Related papers: Implying Volatility: How Fast Can We Go?
This paper introduces the class of volatility modulated L\'{e}vy-driven Volterra (VMLV) processes and their important subclass of L\'{e}vy semistationary (LSS) processes as a new framework for modelling energy spot prices. The main…
We propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives. Our model extends the…
FlashAttention improves efficiency through tiling, but its online softmax still relies on floating-point arithmetic for numerical stability, making full quantization difficult. We identify three main obstacles to integer-only…
We propose a new estimator of high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure from noisy and asynchronous high-frequency data collected for an ultra-large number of assets. The noise processes are…
Microarchitectural attacks represent a challenging and persistent threat to modern processors, exploiting inherent design vulnerabilities in processors to leak sensitive information or compromise systems. Of particular concern is the…
Vision-Language-Action (VLA) models have emerged as a powerful paradigm for general-purpose robot control through natural language instructions. However, their high inference cost-stemming from large-scale token computation and…
The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We prove Lipschitz stability in the inverse problem of determining the implied volatility, which is a function of the underlying asset, from a…
Conventional hardware-friendly quantization methods, such as fixed-point or integer, tend to perform poorly at very low word sizes as their shrinking dynamic ranges cannot adequately capture the wide data distributions commonly seen in…
Fuzzing is a widely used technique for discovering software vulnerabilities, but identifying hot bytes that influence program behavior remains challenging. Traditional taint analysis can track such bytes white-box, but suffers from…
FPGA overlays are commonly implemented as coarse-grained reconfigurable architectures with a goal to improve designers' productivity through balancing flexibility and ease of configuration of the underlying fabric. To truly facilitate full…
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…
Non-volatile random access memory (NVRAM) offers byte-addressable persistence at speeds comparable to DRAM. However, with caches remaining volatile, automatic cache evictions can reorder updates to memory, potentially leaving persistent…
Recently, a novel adaptive wave model for financial option pricing has been proposed in the form of adaptive nonlinear Schr\"{o}dinger (NLS) equation [Ivancevic a], as a high-complexity alternative to the linear Black-Scholes-Merton model…
At high Reynolds numbers, the use of explicit in time compressible flow simulations with spectral/$hp$ element discretization can become significantly limited by time step. To alleviate this limitation we extend the capability of the…
Federated Learning (FL) has emerged as a promising Machine Learning paradigm, enabling multiple users to collaboratively train a shared model while preserving their local data. To minimize computing and communication costs associated with…
Options with maturities below one week, hereafter "ultra-short-term" options, have seen a sharp increase in trading activity in recent years. Yet, these instruments are difficult to price jointly using classical pricing models due to the…
LLM inference for enterprise applications, such as summarization, RAG, and code-generation, typically observe much longer prompt than generations, leading to high prefill cost and response latency. We present SwiftKV, a novel model…
Flow Matching models achieve state-of-the-art image generation quality but incur substantial inference cost due to iterative denoising through large Transformer networks. We observe that different layer groups within a Transformer exhibit…
We present an efficient discontinuous Galerkin scheme for simulation of the incompressible Navier-Stokes equations including laminar and turbulent flow. We consider a semi-explicit high-order velocity-correction method for time integration…
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Levy-type martingale subject to default. This class of models allows for local volatility, local default intensity, and a locally dependent…