Machine learning speeds BSM data interpretation at LHC.
problem Challenging to scan high-dimensional BSM theories due to expensive simulations.
method Machine learning to predict BSM theory parameters from data.
result Predicts natural SUSY events up to 4 orders of magnitude faster.
Proposes a new way to represent uncertainty using implied volatility.
problem Uncertainty in financial markets and biological systems.
method Mathematical analysis of various probability distributions.
result Representation of different probability distributions using BSM implied volatility.
The paper explores various option pricing models by considering the volume of transactions and its impact on volatility.
problem The classical BSM model's assumption of identical Brownian processes for value and volume of transactions is challenged.
method The paper derives and analyzes 2D, 3D, and nonlinear BSM-like equations by considering the volume of transactions and agents' expectations.
result The introduction of volume into option pricing models leads to more complex and accurate equations.
ETCNN uses neural networks to price American options accurately.
problem Accurately pricing American options with inequality constraints.
method ETCNN framework solving BSM equations with exact terminal condition.
result ETCNN achieves high accuracy and robustness across various scenarios.
New model for options pricing accounting for time-varying interest rates, volatility, and equity premium.
problem Inaccuracies in Black-Scholes-Merton model for real market conditions.
method Integrates stochastic variance, interest rates, and equity premium into a PDE framework.
result Derives new PDEs and approximates option prices using finite difference methods.
This note studies the behavior of an index I_t which is assumed to be a tradable security, to satisfy the BSM model dI_t/I_t = μdt + σdW_t, and to be efficient in the following sense: we do not expect a prespecified trading strategy whose value is almost surely always nonnegative to outperform the index greatly. The ef…
The CEV model is solved for half-integer values of elasticity of volatility.
problem Solving the CEV model for specific values of elasticity of volatility.
method Using Kovacic's algorithm to derive solutions in quadratures.
result Derives four classes of elementary function solutions for half-integer values of b.
Study evaluates hedging strategies for S&P500 index options.
problem Improving returns and risk management in index option portfolios.
method Compared Black-Scholes-Merton and Variance-Gamma models for hedging strategies.
result Systematic option-writing strategies can yield superior returns compared to buy-and-hold benchmarks.
Unified method for efficient pricing of multivariate options.
problem Efficient pricing of complex financial options under multivariate models.
method Unified method using quadrature integration of multi-asset BSM prices, state space rotation.
result Unified method provides accurate and efficient pricing for basket, spread, and Asian options.
A motivating question in this paper is whether a sensible investment strategy may systematically contain long positions in out-of-the-money European calls with short expiry. Here we consider a very simple trading strategy for calls. The main points of this note are the following. First, the presented trading strategy a…
The paper improves energy contract pricing models by incorporating jumps and varying parameters.
problem Inaccurate pricing of energy contracts using the Black-Scholes-Merton model.
method Integrates regime switching and time-changed Levy processes with a two-state Markov chain.
result Improved accuracy in pricing energy contracts through a new model.
Deep model improves option pricing for CSI 300 index with sentiment and volatility features.
problem Challenges in real market option pricing, especially with constant volatility assumption.
method Deep Forward-Backward Stochastic Differential Equation (FBSDE) framework with dual-network architecture.
result Significant reduction in MAE and MAPE compared to BSM model.
The paper confirms a conjecture about optimal expected utility in markets with insider information.
problem Optimal expected utility in markets with insider information.
method An extension of the Black-Scholes-Merton model with a sequence of discrete-time economies.
result Optimal expected utility converges to the classic model when conditions are met.
The paper confirms a conjecture about optimal expected utility in discrete-time markets approaching a continuous-time model.
problem Analyzing the convergence of optimal expected utility in discrete-time markets to a continuous-time model.
method Examined a sequence of discrete-time economies generated by scaled random walks, and compared their optimal expected utilities to the continuous-time Black-Scholes-Merton model.
result The conjecture holds for utility functions with asymptotic elasticity strictly less than one, but fails for elasticity equal to one.
Enhances option pricing with fractional order Black-Scholes-Merton model.
problem Improving precision and authenticity of option pricing.
method Integrates fractional order Black-Scholes-Merton with neural networks.
result Improves accuracy in capturing complex diffusion dynamics and memory effects.
