Related papers: Implying Volatility: How Fast Can We Go?

We solve the superhedging problem for European options in an illiquid extension of the Black-Scholes model, in which transactions have transient price impact and the costs and the strategies for hedging are affected by physical or cash…

Whilst FPGAs have enjoyed success in accelerating high-frequency financial workloads for some time, their use for quantitative finance, which is the use of mathematical models to analyse financial markets and securities, has been far more…

Stochastic volatility (SV) and local stochastic volatility (LSV) processes can be used to model the evolution of various financial variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted to pricing…

Improving the inference efficiency of autoregressive transformers typically means reducing FLOPs per token, usually through approximations that degrade model quality. We introduce N-vium, a mixture-of-exits transformer that partially…

The importance of open-source hardware and software has been increasing. However, despite GPUs being one of the more popular accelerators across various applications, there is very little open-source GPU infrastructure in the public domain.…

A systematic approach to assess the linear stability of Alfv\'en eigenmodes in the presence of fusion-born alpha particles is described. Because experimental results for ITER are not available yet, it is not known beforehand which Alfv\'en…

This paper considers liquidity as an explanation for the positive association between expected idiosyncratic volatility (IV) and expected stock returns. Liquidity costs may affect the stock returns, through bid-ask bounce and other…

Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter $\gamma$ takes just few values: 0 - the Ornstein-Uhlenbeck process, 1/2 - the Heston (or square root) process, 1-…

We present safe active incremental feature selection~(SAIF) to scale up the computation of LASSO solutions. SAIF does not require a solution from a heavier penalty parameter as in sequential screening or updating the full model for each…

We develop closed-form expansions for the implied volatility of VIX options within the class of forward variance models. Our approach builds on weak-approximation techniques for VIX option prices and yields explicit implied volatility…

This paper offers a new approach for estimating and forecasting the volatility of financial time series. No assumption is made about the parametric form of the processes. On the contrary, we only suppose that the volatility can be…

This paper presents FLASH 1.0, a C++-based software framework for rapid parallel deployment and enhancing host code portability in heterogeneous computing. FLASH takes a novel approach in describing kernels and dynamically dispatching them…

The Constant Elasticity of Variance (CEV) model is mathematically presented and then used in a Credit-Equity hybrid framework. Next, we propose extensions to the CEV model with default: firstly by adding a stochastic volatility diffusion…

Deploying Vision-Language-Action (VLA) models on resource-constrained edge platforms encounters a fundamental conflict between high-latency semantic inference and the high-frequency control required for dynamic manipulation. To address the…

Robust adaptation of LLMs and VLMs is often evaluated by average accuracy or average consistency under perturbations. However, these averages can hide a structured failure mode: a prediction may remain correct while probability mass already…

This paper presents a novel one-factor stochastic volatility model where the instantaneous volatility of the asset log-return is a diffusion with a quadratic drift and a linear dispersion function. The instantaneous volatility mean reverts…

In the LIBOR era, banks routinely tied revolving credit facilities to credit-sensitive benchmarks. This study assesses the Across-the-Curve Credit Spread Index (AXI) -- a transparent, transaction-based measure of wholesale bank funding…

The Bass Local Volatility Model (Bass-LV), as studied in [Conze and Henry-Labordere, 2021], stands out for its ability to eliminate the need for interpolation between maturities. This offers a significant advantage over traditional LV…

Volatility estimation is a central problem in financial econometrics, but becomes particularly challenging when jump activity is high, a phenomenon observed empirically in highly traded financial securities. In this paper, we revisit the…

Feedforward computation, such as evaluating a neural network or sampling from an autoregressive model, is ubiquitous in machine learning. The sequential nature of feedforward computation, however, requires a strict order of execution and…