Related papers: Certifiably Pseudorandom Financial Derivatives
We consider option pricing using replicating binomial trees, with a two fold purpose. The first is to introduce ESG valuation into option pricing. We explore this in a number of scenarios, including enhancement of yield due to trader…
Reparameterizable densities are an important way to learn probability distributions in a deep learning setting. For many distributions it is possible to create low-variance gradient estimators by utilizing a `reparameterization trick'. Due…
While self-training has advanced semi-supervised semantic segmentation, it severely suffers from the long-tailed class distribution on real-world semantic segmentation datasets that make the pseudo-labeled data bias toward majority classes.…
While significant advances exist in pseudo-label generation for semi-supervised semantic segmentation, pseudo-label selection remains understudied. Existing methods typically use fixed confidence thresholds to retain high-confidence…
In order to understand the performance of a code under maximum-likelihood (ML) decoding, one studies the codewords, in particular the minimal codewords, and their Hamming weights. In the context of linear programming (LP) decoding, one's…
This paper analyzes the pricing of collateralized derivatives, i.e. contracts where counterparties are not only subject to financial derivatives cash flows but also to collateral cash flows arising from a collateral agreement. We do this…
It will be recalled that the classical bivariate normal distributions have normal marginals and normal conditionals. It is natural to ask whether a similar phenomenon can be encountered involving Poisson marginals and conditionals.…
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest…
A pseudorandom code is a keyed error-correction scheme with the property that any polynomial number of encodings appear random to any computationally bounded adversary. We show that the pseudorandomness of any code tolerating a constant…
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors for non-"fair" lotteries. We argue that our formula is superior to earlier methods that have been proposed, as it is a function of only…
The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal non-asymptotic bounds for a lower biased estimate based on the suboptimal stopping rule constructed using some…
Cash collateral is perfect in that it provides simultaneous counterparty credit risk protection and derivatives funding. Securities are imperfect collateral, because of collateral segregation or differences in CSA haircuts and repo…
We introduce a probabilistic formalism subsuming Markov random fields of bounded tree width and probabilistic context free grammars. Our models are based on a representation of Boolean formulas that we call case-factor diagrams (CFDs). CFDs…
We deal with the random combinatorial structures called assemblies. By weakening the logarithmic condition which assures regularity of the number of components of a given order, we extend the notion of logarithmic assemblies. Using the…
The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that…
We establish a generalization of the p-adic local monodromy theorem (of Andre, Mebkhout, and the author) in which differential equations on rigid analytic annuli are replaced by differential equations on so-called fake annuli. The latter…
Curve samplers are sampling algorithms that proceed by viewing the domain as a vector space over a finite field, and randomly picking a low-degree curve in it as the sample. Curve samplers exhibit a nice property besides the sampling…
Pseudo-Labeling is a simple and effective approach to semi-supervised learning. It requires criteria that guide the selection of pseudo-labeled data. The latter have been shown to crucially affect pseudo-labeling's generalization…
Separation logic is a substructural logic which has proved to have numerous and fruitful applications to the verification of programs working on dynamic data structures. Recently, Barthe, Hsu and Liao have proposed a new way of giving…
We use the theory of large deviations to study the pricing of investment-grade tranches of synthetic CDO's. In this paper, we consider a heterogeneous pool of names. Our main tool is a large-deviations analysis which allows us to precisely…