Related papers: Forecasting implied volatility surface with genera…
Beyond estimating parameters of interest from data, one of the key goals of statistical inference is to properly quantify uncertainty in these estimates. In Bayesian inference, this uncertainty is provided by the posterior distribution, the…
Turbulence governs the transport of momentum, energy, and scalars in many geophysical and engineering flows. In large-eddy simulations (LES), parameterizing subgrid-scale (SGS) stresses remains a central challenge, as unresolved physical…
We introduce a multivariate diffusion model that is able to price derivative securities featuring multiple underlying assets. Each asset volatility smile is modeled according to a density-mixture dynamical model while the same property…
Generative modeling of discrete data underlies important applications spanning text-based agents like ChatGPT to the design of the very building blocks of life in protein sequences. However, application domains need to exert control over…
Denoising Diffusion Probabilistic Models (DDPMs) are powerful generative deep learning models that have been very successful at image generation, and, very recently, in path planning and control. In this paper, we investigate how to…
In this study, we constructed daily high-frequency sentiment data and used the VAR method to attempt to predict the next day's implied volatility surface. We utilized 630,000 text data entries from the East Money Stock Forum from 2014 to…
Learning dynamical systems from incomplete or noisy data is inherently ill-posed, as a single observation may correspond to multiple plausible futures. While physics-based ensemble forecasting relies on perturbing initial states to capture…
Image generative models, particularly diffusion-based models, have surged in popularity due to their remarkable ability to synthesize highly realistic images. However, since these models are data-driven, they inherit biases from the…
In this paper, conditional denoising diffusion probabilistic models (DDPMs) are proposed to enhance the data transmission and reconstruction over wireless channels. The underlying mechanism of DDPM is to decompose the data generation…
Diffusion models play a pivotal role in contemporary generative modeling, claiming state-of-the-art performance across various domains. Despite their superior sample quality, mainstream diffusion-based stochastic samplers like DDPM often…
Volatility smile and skewness are two key properties of option prices that are represented by the implied volatility (IV) surface. However, IV surface calibration through nonlinear interpolation is a complex problem due to several factors,…
Diffusion Probabilistic Models (DPMs) have recently shown remarkable performance in image generation tasks, which are capable of generating highly realistic images. When adopting DPMs for image restoration tasks, the crucial aspect lies in…
Generative models of graphs based on discrete Denoising Diffusion Probabilistic Models (DDPMs) offer a principled approach to molecular generation by systematically removing structural noise through iterative atom and bond adjustments.…
Diffusion models (DMs) are a class of generative machine learning methods that sample a target distribution by transforming samples of a trivial (often Gaussian) distribution using a learned stochastic differential equation. In standard…
Generative diffusion models are extensively used in unsupervised and self-supervised machine learning with the aim to generate new samples from a probability distribution estimated with a set of known samples. They have demonstrated…
Building on recent advances in scientific machine learning and generative modeling for computational fluid dynamics, we propose a conditional score-based diffusion model designed for multi-scenarios fluid flow prediction. Our model…
The traffic matrix estimation (TME) problem has been widely researched for decades of years. Recent progresses in deep generative models offer new opportunities to tackle TME problems in a more advanced way. In this paper, we leverage the…
Denoising diffusion probabilistic models (DDPMs) are becoming the leading paradigm for generative models. It has recently shown breakthroughs in audio synthesis, time series imputation and forecasting. In this paper, we propose…
In data-driven drug discovery, designing molecular descriptors is a very important task. Deep generative models such as variational autoencoders (VAEs) offer a potential solution by designing descriptors as probabilistic latent vectors…
Diffusion probabilistic models (DPMs) have emerged as a promising technique in generative modeling. The success of DPMs relies on two ingredients: time reversal of diffusion processes and score matching. In view of possibly unguaranteed…