Related papers: Understanding the Commodity Futures Term Structure…
We introduce a sound and complete coinductive proof system for reachability properties in transition systems generated by logically constrained term rewriting rules over an order-sorted signature modulo builtins. A key feature of the…
Computational topology provides a tool, persistent homology, to extract quantitative descriptors from structured objects (images, graphs, point clouds, etc). These descriptors can then be involved in optimization problems, typically as a…
Explainable machine learning methods have been accompanied by substantial development. Despite their success, the existing approaches focus more on the general framework with no prior domain expertise. High-stakes financial sectors have…
Choices in the semantics and the signature of a theory are integral in determining how the theory is used and how challenging it is to reason over it. Our interest in this paper lies in the SMT theory of sequences. Various versions of it…
This article proposes a calibration framework for complex option pricing models that jointly fits market option prices and the term structure of variance. Calibrated models under the conventional objective function, the sum of squared…
Since the discovery of Spectre, a large number of hardware mechanisms for secure speculation has been proposed. Intuitively, more defensive mechanisms are less efficient but can securely execute a larger class of programs, while more…
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting…
This work unifies insights from the systems and functional programming communities, in order to enable compositional reasoning about software which is nonetheless efficiently realizable in hardware. It exploits a correspondence between…
Agricultural commodity futures are often settled by delivery. Quality options that allow the futures short to deliver one of several underlying assets are commonly used in such contracts to prevent manipulation. Inclusion of these options…
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…
This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship…
This paper introduces assume/guarantee contracts on continuous-time control systems, hereby extending contract theories for discrete systems to certain new model classes and specifications. Contracts are regarded as formal characterizations…
This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a num\'eraire. It is shown that the presence of arbitrarily small…
We provide an overview of CPF, the certification problem format, and explain some design decisions. Whereas CPF was originally invented to combine three different formats for termination proofs into a single one, in the meanwhile proofs for…
Machine learning has emerged as a powerful approach in materials discovery. Its major challenge is selecting features that create interpretable representations of materials, useful across multiple prediction tasks. We introduce an…
Incorporating constraints is a major concern in probabilistic machine learning. A wide variety of problems require predictions to be integrated with reasoning about constraints, from modelling routes on maps to approving loan predictions.…
We present a perturbation theory of the market impact based on an extension of the framework proposed by [Loeper, 2018] -- originally based on [Liu and Yong, 2005] -- in which we consider only local linear market impact. We study the…
Accurate prediction of electricity prices plays an essential role in the electricity market. To reflect the uncertainty of electricity prices, price intervals are predicted. This paper proposes a novel prediction interval construction…
In the context of stochastic portfolio theory we introduce a novel class of portfolios which we call linear path-functional portfolios. These are portfolios which are determined by certain transformations of linear functions of a…
In this note, we develop stock option price approximations for a model which takes both the risk o default and the stochastic volatility into account. We also let the intensity of defaults be influenced by the volatility. We show that it…