		2.1 General Model
		2.2 Model in Free Space
		2.3 Avoiding Obstacle Model
		2.4 Foraging Model
	3 Numerical Study on Swarming Models
		3.1 Swarm Cohesiveness
		3.2 Obstacle Avoiding Behavioral Patterns
		3.3 Foraging Advantage
	4 Conclusion
	References