Related papers: Robust hedging and pathwise calculus
Novel multi-step predictor-corrector numerical schemes have been derived for approximating decoupled forward-backward stochastic differential equations (FBSDEs). The stability and high order rate of convergence of the schemes are rigorously…
We construct a model for $B(\infty)$ using the alcove path model of Lenart and Postnikov. We show that the continuous limit of our model recovers a dual version of the Littelmann path model for $B(\infty)$ given by Li and Zhang.…
Safe navigation in uncertain environments requires planning methods that integrate risk aversion with active perception. In this work, we present a unified framework that refines a coarse reference path by constructing tail-sensitive risk…
This work introduces a pathwise notion of solution for the stochastic Burgers equation, in particular, our approach encompasses the Cole-Hopf solution. The developments are based on regularization arguments from the theory of distributions.
This paper initiates the study of fault resilient network structures that mix two orthogonal protection mechanisms: (a) {\em backup}, namely, augmenting the structure with many (redundant) low-cost but fault-prone components, and (b) {\em…
We develop a pathwise theory for scalar conservation laws with quasilinear multiplicative rough path dependence, a special case being stochastic conservation laws with quasilinear stochastic dependence. We introduce the notion of pathwise…
We develop the structure theory for transformations of weakly geometric rough paths of bounded $1 < p$-variation and their controlled paths. Our approach differs from existing approaches as it does not rely on smooth approximations. We…
Variational Bayes (VB) is a popular scalable alternative to Markov chain Monte Carlo for Bayesian inference. We study a mean-field spike and slab VB approximation of widely used Bayesian model selection priors in sparse high-dimensional…
We tackle high-dimensional, path-dependent valuation and control and introduce a deep BSDE/2BSDE solver that couples truncated log-signatures with a neural rough differential equation (RDE) backbone. The architecture aligns stochastic…
We introduce the deep multi-FBSDE method for robust approximation of coupled forward-backward stochastic differential equations (FBSDEs), focusing on cases where the deep BSDE method of Han, Jentzen, and E (2018) fails to converge. To…
In this paper we discuss a hybridised method for FEM-BEM coupling. The coupling from both sides use a Nitsche type approach to couple to the trace variable. This leads to a formulation that is robust and flexible with respect to…
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…
It is well-known that kernel regression estimators do not produce a constant estimator variance over a domain. To correct this problem, Nishida and Kanazawa (2015) proposed a variance-stabilizing (VS) local variable bandwidth for Local…
We consider the hedging of European options when the price of the underlying asset follows a single-factor Markovian framework. By working in such a setting, Carr and Wu \cite{carr2014static} derived a spanning relation between a given…
In this article, we propose a data-driven methodology for combining the solutions of a set of competing turbulence models. The individual model predictions are linearly combined for providing an ensemble solution accompanied by estimates of…
The paper presents a Bayesian framework for the calibration of financial models using neural stochastic differential equations (neural SDEs), for which we also formulate a global universal approximation theorem based on Barron-type…
In this study, we develop a probabilistic approach to map the parametric uncertainty to the output state uncertainty in first-order hyperbolic conservation laws. We analyze this problem for nonlinear immiscible two-phase transport in…
In this paper, we revisit two fundamental results of the self-stabilizing literature about silent BFS spanning tree constructions: the Dolev et al algorithm and the Huang and Chen's algorithm. More precisely, we propose in the composite…
The inclusion of DVA in the fair-value of derivative transactions has now become standard accounting practice in most parts of the world. Furthermore, some sophisticated banks are including an FVA (Funding Valuation Adjustment), but since…
We evaluate the hedging performance of a high-order compact finite difference scheme from [4] for option pricing in Bates model. We compare the scheme's hedging performance to standard finite difference methods in different examples. We…