Related papers: SABR smiles for RFR caplets
We consider risk-neutral returns and show how their tail asymptotics translate directly to asymptotics of the implied volatility smile, thereby sharpening Roger Lee's celebrated moment formula. The theory of regular variation provides the…
We consider a broad class of semiparametric regression models in which the conditional distribution of the response takes the form $f\{Y|\bf{x}^{\rm T}\boldsymbol{\beta}+m(z), \phi\}$, which is known up to a parametric component…
Existing Self-Supervised Learning (SSL) models for speech typically process speech signals at a fixed resolution of 20 milliseconds. This approach overlooks the varying informational content present at different resolutions in speech…
In this paper, we consider three stochastic-volatility models, each characterized by distinct dynamics of instantaneous volatility: (1) a CIR process for squared volatility (i.e., the classical Heston model); (2) a mean-reverting lognormal…
We consider a class of assets whose risk-neutral pricing dynamics are described by an exponential L\'evy-type process subject to default. The class of processes we consider features locally-dependent drift, diffusion and default-intensity…
The rapid adoption of facial recognition (FR) technology by both government and commercial entities in recent years has raised concerns about civil liberties and privacy. In response, a broad suite of so-called "anti-facial recognition"…
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a…
We study American swaptions in the linear-rational (LR) term structure model introduced in [5]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It reduces to a free-boundary…
In this article we propose a method for the recognition of faces with different facial expressions. For recognition we extract feature vectors by using log-Gabor filters of multiple orientations and scales. Using sliding window algorithm…
Pre-trained models are widely used in the tasks of natural language processing nowadays. However, in the specific field of text simplification, the research on improving pre-trained models is still blank. In this work, we propose a…
In natural human-to-human conversations, participants often receive feedback signals from one another based on their follow-up reactions. These reactions can include verbal responses, facial expressions, changes in emotional state, and…
Cutting out and object and estimate its transparency mask is a key task in many applications. We take on the work on closed-form matting by Levin et al., that is used at the core of many matting techniques, and propose an alternative…
A spectral approach to building the exterior calculus in manifold learning problems is developed. The spectral approach is shown to converge to the true exterior calculus in the limit of large data. Simultaneously, the spectral approach…
We propose a novel approach and algorithm based on two preliminary tests of the optical system elements to enhance the super-resolved complex-valued imaging. The approach is developed for inverse phase imaging in a single-shot lensless…
In this paper we establish a comparison result through symmetrization for solutions to some boundary value problems involving the fractional Laplacian. This allows to get sharp estimates for the solutions, obtained by comparing them with…
This paper introduces a novel methodology that combines the multi-resolution feature of the Gabor wavelet transformation (GWT) with the local interactions of the facial structures expressed through the Pseudo Hidden Markov model (PHMM).…
We consider capillary surfaces that are constructed by bounded generating curves. This class of surfaces includes radially symmetric and lower dimensional fluid-fluid interfaces. We use the arc-length representation of the differential…
Our previous results are extended to the case of the margin account, which may depend on the contract's value for the hedger and/or the counterparty. The present work generalizes also the papers by Bergman (1995), Mercurio (2013) and…
For a given symmetric refinable mask obeying the sum rule of order $n$, an explicit method is suggested for the construction of mutually symmetric almost frame-like wavelet system providing approximation order $n$. A transformation based on…
The current standard Bayesian approach to model calibration, which assigns a Gaussian process prior to the discrepancy term, often suffers from issues of unidentifiability and computational complexity and instability. When the goal is to…