Related papers: Implying Volatility: How Fast Can We Go?
Coordinating growing grid flexibility under uncertainty is becoming increasingly important for efficient and reliable power-system operation. A core computational requirement is the efficient large-scale batched evaluation of AC power flow…
This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular…
Financial markets based on L\'evy processes are typically incomplete and option prices depend on risk attitudes of individual agents. In this context, the notion of utility indifference price has gained popularity in the academic circles.…
This article presents an electron tunneling noise programmable random variate accelerator for accelerating the sampling stage of Monte Carlo simulations. We used the LiteX framework to generate a FemtoRV imfc RISC-V instruction set soft…
We model the cadence of AI product releases, i.e. quiet spells, reversible patches, and rarer pivots, as optimal exercise of strategic real options under reputational learning. A privately observed technical state follows a diffusion. The…
Vision-Language-Action (VLA) models have demonstrated remarkable generalization capabilities in robotic manipulation tasks, yet their substantial computational overhead remains a critical obstacle to real-world deployment. Improving…
We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the underlying forward price curves are modeled within the…
The integration of Inverter-Based Resource (IBR) model into phasor-domain short circuit (SC) solvers challenges their numerical stability. To address the challenge, this paper proposes a solver that improves numerical stability by employing…
We investigate the relation between the fair price for European-style vanilla options and the distribution of short-term returns on the underlying asset ignoring transaction and other costs. We compute the risk-neutral probability density…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
For a write request, today flash storage cannot distinguish the logical object it comes from. In such object-oblivious flash devices, concurrent writes from different objects are simply packed in their arrival order to flash memory blocks;…
In this paper, an error-controlled hybrid adaptive fast solver that combine both O(N) and O(N log N) scheme is proposed. For a given accuracy, the adaptive solver is used in the context of regularized vortex methods to optimize the speed of…
This paper develops a numerical procedure to accelerate the convergence of the Favre-averaged Non-Linear Harmonic (FNLH) method. The scheme provides a unified mathematical framework for solving the sparse linear systems formed by the mean…
Autoregressive large language models (LLMs) deliver strong performance but require inherently sequential decoding, leading to high inference latency and poor GPU utilization. Speculative decoding mitigates this bottleneck by using a fast…
This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by the volatility dynamics $dV_{t}=\kappa_{t}\left(\theta_{t}-V_{t}\right)dt+\lambda_{t}V_{t}dB_{t}$. This non-affine model is…
We present the development and benchmarking of an in-house fluid-structure interaction (FSI) solver. An implicit partitioned approach is utilized to couple a sharp-interface immersed boundary (IB) method based flow solver and a…
It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features. In this paper we assume that the asset…
Singular Value Decomposition (SVD) has recently seen a surge of interest as a simple yet powerful tool for large language models (LLMs) compression, with a growing number of works demonstrating 20-80% parameter reductions at minimal…
Edge AI deployment faces critical challenges balancing computational performance, energy efficiency, and resource constraints. This paper presents FPGA-accelerated RISC-V instruction set architecture (ISA) extensions for efficient neural…
In this paper we study the short-time behavior of the at-the-money implied volatility for European and arithmetic Asian call options with fixed strike price. The asset price is assumed to follow the Bachelier model with a general stochastic…