European option payoffs can be generated by combinations of hockeystick payoffs or of monomials. Interestingly, path dependent options can be generated by combinations of signatures, which are the building blocks of path dependence. We focus on the case of 1 asset together with time, typically the evolution of the price x as a function of the time t. The signature of a path for a given word with letters in the alphabet {t,x} (sometimes called augmented signature of dimension 1) is an iterated Stratonovich integral with respect to the letters of the word and it plays the role of a monomial in a Taylor expansion. For a given time horizon T the signature elements associated to short words are contained in the linear space generated by the signature elements associated to longer words and we construct an incremental basis of signature elements. It allows writing a smooth path dependent payoff as a converging series of signature elements, a result stronger than the density property of signature elements from the Stone-Weierstrass theorem. We recall the main concepts of the Functional Itô Calculus, a natural framework to model path dependence and draw links between two approximation results, the Taylor expansion and the Wiener chaos decomposition. The Taylor expansion is obtained by iterating the functional Stratonovich formula whilst the Wiener chaos decomposition is obtained by iterating the functional Itô formula applied to a conditional expectation. We also establish the pathwise Intrinsic Expansion and link it to the Functional Taylor Expansion.

HiGHS is open-source optimization software for linear programming, mixed-integer programming, and quadratic programming. Created initially from research solvers written by Edinburgh PhD students, HiGHS attracted industrial funding that allowed further development, and saw it contribute to a REF 2021 Impact Case Study. Having been identified as a game-changer by the open-source energy systems planning community, the resulting crowdfunding campaign has received large donations that will allow the HiGHS project to expand and create further Impact.

This talk will give an insight into the state-of-the-art techniques underlying the linear programming solvers in HiGHS, with a particular focus on the challenge of solving sequences of linear systems of equations with remarkable properties. The means by which "gradware" created by PhD students has been transformed into software, generating income and Impact, will also be described. Independent benchmark results will be given to demonstrate that HiGHS is the world’s best open-source linear optimization software.