Related papers: Certifiably Pseudorandom Financial Derivatives
We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why these growth-optimal strategies should be particularly relevant…
High-order Lie derivatives are essential in nonlinear systems analysis. If done symbolically, their evaluation becomes increasingly expensive as the order increases. We present a compact and efficient numerical approach for computing Lie…
We study regression discontinuity designs when covariates are included in the estimation. We examine local polynomial estimators that include discrete or continuous covariates in an additive separable way, but without imposing any…
Pseudorandom states, introduced by Ji, Liu and Song (Crypto'18), are efficiently-computable quantum states that are computationally indistinguishable from Haar-random states. One-way functions imply the existence of pseudorandom states, but…
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit bond and equity option pricing formulas that can be…
We study the phenomena that arise when we combine the standard pseudodifferential operators with those operators that appear in the study of some sub-elliptic estimates, and on strongly pseudoconvex domains. The algebra of operators we…
The valuation of counterparty risk for single name credit derivatives requires the computa- tion of joint distributions of default times of two default-prone entities. For a Merton-type model, we derive some formulas for these joint…
We present a semi-static hedging algorithm for callable interest rate derivatives under an affine, multi-factor term-structure model. With a traditional dynamic hedge, the replication portfolio needs to be updated continuously through time…
We introduce a class of short-rate models that exhibit a ``higher for longer'' phenomenon. Specifically, the short-rate is modeled as a general time-homogeneous one-factor Markov diffusion on a finite interval. The lower endpoint is assumed…
Explicit functional forms for the generator derivatives of well-known one-parameter Archimedean copulas are derived. These derivatives are essential for likelihood inference as they appear in the copula density, conditional distribution…
Semi-supervised learning, i.e. jointly learning from labeled and unlabeled samples, is an active research topic due to its key role on relaxing human supervision. In the context of image classification, recent advances to learn from…
In recent years, the use of variable-order differential operators has emerged as a powerful tool in the analysis of nonlinear fractional differential equations and chaotic systems. In finance, the accurate prediction of market trends and…
In this article we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no-arbitrage setting. This is, in particular, motivated by the problem of identifying the number of…
The paper studies derivative asset analysis in structural credit risk models where the asset value of the firm is not fully observable. It is shown that in order to compute the price dynamics of traded securities one needs to solve a…
Discrete choice models are commonly used by applied statisticians in numerous fields, such as marketing, economics, finance, and operations research. When agents in discrete choice models are assumed to have differing preferences, exact…
Penalized regression methods are an attractive tool for high-dimensional data analysis, but their widespread adoption has been hampered by the difficulty of applying inferential tools. In particular, the question "How reliable is the…
We study information disclosure in competitive markets with adverse selection. Sellers privately observe product quality, with higher quality entailing higher production costs, while buyers trade at the market-clearing price after observing…
Brzozowski derivatives of a regular expression are developed for constructing deterministic automata from the given regular expression in the algebraic way. In this paper,some lemmas of the regular expressions are discussed and the regular…
Modeling of high order multivariate probability distribution is a difficult problem which occurs in many fields. Copula approach is a good choice for this purpose, but the curse of dimensionality still remains a problem. In this paper we…
We explore the role that random arbitrage opportunities play in hedging financial derivatives. We extend the asymptotic pricing theory presented by Fedotov and Panayides [Stochastic arbitrage return and its implication for option pricing,…