Generative neural network simulates characteristic functions.
problem Simulating from characteristic functions inaccessible in closed form.
method Generative neural network with Maximum-Mean-Discrepancy loss.
result Universal algorithm independent of dimensionality and function properties.
Optimal portfolios are formed by combining momentum, size, and volatility characteristics, enhancing utility for all investors.
problem Estimation error in forming optimal portfolios from characteristics.
method Maximizing an in-sample loss function that is more concave than the utility function, linking weights to characteristics.
result Optimal portfolios with significantly higher certainty equivalents than benchmarks for all investors.
Proposes a new method to describe graph vertex features using characteristic functions.
problem Describing the distribution of vertex features at multiple scales on graphs.
method Introduces FEATHER, a computationally efficient algorithm to calculate characteristic functions based on random walk transition probabilities.
result Demonstrates that the proposed method creates high-quality graph representations and is robust to data corruption.
Proves a generalized table theorem for odd Euler characteristic surfaces.
problem Proving a generalized table theorem for surfaces with odd Euler characteristic.
method Using the square peg problem for smooth curves, the result is generalized to real valued functions on Riemannian surfaces with odd Euler characteristic.
result Proves the table conjecture for even functions on the two sphere.
In this note, we derive the characteristic function expansion for logarithm of the underlying asset price in corrected Heston model as proposed by Fouque and Lorig.
We discuss a notion of integration with respect to the Euler characteristic in the projectivization $¶{\cal O}_{\C^n,0}$ of the ring ${\cal O}_{\C^n,0}$ of germs of functions on Cn and show that the Alexander polynomial and the zeta-function of a plane curve singularity can be expressed as certain integrals over $¶{…
We derive a higher-order expansion for rough volatility models.
problem Characterizing and estimating rough volatility models.
method Higher-order asymptotic expansion of characteristic functions.
result Distinct roles of rough and jump dynamics in volatility.
The paper simulates Lévy processes and their extremum and hitting time.
problem Simulating Lévy processes and their extremum and hitting time accurately and efficiently.
method Using characteristic functions and conditional characteristic functions, with conformal deformations and precalculated values on multi-grids.
result Accurate and fast simulation of Lévy processes and their extremum and hitting time.
We review the complex differential geometry of the space of oriented affine lines in R3 and give a description of Hamilton's characteristic functions for reflection in an oriented C1 surface in terms of this geometry.
The CGMY model's ATM call-price asymptotics are derived using characteristic function.
problem Deriving short-time asymptotics for the CGMY model's ATM call prices.
method Using the characteristic function, derived short-time asymptotics for the CGMY model's ATM call prices. Extracted higher-order coefficients by dynamic cutoff partitioning.
result Higher-order coefficients are derived for the CGMY model's ATM call prices.
Study provides explicit pricing formula for options with volatility dependent on short rate.
problem Pricing European options with volatility dependent on short rate.
method Developed a class of models with explicit pricing formula using characteristic functions.
result Explicit pricing formula for European options is derived.
For any connected component H0 of the space of real meromorphic functions we build a compactification N(H0) of the space H0. Then we express the Euler characteristics of the spaces H0 and N(H0) in terms of topological invariants of functions from H0.
A new method assigns anomaly scores to features for better interpretation.
problem Interpreting anomaly scores from feature attributions.
method Proposes a characteristic function to attribute anomaly scores using Shapley value.
result Demonstrates the potential utility of the proposed attribution methods.
In mathematical finance and other applications of stochastic processes, it is frequently the case that the characteristic function may be known but explicit forms for density functions are not available. The simulation of any distribution is greatly facilitated by a knowledge of the quantile function, by which uniforml…
Simplified proof of Gaussian concentration inequality using covariance.
problem Gaussian concentration inequality proof
method Covariance representation based on characteristic functions
result Elementary proof of Gaussian concentration inequality
Unified method for calculating financial option prices from characteristic functions.
problem Calculating financial option prices from characteristic functions in high dimensions.
method Damped Fourier-cosine expansion (COS) method.
result The method converges exponentially if the characteristic function decays exponentially.
A new method for fair classification using characteristic function distance.
problem Fairness in high-stakes decision-making with sensitive groups.
method Proposes a novel approach based on characteristic function distance to ensure minimal sensitive information in learned representations.
result Consistently matches or achieves better fairness and predictive accuracy than existing methods.
Given an oriented link in the 3-sphere, the Euler characteristic of its link Floer homology is known to coincide with its multivariate Alexander polynomial, an invariant only defined up to a sign and powers of the variables. In this paper, we get rid of this ambiguity by proving that this Euler characteristic is equal …
Paper presents characteristic function of Tsallis q-Gaussian and its applications.
problem Modeling input quantities in measurement models using Tsallis q-Gaussians.
method Developed a characteristic function and proposed a numerical method for its inversion.
result Exact probability distribution of output quantities can be determined.
The paper computes characteristic classes for Lie group representations.
problem Computing characteristic classes for Lie group representations.
method The paper outlines a procedure to compute characteristic classes of irreducible representations of Lie groups, expressing them as polynomial functions in the highest weight.
result The paper expresses characteristic classes of Lie group representations as polynomial functions in the highest weight.
