Related papers: SABR smiles for RFR caplets
While direct statements for kernel based interpolation on regions $\Omega \subset \mathbb{R}^d$ are well researched, far less is known about corresponding inverse statements. The available inverse statements for kernel based interpolation…
When choosing between competing symbolic models for a data set, a human will naturally prefer the "simpler" expression or the one which more closely resembles equations previously seen in a similar context. This suggests a non-uniform prior…
This paper proposes a hybrid methodology to improve the approximation of SABR (Stochastic Alpha Beta Rho) implied volatility by combining analytical structure with machine learning. The approach augments the neural-network input…
Given a compact Riemannian manifold $M$, we consider a warped product $\bar M = I \times_h M$ where $I$ is an open interval in $\Rr$. We suppose that the mean curvature of the fibers do not change sign. Given a positive differentiable…
The advent of 4$^\text{th}$ generation high-energy synchrotron facilities (ESRF-EBS and the planned APS-U, PETRA-IV and SPring-8 II) and free-electron lasers (Eu-XFEL and SLAC) allied with the recent demonstration of high-quality free-form…
For any symmetry group $H$ and any appropriate matrix dilation we give an explicit method for the construction of $H$-symmetric refinable interpolatory refinable masks which satisfy sum rule of arbitrary order $n$. For each such mask we…
We present a theory of option pricing and hedging, designed to address non-perfect arbitrage, market friction and the presence of `fat' tails. An implied volatility `smile' is predicted. We give precise estimates of the residual risk…
Recent years have witnessed significant advancement in face recognition (FR) techniques, with their applications widely spread in people's lives and security-sensitive areas. There is a growing need for reliable interpretations of decisions…
The proposed model modifies option pricing formulas for the basic case of log-normal probability distribution providing correspondence to formulated criteria of efficiency and completeness. The model is self-calibrating by historic…
We propose a new image restoration model based on the minimized surface regularization. The proposed model closely relates to the classical smoothing ROF model \cite{4}. We can reformulate the proposed model as a min-max problem and solve…
We present functional forms allowing a broader range of analytic solutions to common economic equilibrium problems. These can increase the realism of pen-and-paper solutions or speed large-scale numerical solutions as computational…
The continuous observation of the financial markets has identified some stylized facts which challenge the conventional assumptions, promoting the born of new approaches. On the one hand, the long-range dependence has been faced replacing…
Face Recognition (FR) is increasingly used in critical verification decisions and thus, there is a need for assessing the trustworthiness of such decisions. The confidence of a decision is often based on the overall performance of the model…
In this paper we derive a generic decomposition of the option pricing formula for models with finite activity jumps in the underlying asset price process (SVJ models). This is an extension of the well-known result by Alos (2012) for Heston…
Gabor filters can extract multi-orientation and multiscale features from face images. Researchers have designed different ways to use the magnitude of the filtered results for face recognition: Gabor Fisher classifier exploited only the…
In this paper, we propose FrameBERT, a RoBERTa-based model that can explicitly learn and incorporate FrameNet Embeddings for concept-level metaphor detection. FrameBERT not only achieves better or comparable performance to the…
Using face algebras (i.e. algebras of L-operators of IRF models), we construct modular tensor categories with positive definite inner product, whose fusion rules and S-matrices are the same as (or slightly different from) those obtained by…
State-of-the-art face recognition (FR) approaches have shown remarkable results in predicting whether two faces belong to the same identity, yielding accuracies between 92% and 100% depending on the difficulty of the protocol. However, the…
Deep learning based facial expression recognition (FER) has received a lot of attention in the past few years. Most of the existing deep learning based FER methods do not consider domain knowledge well, which thereby fail to extract…
We derive explicit formulas for the reconstruction of a function from its integrals over a family of spheres, or for the inversion of the spherical mean Radon transform. Such formulas are important for problems of thermo- and photo-…