A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Adaptive Multilevel Splitting improves rare event pricing for financial derivatives.
New estimator for digital options using path splitting and MLMC.
Improved multilevel scheme for value-at-risk computation.
We study the use of the multilevel Monte Carlo technique in the context of the calculation of Greeks. The pathwise sensitivity analysis differentiates the path evolution and reduces the payoff's smoothness. This leads to new challenges: the inapplicability of pathwise sensitivities to non-Lipschitz payoffs often makes …
We develop a multilevel approach to compute approximate solutions to backward differential equations (BSDEs). The fully implementable algorithm of our multilevel scheme constructs sequential martingale control variates along a sequence of refining time-grids to reduce statistical approximation errors in an adaptive and…
We investigate the extension of the multilevel Monte Carlo path simulation method to jump-diffusion SDEs. We consider models with finite rate activity, using a jump-adapted discretisation in which the jump times are computed and added to the standard uniform dis- cretisation times. The key component in multilevel analy…
Adaptive Multilevel Monte Carlo improves probability estimation for complex random variables.
Review of MLMC in financial engineering, focusing on option pricing and risk management.
With the advent of massive data sets much of the computational science and engineering community has moved toward data-intensive approaches in regression and classification. However, these present significant challenges due to increasing size, complexity and dimensionality of the problems. In particular, covariance mat…
A new training method uses multilevel minimization for machine learning.
Sparse representations using overcomplete dictionaries have proved to be a powerful tool in many signal processing applications such as denoising, super-resolution, inpainting, compression or classification. The sparsity of the representation very much depends on how well the dictionary is adapted to the data at hand. …
Flexible framework assesses multilevel data group heterogeneity.
Automates kernel discovery for longitudinal data analysis.
Detects anomalies in vector fields without distributional assumptions.
We investigate the problem of computing a nested expectation of the form where is the Heaviside function. This nested expectation appears, for example, when estimating the probability of a large loss from a financial portfo…
A new multilevel framework speeds up ResNet training.
In the past decade, Bitcoin as an emerging asset class has gained widespread public attention because of their extraordinary returns in phases of extreme price growth and their unpredictable massive crashes. We apply the log-periodic power law singularity (LPPLS) confidence indicator as a diagnostic tool for identifyin…
A multilevel optimization method for constrained problems.
Since Giles introduced the multilevel Monte Carlo path simulation method [18], there has been rapid development of the technique for a variety of applications in computational finance. This paper surveys the progress so far, highlights the key features in achieving a high rate of multilevel variance convergence, and su…
Develops a fast algorithm for fitting multilevel factor models.
Accelerates MCMC sampling for large-scale problems using machine learning.
In this short note we provide an unbiased multilevel Monte Carlo estimator of the log marginal likelihood and discuss its application to variational Bayes.
Simulation study evaluates tree-based imputation methods for multi-level data.
We propose a variance reduction framework for variational inference using the Multilevel Monte Carlo (MLMC) method. Our framework is built on reparameterized gradient estimators and "recycles" parameters obtained from past update history in optimization. In addition, our framework provides a new optimization algorithm …
We derive generalization and excess risk bounds for neural nets using a family of complexity measures based on a multilevel relative entropy. The bounds are obtained by introducing the notion of generated hierarchical coverings of neural nets and by using the technique of chaining mutual information introduced in Asadi…
Paper proposes a new algorithm to reduce derivative pricing computation time.
The paper discusses building ETF risk models using a multilevel classification taxonomy.
A method learns to solve multilevel combinatorial problems with two players.
In this paper, we are interested in the strong convergence properties of the Ninomiya-Victoir scheme which is known to exhibit weak convergence with order 2. We prove strong convergence with order . This study is aimed at analysing the use of this scheme either at each level or only at the finest level of a multil…
Improved Bayesian regression for large datasets using multilevel Gibbs sampling.
New neural network models speed up Bayesian multilevel modeling.
Unbiased method for Bayesian posterior means using kinetic Langevin dynamics.
Enhances SBI accuracy with multilevel Monte Carlo for expensive simulators.
Efficiently price VIX options using multilevel Monte Carlo in rough Bergomi model.
Deep learning models exhibit state-of-the-art performance for many predictive healthcare tasks using electronic health records (EHR) data, but these models typically require training data volume that exceeds the capacity of most healthcare systems. External resources such as medical ontologies are used to bridge the da…
SBAMDT uses adaptive soft splits to model complex decision boundaries.
The multilevel Monte Carlo path simulation method introduced by Giles ({\it Operations Research}, 56(3):607-617, 2008) exploits strong convergence properties to improve the computational complexity by combining simulations with different levels of resolution. In this paper we analyse its efficiency when using the Milst…
We propose a novel probabilistic approach to multilevel clustering problems based on composite transportation distance, which is a variant of transportation distance where the underlying metric is Kullback-Leibler divergence. Our method involves solving a joint optimization problem over spaces of probability measures t…
This work is motivated by the needs of predictive analytics on healthcare data as represented by Electronic Medical Records. Such data is invariably problematic: noisy, with missing entries, with imbalance in classes of interests, leading to serious bias in predictive modeling. Since standard data mining methods often …
Monte Carlo is a simple and flexible tool that is widely used in computational finance. In this context, it is common for the quantity of interest to be the expected value of a random variable defined via a stochastic differential equation. In 2008, Giles proposed a remarkable improvement to the approach of discretizin…
Proposes a method for multilevel explanations of black-box models.
We apply multilevel Monte Carlo for option pricing problems using exponential Lévy models with a uniform timestep discretisation to monitor the running maximum required for lookback and barrier options. The numerical results demonstrate the computational efficiency of this approach. We derive estimates of the convergen…
Model trains passing events on a bridge using multilevel Gaussian process.
Low regularity spacetimes split into simpler structures.
A new adaptive splitting method improves accuracy for Cox-Ingersoll-Ross model.
In this paper we introduce a new multilevel Monte Carlo (MLMC) estimator for multi-dimensional SDEs driven by Brownian motions. Giles has previously shown that if we combine a numerical approximation with strong order of convergence with MLMC we can reduce the computational complexity to estimate expected value…
Improves decision tree performance by correcting split selection errors.
In medical domain, data features often contain missing values. This can create serious bias in the predictive modeling. Typical standard data mining methods often produce poor performance measures. In this paper, we propose a new method to simultaneously classify large datasets and reduce the effects of missing values.…