Related papers: Implying Volatility: How Fast Can We Go?
In this paper, we solve exit problems for a level-dependent L\'evy process which is exponentially killed with a killing intensity that depends on the present state of the process. Moreover, we analyse the respective resolvents. All…
Credit Valuation Adjustment is a balance sheet item which is nowadays subject to active risk management by specialized traders. However, one of the most important risk factors, which is the vector of default intensities of the counterparty,…
A unified analytical pricing framework with involvement of the shot noise random process has been introduced and elaborated. Two exactly solvable new models have been developed. The first model has been designed to value options. It is…
Autonomous Market Makers (AMMs) rely on arbitrage to facilitate passive price updates. Liquidity fragmentation poses a complex challenge across different blockchain networks. This paper proposes FluxLayer, a solution to mitigate fragmented…
Rising device use and third-party IP integration in semiconductors raise security concerns. Unauthorized access, fault injection, and privacy invasion are potential threats from untrusted actors. Different security techniques have been…
Advances in incremental Datalog evaluation strategies have made Datalog popular among use cases with constantly evolving inputs such as static analysis in continuous integration and deployment pipelines. As a result, new logic programming…
Flexible Electronics (FE) technology offers uniquecharacteristics in electronic manufacturing, providing ultra-low-cost, lightweight, and environmentally-friendly alternatives totraditional rigid electronics. These characteristics enable a…
Managing exotic derivatives requires accurate mark-to-market pricing and stable Greeks for reliable hedging. The Local Volatility (LV) model distinguishes itself from other pricing models by its ability to match observable market prices…
We introduce a new identification strategy for uncertainty shocks to explain macroeconomic volatility in financial markets. The Chicago Board Options Exchange Volatility Index (VIX) measures market expectations of future volatility, but…
This paper describes a novel design of a threshold logic gate (a binary perceptron) and its implementation as a standard cell. This new cell structure, referred to as flash threshold logic (FTL), uses floating gate (flash) transistors to…
In this paper we derive an effective equation for derivative pricing which accounts for the presence of virtual arbitrage opportunities and their elimination by the market. We model the arbitrage return by a stochastic process and find an…
The implied volatility skew has received relatively little attention in the literature on short-term asymptotics for financial models with jumps, despite its importance in model selection and calibration. We rectify this by providing…
Due to the system scaling, transient errors caused by external noises, e.g., heat fluxes and particle strikes, have become a growing concern for the current and upcoming extreme-scale high-performance-computing (HPC) systems. However, since…
We propose NVLog, an NVM-based write-ahead log for disk file systems, designed to transparently harness the high performance of NVM within the legacy storage stack. NVLog provides on-demand byte-granularity sync absorption, reserving the…
We study an extension of the Heston stochastic volatility model that incorporates rough volatility and jump clustering phenomena. In our model, named the rough Hawkes Heston stochastic volatility model, the spot variance is a rough…
RISC-V is a RISC based open and loyalty free instruction set architecture which has been developed since 2010, and can be used for cost-effective soft processors on FPGAs. The basic 32-bit integer instruction set in RISC-V is defined as…
The evolution of quantization and mixed-precision techniques has unlocked new possibilities for enhancing the speed and energy efficiency of NNs. Several recent studies indicate that adapting precision levels across different parameters can…
In this paper we introduce the concept of standardized call function and we obtain a new approximating formula for the Black and Scholes call function through the hyperbolic tangent. This formula is useful for pricing and risk management as…
Speculative decoding (SD) accelerates LLM inference by verifying draft tokens in parallel. However, this method presents a critical trade-off: it improves throughput in low-load, memory-bound systems but degrades performance in high-load,…
We take the holistic approach of computing an OTC claim value that incorporates credit and funding liquidity risks and their interplays, instead of forcing individual price adjustments: CVA, DVA, FVA, KVA. The resulting nonlinear…