Related papers: Deriving Derivatives
In this article, we introduce a new general definition of fractional derivative and fractional integral, which depends on an unknown kernel. By using these definitions, we obtain the basic properties of fractional integral and fractional…
Quantum computing has recently appeared in the headlines of many scientific and popular publications. In the context of quantitative finance, we provide here an overview of its potential.
Resiliency has garnered attention in the management of critical infrastructure as a metric of system performance, but there are significant roadblocks to its implementation in a realistic decision-making framework. Contrasted to risk and…
Gradient-based techniques are becoming increasingly critical in quantitative fields, notably in statistics and computer science. The utility of these techniques, however, ultimately depends on how efficiently we can evaluate the derivatives…
Object oriented approach is one of the popular software development approach for managing complex systems with massive set of requirements. Unlike procedural approach, this approach captures the requirements as set of data rather than…
We identify the structural impulse responses of quantiles of the outcome variable to a shock. Our estimation strategy explicitly distinguishes treatment from control variables, allowing us to model responses of unconditional quantiles while…
We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial…
We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state…
Accurate programming is a practical approach to producing high quality programs. It combines ideas from test-automation, test-driven development, agile programming, and other state of the art software development methods. In addition to…
We discuss that how the majority of traditional modeling approaches are following the idealism point of view in scientific modeling, which follow the set theoretical notions of models based on abstract universals. We show that while…
Uncertainty quantification (UQ) has increasing importance in building robust high-performance and generalizable materials property prediction models. It can also be used in active learning to train better models by focusing on getting new…
The use of quantiles to obtain insights about multivariate data is addressed. It is argued that incisive insights can be obtained by considering directional quantiles, the quantiles of projections. Directional quantile envelopes are…
Quantitative investment (``quant'') is an interdisciplinary field combining financial engineering, computer science, mathematics, statistics, etc. Quant has become one of the mainstream investment methodologies over the past decades, and…
Several models for the pricing of derivative securities in illiquid markets are discussed. A typical type of nonlinear partial differential equations arising from these investigation is studied. The scaling properties of these equations are…
Rigorous guarantees about the performance of predictive algorithms are necessary in order to ensure their responsible use. Previous work has largely focused on bounding the expected loss of a predictor, but this is not sufficient in many…
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price…
We study special systems with infinitely many degrees of freedom with regard to dynamical evolution and fulfillment of constraint conditions. Attention is focused on establishing a meaningful functional framework, and for that purpose,…
One the one hand, rough volatility has been shown to provide a consistent framework to capture the properties of stock price dynamics both under the historical measure and for pricing purposes. On the other hand, market price of volatility…
This article provides formal definitions characterizing well-formed composition of components in order to guarantee their safe deployment and execution. Our work focuses on the structural aspects of component composition; it puts together…
Quantum resource analysis is crucial for designing quantum circuits as well as assessing the viability of arbitrary (error-corrected) quantum computations. To this end, we introduce QUANTIFY, which is an open-source framework for the…