Related papers: Certifiably Pseudorandom Financial Derivatives
We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed to have partial information about each of…
In this work, we introduce a novel approach to regularization in multivariable regression problems. Our regularizer, called DLoss, penalises differences between the model's derivatives and derivatives of the data generating function as…
Computing cross-partial derivatives using fewer model runs is relevant in modeling, such as stochastic approximation, derivative-based ANOVA, exploring complex models, and active subspaces. This paper introduces surrogates of all the…
In this paper we develop a very general class of bivariate discrete distributions. The basic idea is very simple. The marginals are obtained by taking the random geometric sum of a baseline distribution function. The proposed class of…
In this article we introduce associative Look-Up Tables. With their help, pseudo sums are correctly determined. The set of limit distributions in a pseudo-summation scheme of i.i.d. random variables is described. Also, two special cases…
Modern financial electronic exchanges are an exciting and fast-paced marketplace where billions of dollars change hands every day. They are also rife with manipulation and fraud. Detecting such activity is a major undertaking, which has…
The existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of potential borrowers in order to make their decision on…
Combinatorial auctions (CA) are a well-studied area in algorithmic mechanism design. However, contrary to the standard model, empirical studies suggest that a bidder's valuation often does not depend solely on the goods assigned to him. For…
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the classical autoregressive conditional duration (ACD) models by…
The majority of traditional classification ru les minimizing the expected probability of error (0-1 loss) are inappropriate if the class probability distributions are ill-defined or impossible to estimate. We argue that in such cases class…
Computational efficiency is essential for enhancing the accuracy and practicality of pricing complex financial derivatives. In this paper, we discuss Isogeometric Analysis (IGA) for valuing financial derivatives, modeled by two nonlinear…
We introduce two quantum algorithms to compute the Value at Risk (VaR) and Conditional Value at Risk (CVaR) of financial derivatives using quantum computers: the first by applying existing ideas from quantum risk analysis to derivative…
We first establish some general results connecting real and complex Lie algebras of first-order differential operators. These are applied to completely classify all finite-dimensional real Lie algebras of first-order differential operators…
We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and…
Probability generating functionals (PGFLs) are efficient and powerful tools for tracking independent objects in clutter. It was shown that PGFLs could be used for the elegant derivation of practical multi-object tracking algorithms, e.g.,…
Statistical Relational Learning (SRL) integrates First-Order Logic (FOL) and probability theory for learning and inference over relational data. Probabilistic inference and learning in many SRL models can be reduced to Weighted First Order…
By considering the situation in which the involved pseudomonads are presented in no-iteration form, we deduce a number of alternative presentations of pseudodistributive laws including a 'decagon' form, a pseudoalgebra form, a no-iteration…
The computation of Greeks is a fundamental task for risk managing of financial instruments. The standard approach to their numerical evaluation is via finite differences. Most exotic derivatives are priced via Monte Carlo simulation: in…
In the accompanied paper [14], a delayed nonlinear model for pricing corporate liabilities was developed. Using self-financed strategy and duplication we were able to derive two Random Partial Differential Equations (RPDEs) describing the…
We introduce PseudoNet, a new pseudolikelihood-based estimator of the inverse covariance matrix, that has a number of useful statistical and computational properties. We show, through detailed experiments with synthetic and also real-world…