Related papers: From Arbitrage Removal to Density Extraction: A Mo…
The relaxation dynamics of the one-dimensional totally asymmetric simple exclusion process on a ring is considered in the case of step initial condition. Analyzing the time evolution of the local particle densities and currents by the Bethe…
The principle of absence of arbitrage opportunities allows obtaining the distribution of stock price fluctuations by maximizing its information entropy. This leads to a physical description of the underlying dynamics as a random walk…
A client/encoder edits a file, as modeled by an insertion-deletion (InDel) process. An old copy of the file is stored remotely at a data-centre/decoder, and is also available to the client. We consider the problem of throughput- and…
Computational models have become a powerful tool in the quantitative sciences to understand the behaviour of complex systems that evolve in time. However, they often contain a potentially large number of free parameters whose values cannot…
The matter of the stability for multi-asset American option pricing problems is a present remaining challenge. In this paper a general transformation of variables allows to remove cross derivative terms reducing the stencil of the proposed…
Current abstractive summarization systems outperform their extractive counterparts, but their widespread adoption is inhibited by the inherent lack of interpretability. To achieve the best of both worlds, we propose EASE, an…
We consider the asymmetric simple exclusion process (ASEP) on the one-dimensional finite lattice $\{1,2,\ldots,N\}$. The particles can be created/annihilated at the boundaries with given rates. These rates are $L^\infty$ functions of time…
A novel refinement measure for non-intrusive surrogate modelling of partial differential equations (PDEs) with uncertain parameters is proposed. Our approach uses an empirical interpolation procedure, where the proposed refinement measure…
Parasitic extraction is a powerful tool in the design process of electromechanical devices, specifically as part of workflows that check electromagnetic compatibility. A novel scheme to extract impedances from CAD device models, suitable…
In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification for the market price of risk. Our…
We present sparse tree-based and list-based density estimation methods for binary/categorical data. Our density estimation models are higher dimensional analogies to variable bin width histograms. In each leaf of the tree (or list), the…
We explore the robust replication of forward-start straddles given quoted (Call and Put options) market data. One approach to this problem classically follows semi-infinite linear programming arguments, and we propose a discretisation…
The additivity principle allows a calculation of current fluctuations and associated density profiles in large diffusive systems. In order to test its validity in the weakly asymmetric exclusion process with open boundaries, we use a…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…
Discrete probability laws underpin statistical modeling, yet the catalog of interpretable distributions has expanded only gradually through centuries of case-by-case mathematical derivations. We introduce symbolic density estimation (SDE),…
In this paper, we analyze the diversity of term structure functions (e.g., yield curves, swap curves, credit curves) constructed in a process which complies with some admissible properties: arbitrage-freeness, ability to fit market quotes…
Compressive summarization systems typically rely on a crafted set of syntactic rules to determine what spans of possible summary sentences can be deleted, then learn a model of what to actually delete by optimizing for content selection…
We consider the problem of option pricing under stochastic volatility models, focusing on the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein. Indeed, we show they admit the same limit…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
A density estimation method in a Bayesian nonparametric framework is presented when recorded data are not coming directly from the distribution of interest, but from a length biased version. From a Bayesian perspective, efforts to…