A Q-Learner model for discrete-time option pricing.
problem Discrete-time option pricing and hedging in financial markets.
method Reinforcement Learning (Q-Learning) applied to a discrete-time Black-Scholes-Merton model.
result The model learns to price and hedge options directly from data, without explicit models.
Simplified approach to pricing derivatives using static hedging.
problem Pricing path-dependent and European-style derivatives in the CRR model.
method Static hedging arguments, Arrow-Debreu securities, digital options, backward random processes.
result Introduction of an infinite state space extension leading to new phenomena.
The study models credit risk using Merton's framework and binomial trees.
problem Credit risk pricing and implied volatility estimation.
method Calibrated using Merton's structural model, with asset volatility derived from Black-Scholes-Merton. Implied mean return and probability surfaces constructed using a recombining binomial tree.
result Established a practical method for constructing implied credit surfaces.
Improved diffusion models for generative tasks without dimensionality constraints.
problem Sample complexity bounds for learning score functions in diffusion models.
method Dimension-free sample complexity bounds, martingale-based error decomposition, variance reduction technique (Bootstrapped Score Matching).
result Achieved a double exponential improvement in sample complexity over prior results.
Expands QLBS model with NuQLear topics, improving option pricing and hedging.
problem Improving option pricing and hedging using Q-Learning and RL.
method Fitted Q Iteration, Inverse Reinforcement Learning, and portfolio analysis.
result NuQLear outperforms traditional methods in option pricing and hedging.
A new approach to hedging using contextual bandit models outperforms traditional methods.
problem Effective replication of financial contracts in incomplete markets with low transaction costs.
method Viewing hedging as a contextual k-armed bandit problem, using reinforcement learning. result The contextual bandit model provides more accurate and sample-efficient hedging than Q-learning. Discrete Morse-Bott theory on CW complexes generalizes Forman's theory.
problem No specific problem stated; focuses on theory development.
method Derived a discrete Morse-Bott theory on CW complexes.
result Discrete Morse-Bott theory is a generalization of Forman's theory.
The paper connects function theory, dynamics, and ergodic theory via Thurston's theory.
problem Function theory on Teichmüller space and dynamics of mapping class groups.
method Utilizes Thurston's theory and Sullivan's theory on discrete subgroups of hyperbolic space.
result Establishes connections between function theory, dynamics, and ergodic theory.
Survey of Floer theories and their connections.
problem None explicitly stated; focuses on surveying theories.
method None explicitly stated; focuses on surveying theories.
result None explicitly stated; focuses on surveying theories.
New homology theory for semi-groups with specific properties.
problem Developing a homology theory for semi-groups with self-distributivity or idempotency.
method Constructing a new homology theory and comparing it with existing theories.
result Comparison and connections with rack homology and knot theory.
New classes from 4D gauge theories.
problem Constructing characteristic classes for 4-manifold bundles.
method Using SO(3)-Yang-Mills theory and Seiberg-Witten theory for families. result Characteristic classes of 4-manifold bundles constructed.
Lectures on topological field theories and differential cohomology.
problem Exploring topological field theories and their connections to differential cohomology.
method Introduction to topological field theory and generalized Abelian gauge theories.
result Explains the relationship between topological field theories and differential cohomology.
New theory couples Chern-Simons to matter, topological.
problem Developing a new topological theory in 3D.
method Coupling Chern-Simons to matter, using transverse holomorphic foliation.
result The theory is equivalent to an N=2 supersymmetric Chern-Simons matter theory.
The paper defines strong emergence in field theories and proves it exists between certain theories.
problem Defining and proving the existence of strong emergence phenomena between field theories.
method Formal definition and sufficient conditions for emergence, proving existence in Euclidean background.
result Strong emergence exists between certain parameterized Lagrangian field theories.
Topological string theory derived from string geometry for non-perturbative effects.
problem Deriving non-perturbative effects in string theory.
method Formulating topological string geometry theory and deriving the partition function from fluctuations around a classical solution.
result Perturbative partition function of topological string theory derived.
New cohomology theory for Lie 2-algebras extends classical theory.
problem Classical cohomology theory limitations for Lie 2-algebras.
method Introduced a new cohomology theory for Lie 2-algebras.
result Second cohomology group classifies extensions of Lie 2-algebras.
