相关论文: On the Hull-White model with volatility smile for …

We explore a link between stochastic volatility (SV) and path-dependent volatility (PDV) models. Using assumed density filtering, we map a given SV model into a corresponding PDV representation. The resulting specification is lightweight,…

Feature selection from a large number of covariates (aka features) in a regression analysis remains a challenge in data science, especially in terms of its potential of scaling to ever-enlarging data and finding a group of scientifically…

Accurately modeling wind turbine wakes is essential for optimizing wind farm performance but remains a persistent challenge. While the dynamic wake meandering (DWM) model captures unsteady wake behavior, it suffers from near-wake…

We consider the problem of computing the Value Adjustment of European contingent claims when default of either party is considered, possibly including also funding and collateralization requirements. As shown in Brigo et al. (\cite{BLPS},…

We propose a randomised version of the Heston model-a widely used stochastic volatility model in mathematical finance-assuming that the starting point of the variance process is a random variable. In such a system, we study the small-and…

The paper studies estimation of parameters of diffusion market models from historical data. The standard definition of implied volatility for these models presents its value as an implicit function of several parameters, including the…

The paper demonstrates that a pure-diffusion 3/2 model is able to capture the observed upward-sloping implied volatility skew in VIX options. This observation contradicts a common perception in the literature that jumps are required for the…

Every "x"-adjustment in the so-called xVA financial risk management framework relies on the computation of exposures. Considering thousands of Monte Carlo paths and tens of simulation steps, a financial portfolio needs to be evaluated…

We propose a clustering method, funWeightClustSkew, based on mixtures of functional linear regression models and three skewed multivariate distributions: the variance-gamma distribution, the skew-t distribution, and the normal-inverse…

We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential L\'evy class of asset price models with jumps. We introduce a new renormalisation of the strike variable with the property that the…

Stochastic differential equation (SDE) models are the foundation for pricing and hedging financial derivatives. The drift and volatility functions in SDE models are typically chosen to be algebraic functions with a small number (less than…

In this paper, we propose a new method called Self-Training with Dynamic Weighting (STDW), which aims to enhance robustness in Gradual Domain Adaptation (GDA) by addressing the challenge of smooth knowledge migration from the source to the…

We derive necessary conditions for locally optimal shapes of a design problem governed by a non-smooth PDE. The main particularity of the state system is the lack of differentiability of the nonlinearity. We work in the framework of the…

We study the problem of learning the optimal control policy for fine-tuning a given diffusion process, using general value function approximation. We develop a new class of algorithms by solving a variational inequality problem based on the…

Vision-Language-Action (VLA) Models have become the mainstream solution for robot control, but suffer from slow inference speeds. Speculative Decoding (SD) is a promising acceleration method which can be divided into two categories:…

Transformers' quadratic computational complexity limits their scalability despite remarkable performance. While linear attention reduces this to linear complexity, pre-training such models from scratch remains, in most cases, prohibitively…

In practice, Wearable Human Activity Recognition (WHAR) models usually face performance degradation on the new user due to user variance. Unsupervised domain adaptation (UDA) becomes the natural solution to cross-user WHAR under annotation…

In this paper, we study the statistical properties of the moneyness scaling transformation by Leung and Sircar (2015). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the…

Human affective recognition is an important factor in human-computer interaction. However, the method development with in-the-wild data is not yet accurate enough for practical usage. In this paper, we introduce the affective recognition…

Multi-step stock price prediction over a long-term horizon is crucial for forecasting its volatility, allowing financial institutions to price and hedge derivatives, and banks to quantify the risk in their trading books. Additionally, most…