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This paper studies empirical deep hedging for S&P 500 index options under a local downside-shortfall reward. It moves beyond performance comparison by asking what the learned hedge does, when it fails, and whether it can be made auditable.…
In this paper, we study the problem of sampling from a distribution under the constraint of differential privacy (DP). Prior works measure the utility of DP sampling with density ratio-based measures such as KL divergence. However, such…
Time dependent quantum systems are the subject of intense inquiry, in mathematics, science, and engineering, particularly at the atomic and molecular levels. In 1984, Runge and Gross introduced time dependent density functional theory…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
Training large language models (LLMs) from scratch can yield models with unique functionalities and strengths, but it is costly and often leads to redundant capabilities. A more cost-effective alternative is to fuse existing pre-trained…
Previous literature shows that prevalent risk measures such as Value at Risk or Expected Shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio…
Can an asset manager plan the optimal timing for her/his hedging strategies given market conditions? The standard approach based on Markowitz or other more or less sophisticated financial rules aims to find the best portfolio allocation…
In this thesis, we develop a comprehensive account of the expressive power, modelling efficiency, and performance advantages of so-called trading agents (i.e., Deep Soft Recurrent Q-Network (DSRQN) and Mixture of Score Machines (MSM)),…
With the rapid development of artificial intelligence, data-driven methods effectively overcome limitations in traditional portfolio optimization. Conventional models primarily employ long-only mechanisms, excluding highly correlated assets…
Weighting the p-values is a well-established strategy that improves the power of multiple testing procedures while dealing with heterogeneous data. However, how to achieve this task in an optimal way is rarely considered in the literature.…
We consider a global variable consensus ADMM algorithm for solving large-scale PDE parameter estimation problems asynchronously and in parallel. To this end, we partition the data and distribute the resulting subproblems among the available…
Applying concepts related to zero-shot meta-learning and pre-training of foundation models, we develop a meta reinforcement learning approach (denoted MetaRL) that is pre-trained on thousands of goals-based wealth management (GBWM)…
Consider the Maximum Weight Independent Set problem for rectangles: given a family of weighted axis-parallel rectangles in the plane, find a maximum-weight subset of non-overlapping rectangles. The problem is notoriously hard both in the…
The mean-variance portfolio model, based on the risk-return trade-off for optimal asset allocation, remains foundational in portfolio optimization. However, its reliance on restrictive assumptions about asset return distributions limits its…
Positive linear programs (LPs) model many graph and operations research problems. One can solve for a $(1+\epsilon)$-approximation for positive LPs, for any selected $\epsilon$, in polylogarithmic depth and near-linear work via variations…
When approaching the continuum limit in lattice QCD or other theories in a setup with topological sectors, conventional update algorithms experience a particularly severe form of critical slowing down that is caused by high action barriers…
We consider nonconvex optimization problem over simplex, and more generally, a product of simplices. We provide an algorithm, Langevin Multiplicative Weights Update (LMWU) for solving global optimization problems by adding a noise scaling…
In this paper, we define the notion of {\em probabilistic $\omega$-pushdown automaton} and study its model-checking problem against the logic of $\omega$-probabilistic computational tree logic ($\omega$-PCTL) and its bounded version from a…
Aligning Large Language Models (LLMs) traditionally relies on costly training and human preference annotations. Self-alignment seeks to reduce these expenses by enabling models to align themselves. To further lower costs and achieve…
Deep Reinforcement Learning (DRL) algorithms can scale to previously intractable problems. The automation of profit generation in the stock market is possible using DRL, by combining the financial assets price "prediction" step and the…