相关论文: From Arbitrage Removal to Density Extraction: A Mo…

Energy-Based Models (EBMs) allow for extremely flexible specifications of probability distributions. However, they do not provide a mechanism for obtaining exact samples from these distributions. Monte Carlo techniques can aid us in…

We solve the problem of super-hedging European or Asian options for discrete-time financial market models where executable prices are uncertain. The risky asset prices are not described by single-valued processes but measurable selections…

The paper presents a novel learning-based sampling strategy that guarantees rejection-free sampling of the free space under both biased and approximately uniform conditions, leveraging multivariate kernel densities. Historical data from a…

We propose a two-step framework for predicting the implied volatility surface over time without static arbitrage. In the first step, we select features to represent the surface and predict them over time. In the second step, we use the…

We present the framework of slowly varying regression under sparsity, allowing sparse regression models to exhibit slow and sparse variations. The problem of parameter estimation is formulated as a mixed-integer optimization problem. We…

We present an ``equation-free'' multiscale approach to the simulation of unsteady diffusion in a random medium. The diffusivity of the medium is modeled as a random field with short correlation length, and the governing equations are cast…

We study the construction of arbitrage-free option price surfaces from noisy bid-ask quotes across strike and maturity. Our starting point is a Chebyshev representation of the call price surface on a warped log-moneyness/maturity rectangle,…

Linear sketching and recovery of sparse vectors with randomly constructed sparse matrices has numerous applications in several areas, including compressive sensing, data stream computing, graph sketching, and combinatorial group testing.…

A one dimensional disordered particle hopping rate asymmetric exclusion process (ASEP) with open boundaries and a random sequential dynamics is studied analytically. Combining the exact results of the steady states in the pure case with a…

We present a collection of algorithms which utilize dimensional reduction to perform mesh refinement and study possibly singular solutions of time-dependent partial differential equations. The algorithms are inspired by constructions used…

Extracting market expectations has always been an important issue when making national policies and investment decisions in financial markets. In option markets, the most popular way has been to extract implied volatilities to assess the…

The problem of channel coding with the erasure option is revisited for discrete memoryless channels. The interplay between the code rate, the undetected and total error probabilities is characterized. Using the information spectrum method,…

In ultrahigh dimensional setting, independence screening has been both theoretically and empirically proved a useful variable selection framework with low computation cost. In this work, we propose a two-step framework by using marginal…

We consider the classical problem of building an arbitrage-free implied volatility surface from bid-ask quotes. We design a fast numerical procedure, for which we prove the convergence, based on the Sinkhorn algorithm that has been recently…

As operators acting on the undetermined final settlement of a derivative security, expectation is linear but price is non-linear. When the market of underlying securities is incomplete, non-linearity emerges from the bid-offer around the…

The challenges posed by complex stochastic models used in computational ecology, biology and genetics have stimulated the development of approximate approaches to statistical inference. Here we focus on Synthetic Likelihood (SL), a…

Analysing stationary point databases to extract phenomenological rate constants can become time-consuming for systems with large potential energy barriers. In the present contribution we analyse several different approaches to this problem.…

With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (SOFR) in the U.S. and the Euro Short-Term Rate (\euro STR)…

Ensembles of decision trees are a useful tool for obtaining for obtaining flexible estimates of regression functions. Examples of these methods include gradient boosted decision trees, random forests, and Bayesian CART. Two potential…

The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…