Researchers solve M-theory's gauge enhancement problem using advanced homotopy theory.
problem Lift nonabelian gauge fields from D-branes to M-theory.
method Universal constructions in super homotopy theory, focusing on the cyclification adjunction and fiberwise stabilization.
result Gauge enhancement in M-theory is explained by lifting against the fiberwise stabilization of the unit of the cyclification adjunction.
Unified Higgs bundle vacua from M-theory on Spin(7) spaces.
problem Unifying Higgs bundle vacua from different string compactifications.
method Developed formalism for M-theory on local Spin(7) spaces and constructed explicit solutions.
result Unified 3D effective field theory from 4D M- and F-theory vacua.
This is the first paper in a series introducing a generalized Fredholm theory in a new class of smooth spaces called polyfolds. The theory will be illustrated in upcoming papers by applications to Floer Theory, Gromov-Witten Theory and Symplectic Field Theory.
Researchers find new G2-conifolds in M-theory with potential field theory duals.
problem Exploring the field theory interpretation of M-theory G2-conifolds. method Constructing G2-holonomy orbifolds from circle bundles over Calabi-Yau cones. result Many UV perturbative gauge theories have an infrared dual described by smooth G2-holonomy backgrounds in M-theory. We survey three different ways in which K-theory in all its forms enters quantum field theory. In Part 1 we give a general argument which relates topological field theory in codimension two with twisted K-theory, and we illustrate with some finite models. Part 2 is a review of pfaffians of Dirac operators, anomalies, a…
New theory captures framing anomaly in gauge theory.
problem Capturing framing anomaly in gauge theory.
method Constructs a relative Crane-Yetter theory from non-semisimple data.
result Establishes invertibility property for the theory.
Researchers compute K-theory for cohomogeneity-one actions.
problem Computing equivariant K-theory for cohomogeneity-one actions.
method Equivariant homotopy theory, representation theory, Lie theory.
result Derived generators and relations for K-theory ring.
Distributivity in algebraic structures appeared in many contexts such as in quasigroup theory, semigroup theory and algebraic knot theory. In this paper we give a survey of distributivity in quasigroup theory and in quandle theory.
Survey on algebraic K- and L-theory conjecture.
problem Algebraic K- and L-theory of groups rings.
method Not specified in the abstract, likely involves algebraic and geometric approaches.
result Applications to algebra, geometry, group theory, and topology.
Study pin manifolds using Clifford linear Dirac operator and KO-theory.
problem Index theory on Pin manifolds.
method Clifford linear Dirac operator and differential KO-theory.
result Systematic treatment of index theory on Pin manifolds.
Main mathematical applications of Frobenius manifolds are in the theory of Gromov - Witten invariants, in singularity theory, in differential geometry of the orbit spaces of reflection groups and of their extensions, in the hamiltonian theory of integrable hierarchies. The theory of Frobenius manifolds establishes rema…
String theory connects lattice models, links, and geometric Langlands.
problem Connecting lattice models, links, and geometric Langlands.
method T-duality and worldvolume theories in string theory.
result Unified understanding of various mathematical concepts.
Quantum field theory uses Lorentzian bordisms to describe time evolution.
problem Describing the time evolution of quantum field theories.
method Defines a functorial field theory on Lorentzian bordism pseudo-category.
result Lorentzian bordisms naturally arise in algebraic quantum field theory.
Recent work connects Thompson's groups to knot theory.
problem Understanding knots and links through Thompson's groups.
method Review of recent research on Thompson group representations.
result Recent developments link Thompson's groups to knot theory.
This thesis proposes a global geometric formulation of Extended Field Theories.
problem Global understanding of Extended Field Theories remains an open problem.
method Introducing an atlas for the principal infinity-bundle, unifying metric and higher gauge field.
result Global abelian T-duality and Poisson-Lie T-duality are automatically recovered.
The paper quantizes hybrid topological-holomorphic field theories on RmimesCn.
problem Quantizing hybrid topological-holomorphic field theories rigorously.
method Constructing perturbative, one-loop quantizations on RmimesCn. result The one-loop obstruction to quantization vanishes when m≥1. 3D dual field theories for Virasoro minimal models constructed using Seifert fiber spaces.
problem Constructing 3D dual field theories for Virasoro minimal models.
method 3D-3D correspondence and Seifert fiber spaces.
result 3D dual field theories constructed for Virasoro minimal models.