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.
Study Asian option pricing under uncertain volatility, approximating prices with small volatility intervals.
The paper derives upper hedging prices for multivariate contingent claims using game-theoretic probability and submodularity.
We give an exposition and numerical studies of upper hedging prices in multinomial models from the viewpoint of linear programming and the game-theoretic probability of Shafer and Vovk. We also show that, as the number of rounds goes to infinity, the upper hedging price of a European option converges to the solution of…
Deep neural networks solve high-dimensional PDEs without explicit grids.
Model uncertainty is a type of inevitable financial risk. Mistakes on the choice of pricing model may cause great financial losses. In this paper we investigate financial markets with mean-volatility uncertainty. Models for stock markets and option markets with uncertain prior distribution are established by Peng's G-s…
New method solves high-dimensional PDEs and 2BSDEs efficiently.