Related papers: SABR smiles for RFR caplets
Motivated with the concept of transform learning and the utility of rational wavelet transform in audio and speech processing, this paper proposes Rational Wavelet Transform Learning in Statistical sense (RWLS) for natural images. The…
Self-supervised learning (SSL)-based speech models are extensively used for full-stack speech processing. However, it has been observed that improving SSL-based speech representations using unlabeled speech for content-related tasks is…
A motivating question in this paper is whether a sensible investment strategy may systematically contain long positions in out-of-the-money European calls with short expiry. Here we consider a very simple trading strategy for calls. The…
We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and call options. Our construction makes use of the martingale…
We propose a neural network approach to price EU call options that significantly outperforms some existing pricing models and comes with guarantees that its predictions are economically reasonable. To achieve this, we introduce a class of…
This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation for forward trades, which explains the…
Weighted and controlled frames have been introduced recently to improve the numerical efficiency of iterative algorithms for inverting the frame operator. In this paper we develop systematically these notions, including their mutual…
We present a neural-network valuation of financial derivatives in the case of fat-tailed underlying asset returns. A two-layer perceptron is trained on simulated prices taking into account the well-known effect of volatility smile. The…
We prove local and global upper estimates for the infimum of the mean curvature, the scalar curvature and the norm of the shape operator of graphs in a warped product space. Using these estimates, we obtain some results on pseudo-hyperbolic…
State-of-the-art face super-resolution methods employ deep convolutional neural networks to learn a mapping between low- and high- resolution facial patterns by exploring local appearance knowledge. However, most of these methods do not…
Albeit of crucial interest for both financial practitioners and researchers, market-implied volatility data of European swaptions often exhibit large portions of missing quotes due to illiquidity of the various underlying swaption…
We develop an expansion approach for the pricing of European quanto options written on LIBOR rates (of a foreign currency). We derive the dynamics of the system of foreign LIBOR rates under the domestic forward measure and then consider the…
We give an explicit formula for the probability distribution based on a relativistic extension of Brownian motion. The distribution 1) is properly normalized and 2) obeys the tower law (semigroup property), so we can construct martingales…
We consider symmetric non-negative definite bilinear forms on algebras of bounded real valued functions and investigate closability with respect to the supremum norm. In particular, any Dirichlet form gives rise to a sup-norm closable…
Preference-based Reinforcement Learning (PbRL) entails a variety of approaches for aligning models with human intent to alleviate the burden of reward engineering. However, most previous PbRL work has not investigated the robustness to…
Automatic face recognition (AFR) is an area with immense practical potential which includes a wide range of commercial and law enforcement applications, and it continues to be one of the most active research areas of computer vision. Even…
The Algebraic lambda-calculus and the Linear-Algebraic lambda-calculus extend the lambda-calculus with the possibility of making arbitrary linear combinations of terms. In this paper we provide a fine-grained, System F-like type system for…
Emotions play a central role in the social life of every human being, and their study, which represents a multidisciplinary subject, embraces a great variety of research fields. Especially concerning the latter, the analysis of facial…
Face restoration (FR) is a specialized field within image restoration that aims to recover low-quality (LQ) face images into high-quality (HQ) face images. Recent advances in deep learning technology have led to significant progress in FR…
Facial Expression Recognition (FER) is crucial in many research domains because it enables machines to better understand human behaviours. FER methods face the problems of relatively small datasets and noisy data that don't allow classical…