Related papers: Berms without Calibration
In the presence of a missing response, reweighting the complete case subsample by the inverse of nonmissing probability is both intuitive and easy to implement. When the population totals of some auxiliary variables are known and when the…
Calibration of sensors is a major challenge especially in inexpensive sensors and sensors installed in inaccessible locations. The feasibility of calibrating sensors without the need for a standard sensor is called blind calibration. There…
Valuation and parity formulas for both European-style and American-style exchange options are presented in a general financial model allowing for jumps, possibility of default and "bubbles" in asset prices. The formulas are given via…
Bayesian data analysis is widely used across many disciplines, and representative examples in materials science include spectral analysis and sparse modeling. In such applications, the underlying models often become complex and yield…
In this paper we introduce SemiGPC, a distribution-aware label refinement strategy based on Gaussian Processes where the predictions of the model are derived from the labels posterior distribution. Differently from other buffer-based…
We propose a fast and accurate numerical method for pricing European swaptions in multi-factor Gaussian term structure models. Our method can be used to accelerate the calibration of such models to the volatility surface. The pricing of an…
A three-dimensional extension of the structural default model with firms' values driven by correlated diffusion processes is presented. Green's function based semi-analytical methods for solving the forward calibration problem and backward…
In this paper, we establish a market model for the term structure of forward inflation rates based on the risk-neutral dynamics of nominal and real zero-coupon bonds. Under the market model, we can price inflation caplets as well as…
A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch with vanishing risk, it rules out strategies of infinite variation, as they usually appear in frictionless…
Recent advancements in semi-supervised learning have focused on a more realistic yet challenging task: addressing imbalances in labeled data while the class distribution of unlabeled data remains both unknown and potentially mismatched.…
A recent variant of Colombeau algebras does not employ asymptotic estimates for its definition. We discuss how the concept of association with distributions transfers to this setting and why it still needs to be based on asymptotics.
We present a novel self-taught framework for unsupervised metric learning, which alternates between predicting class-equivalence relations between data through a moving average of an embedding model and learning the model with the predicted…
In this paper a simple procedure to deal with label switching when exploring complex posterior distributions by MCMC algorithms is proposed. Although it cannot be generalized to any situation, it may be handy in many applications because of…
Discrete data are abundant and often arise as counts or rounded data. These data commonly exhibit complex distributional features such as zero-inflation, over-/under-dispersion, boundedness, and heaping, which render many parametric models…
The aim of this paper is to present a dual-term structure model of interest rate derivatives in order to solve the two hardest problems in financial modeling: the exact volatility calibration of the entire swaption matrix, and the…
We present semi-supervised models with data augmentation (SMDA), a semi-supervised text classification system to classify interactive affective responses. SMDA utilizes recent transformer-based models to encode each sentence and employs…
Conformal prediction (CP) offers distribution-free marginal coverage guarantees under an exchangeability assumption, but these guarantees can fail if the data distribution shifts. We analyze the use of pseudo-calibration as a tool to…
For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led market players to revise this assumption and…
Automated Market Makers (AMMs) are major centers of matching liquidity supply and demand in Decentralized Finance. Their functioning relies primarily on the presence of liquidity providers (LPs) incentivized to invest their assets into a…
This paper discusses models of inflation based on global supersymmetry. It is shown that there are parameter ranges, consisent with observational constraints, for which warm inflation occurs and supergravity effects can be neglected. There…