Related papers: Faster Monotone Implied Volatility Solver
Large-scale ML accelerators rely on large numbers of PEs, imposing strict bounds on the area and energy budget of each PE. Prior work demonstrates that limited dual-issue capabilities can be efficiently integrated into a lightweight…
Implicit neural networks are a general class of learning models that replace the layers in traditional feedforward models with implicit algebraic equations. Compared to traditional learning models, implicit networks offer competitive…
In the regime switching extension of Black-Scholes-Merton model of asset price dynamics, one assumes that the volatility coefficient evolves as a hidden pure jump process. Under the assumption of Markov regime switching, we have considered…
In mimetic gravity, we derive $D$-dimension charged black hole solutions having flat or cylindrical horizons with zero curvature boundary. The asymptotic behaviours of these black holes behave as (A)dS. We study both linear and nonlinear…
The paper introduces an adaptive version of the stabilized Trace Finite Element Method (TraceFEM) designed to solve low-regularity elliptic problems on level-set surfaces using a shape-regular bulk mesh in the embedding space. Two…
We present a neural network (NN) approach to fit and predict implied volatility surfaces (IVSs). Atypically to standard NN applications, financial industry practitioners use such models equally to replicate market prices and to value other…
This paper presents a learnable solver tailored to iteratively solve sparse linear systems from discretized partial differential equations (PDEs). Unlike traditional approaches relying on specialized expertise, our solver streamlines the…
In this paper, we propose an inertial forward backward splitting algorithm to compute a zero of the sum of two monotone operators, with one of the two operators being co-coercive. The algorithm is inspired by the accelerated gradient method…
A novel method which is called the Chebyshev inertial iteration for accelerating the convergence speed of fixed-point iterations is presented. The Chebyshev inertial iteration can be regarded as a valiant of the successive over relaxation…
We consider self-consistent coupling of the recently introduced new class of Weyl-conformally invariant lightlike branes (WILL-branes) to D=4 Einstein-Maxwell system plus a D=4 three-index antisymmetric tensor gauge field. We find static…
We analytically prove the linear radial stability of non-Abelian black holes with quartic self-interactions. The background, constructed from the Wu--Yang magnetic monopole ansatz, is an exact black-hole solution carrying a non-Abelian…
Finding roots of equations is at the heart of most computational science. A well-known and widely used iterative algorithm is the Newton's method. However, its convergence depends heavily on the initial guess, with poor choices often…
Efficient solutions for satisfiability modulo theories (SMT) are integral in industrial applications such as hardware verification and design automation. Existing approaches are predominantly based on conflict-driven clause learning, which…
In this paper we study how the use of a more continuous set of basis functions affects the cost of solving systems of linear equations resulting from a discretized Galerkin weak form. Specifically, we compare performance of linear solvers…
This paper develops a robust solver for the Maxwell eigenproblem in 3D photonic crystals with anisotropic media. The solver employs the kernel compensation technique under the framework of Yee's scheme to eliminate null space and enable…
We consider the Weyl$-$Yang gauge theory of gravitation in a $(4+3)$-dimensional curved space-time within the scenario of the non-Abelian Kaluza$-$Klein theory for the source and torsion-free limits. The explicit forms of the field…
In this work we investigate the presence of integrable hidden structures in the dynamics of perturbed non-rotating black holes (BHs). This can also be considered as a first step in a wider program of an effective identification of ``slow''…
Using classical Taylor series techniques, we develop a unified approach to pricing and implied volatility for European-style options in a general local-stochastic volatility setting. Our price approximations require only a normal CDF and…
By applying the Atiyah-Bott-Berline-Vergne equivariant integration formula upon double dimensional integrals, we find a way to compute the matrix integral representations of $4d$ $\mathcal{N}=1$ superconformal indices. The final formula…
Accurately characterizing the implied volatility curves is a central challenge in option pricing and risk management. The classical SABR model by Hagan et al. has been widely adopted in practice due to its well-defined stochastic volatility…