相关论文: Unifying the BGM and SABR Models: A short Ride in …
Efficient modeling of relational data arising in physical, social, and information sciences is challenging due to complicated dependencies within the data. In this work, we build off of semi-implicit graph variational auto-encoders to…
We study abelian lattice gauge theory defined on a simplicial complex with arbitrary topology. The use of dual objects allows one to reformulate the theory in terms of new dynamical variables; however, we avoid the use of the dual lattice…
We consider a renormalizable extension of the minimal supersymmetric standard model endowed by an R and a gauged B - L symmetry. The model incorporates chaotic inflation driven by a quartic potential, associated with the Higgs field which…
We present small-time implied volatility asymptotics for Realised Variance (RV) and VIX options for a number of (rough) stochastic volatility models via large deviations principle. We provide numerical results along with efficient and…
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the…
We introduce the framework of modular inflation with level structure, generalizing the level one theory considered previously to higher levels. We analyze the modular structure of CMB observables in this framework and show that the…
Using methods from symplectic topology, we prove existence of invariant variational measures associated to the flow $\phi_H$ of a Hamiltonian $H\in C^{\infty}(M)$ on a symplectic manifold $(M,\omega)$. These measures coincide with Mather…
We present a new proof of the existence of normally hyperbolic manifolds and their whiskers for maps. Our result is not perturbative. Based on the bounds on the map and its derivative, we establish the existence of the manifold within a…
The non-abelian generalization of the Born-Infeld non-linear lagrangian is extended to the non-commutative geometry of matrices on a manifold. In this case not only the usual SU(n) gauge fields appear, but also a natural generalization of…
In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the classical constraints on marginal distributions at initial…
In this paper, we present a purely algebraic formulation of higher gauge theory and gauged sigma models based on the abstract theory of graded commutative algebras and their morphisms. The formulation incorporates naturally BRST symmetry…
In the context of instanton method for stochastic system this paper purposes a modification of the arclength parametrization of the Hamilton's equations allowing for an arbitrary instanton speed. The main results of the paper are: (i) it…
Understanding the implicit bias of optimization algorithms is key to explaining and improving the generalization of deep models. The hyperbolic implicit bias induced by pointwise overparameterization promotes sparsity, but also yields a…
We consider supersymmetric shifted hybrid inflation models with a red tilted scalar spectral index n_s in agreement with the WMAP 7-yr central value. If non-minimal supergravity corrections are included, these models can also support a…
We consider asset price models whose dynamics are described by linear functions of the (time extended) signature of a primary underlying process, which can range from a (market-inferred) Brownian motion to a general multidimensional…
We analyze the qualitative differences between prices of double barrier no-touch options in the Heston model and pure jump KoBoL model calibrated to the same set of the empirical data, and discuss the potential for arbitrage opportunities…
Development of next-generation electronic devices for applications call for the discovery of quantum materials hosting novel electronic, magnetic, and topological properties. Traditional electronic structure methods require expensive…
Examples of scalar conserved currents are presented for trigonometric, hyperbolic and elliptic versions of the Hubbard model with non-nearest neighbour variable range hopping. They support for the first time the hypothesis about the…
The curvature and the reduced curvature are basic differential invariants of the pair (Hamiltonian system, Lagrange distribution) on the symplectic manifold. It is shown that the negativity of the reduced curvature implies the hyperbolicity…
We consider a renormalizable extension of the minimal supersymmetric standard model (MSSM) endowed by an R and a gauged B - L symmetry. The model incorporates chaotic inflation driven by a quartic potential, associated with the Higgs…