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TorchOptics is an open-source Python library for differentiable Fourier optics simulations, developed using PyTorch to enable GPU-accelerated tensor computations and automatic differentiation. It provides a comprehensive framework for…
In financial markets, accurately measuring the risk of future fluctuations in asset prices is of paramount importance. Studies such as Carr and Madan have shown that the expected value of the quadratic variation of log prices can be…
We discuss the pricing and hedging of volatility options in some rough volatility models. First, we develop efficient Monte Carlo methods and asymptotic approximations for computing option prices and hedge ratios in models where…
This paper introduces UncertaintyPlayground, a Python library built on PyTorch and GPyTorch for uncertainty estimation in supervised learning tasks. The library offers fast training for Gaussian and multi-modal outcome distributions through…
Automatic differentiation (AD) frameworks such as JAX and PyTorch have enabled gradient-based optimization for a wide range of scientific fields. Yet, many "hard" primitives in these libraries such as thresholding, Boolean logic, discrete…
Multiple Instance Learning (MIL) is a powerful framework for weakly supervised learning, particularly useful when fine-grained annotations are unavailable. Despite growing interest in deep MIL methods, the field lacks standardized tools for…
We present VulGuard, an automated tool designed to streamline the extraction, processing, and analysis of commits from GitHub repositories for Just-In-Time vulnerability prediction (JIT-VP) research. VulGuard automatically mines commit…
Evolutionary computation is an important component within various fields such as artificial intelligence research, reinforcement learning, robotics, industrial automation and/or optimization, engineering design, etc. Considering the…
We introduce PyTorch Geometric, a library for deep learning on irregularly structured input data such as graphs, point clouds and manifolds, built upon PyTorch. In addition to general graph data structures and processing methods, it…
modAL is a modular active learning framework for Python, aimed to make active learning research and practice simpler. Its distinguishing features are (i) clear and modular object oriented design (ii) full compatibility with scikit-learn…
VOLARE (VOLatility Archive for Realized Estimates - https://volare.unime.it) is an open research infrastructure providing standardized realized volatility and covariance measures constructed from ultra-high-frequency financial data. The…
We present \texttt{MathOptAI.jl}, an open-source Julia library for embedding trained machine learning predictors into a JuMP model. \texttt{MathOptAI.jl} can embed a wide variety of neural networks, decision trees, and Gaussian Processes…
In a recent paper "Deep Learning Volatility" a fast 2-step deep calibration algorithm for rough volatility models was proposed: in the first step the time consuming mapping from the model parameter to the implied volatilities is learned by…
Using the option delta systematically, we derive tighter lower and upper bounds of the Black-Scholes implied volatility than those in Tehranchi [SIAM J. Financ. Math. 7 (2016), 893-916]. As an application, we propose a Newton-Raphson…
Software development comprises the use of multiple Third-Party Libraries (TPLs). However, the irrelevant libraries present in software application's distributable often lead to excessive consumption of resources such as CPU cycles, memory,…
Continuous-depth learning has recently emerged as a novel perspective on deep learning, improving performance in tasks related to dynamical systems and density estimation. Core to these approaches is the neural differential equation, whose…
As the complexity and scale of modern parallel machines continue to grow, programmers increasingly rely on composition of software libraries to encapsulate and exploit parallelism. However, many libraries are not designed with composition…
We introduce JAX-LaB, a differentiable, Python-based Lattice Boltzmann simulation library designed for modeling multiphase and multiphysics fluid dynamics problems in hydrologic, geologic, and engineered porous media settings. The library…
This paper presents the Fourier-Malliavin Volatility (FMVol) estimation library for MATLAB. This library includes functions that implement Fourier- Malliavin estimators (see Malliavin and Mancino (2002, 2009)) of the volatility and…
We introduce small-text, an easy-to-use active learning library, which offers pool-based active learning for single- and multi-label text classification in Python. It features numerous pre-implemented state-of-the-art query strategies,…