Demand functions for goods are generally cyclical in nature with characteristics such as trend or stochasticity. Most existing demand forecasting techniques in literature are designed to manage and forecast this type of demand functions. However, if the demand function is lumpy in nature, then the general demand foreca…
This paper extends Markovian projections to semimartingales with jumps.
problem Extending Markovian projections to semimartingales with jumps.
method Using Markovian projections to match marginal laws of Itô semimartingales with jumps.
result Existence of Markovian projections for Itô semimartingales with jumps.
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Lévy-type martingale. This class of models allows for a local volatility, local default intensity and a locally dependent Lévy measure. We present a pricing method for Bermudan options based on an analytical approximatio…
Revisits SWIFT method for option pricing using Shannon wavelets.
problem Improving option pricing under known characteristic functions.
method SWIFT method based on Shannon wavelets.
result Exposes drawbacks and discusses improvements.
It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and implied volatilities. However, due to the non-Markovian nature of the fractional Br…
A new method learns noise characteristics for better state estimation in real-time systems.
problem Challenges in accurately estimating states due to uncertainty in process and measurement models.
method Proposes a learning-based approach with different loss functions to identify noise characteristics.
result Demonstrates improved performance in real-time vehicle state estimation.
Study of symplectically flat connections and their functionals on smooth manifolds.
problem Understanding symplectically flat connections and their functionals on smooth manifolds.
method Extend symplectically flat connections to ζ-flat connections, introduce functionals with zeroes as symplectically flat connections, study critical points of these functionals, describe characteristic classes of ζ-flat bundles. result Novel geometric flows and characteristic classes of ζ-flat bundles are described. Study of Markov-modulated affine processes for richer models in finance.
problem Richer models in various applications.
method Martingale problem approach, characteristic function derivation, mathematical properties study.
result Existence and characteristic function of Markov-modulated affine processes.
The possibility of the global Lagrangian reduction of a mechanical system with symmetry is shown to be connected with the characteristic class of a principal fiber bundle of the configuration space over the factor manifold. It is proved that the reduced system is globally Lagrangian if and only if the product of the mo…
Polynomial bound on surfaces in hyperbolic 3-manifolds.
problem Bounding the number of surfaces in hyperbolic 3-manifolds.
method Using polynomial functions of the volume of the manifold and the Euler characteristic.
result An upper bound for the number of compact essential surfaces is a polynomial function of the volume of the manifold.
Time-subordinated Brownian motion models improve financial market stochastic distribution.
problem Improving stochastic distribution modeling in financial markets.
method Fourier theory and methodology for time-subordinated Brownian motion models, extending real domain to complex plane.
result Characterization and direct study of stochastic time-change from full process.
Implicit Generative Models (IGMs) such as GANs have emerged as effective data-driven models for generating samples, particularly images. In this paper, we formulate the problem of learning an IGM as minimizing the expected distance between characteristic functions. Specifically, we minimize the distance between charact…
The Conclusive Theorem has been established to determine the dependence of the three-axes positive-definite Finsleroid metric functions F on the Finsleroid azimuthal angle θ in the three-dimensional case N=3, provided that the condition of the angle-separation in the involved characteristic functions is implied. …
Model-free expression for SSR derived in terms of characteristic function.
problem Calculating the skew-stickiness-ratio (SSR) in financial markets.
method Model-free expression using characteristic function, focusing on diffusion and affine forward variance cases.
result General formula for SSR simplifies and becomes particularly tractable in affine forward variance cases, with a limit of H+3/2 for short-term limit. The study describes Nijenhuis operators with specific properties.
problem Characterizing Nijenhuis operators with functional independence and determinant constraints.
method Proving the general form and describing the specific case of Nijenhuis operators.
result Complete description of Nijenhuis operators with nondegenerate determinant.
It is well known that a foliation F of a smooth manifold M gives rise to a rich cohomological theory, its characteristic (i.e., leafwise) cohomology. Characteristic cohomologies of F may be interpreted, to some extent, as functions on the space P of integral manifolds (of any dimension) of the characteristic distributi…
The paper proposes a novel tensor-based method for non-parametric density estimation.
problem Effective non-parametric density estimation in high-dimensional multivariate data.
method Tensor factorization and low-rank model of characteristic tensor for improved density estimation.
result The method significantly improves density estimation especially for high-dimensional data and/or sample-starved regimes.
New proof confirms operations on constructible functions match theory.
problem Matching operations on constructible functions with generalized valuations theory.
method Comparison with characteristic cycles approach.
result Operations on constructible functions match generalized valuations theory under mild assumptions.
Study examines implied volatility behavior in Bachelier model.
problem Characterizing implied volatility in Bachelier model for large strikes.
method Exploiting regular variation theory, derived explicit expressions for Bachelier implied volatility.
result Established a rigorous connection between characteristic function analyticity and volatility smile asymptotic slope.
Solves Einstein vacuum equations gluing problem for close Minkowski data.
problem Solving the characteristic gluing problem for Einstein vacuum equations.
method Derived infinite-dimensional and 10-dimensional gauge-dependent and gauge-invariant charges; constructed null lapse function and conformal geometry.
result Obstructions to gluing problem are gauge-dependent charges, modulo gauge-invariant charges.
We derive asymptotic expansions for option data to detect infinite variation volatility.
problem Detecting infinite variation volatility in high-frequency option data.
method Nonparametric higher-order asymptotic expansions for small-time changes of characteristic functions of Itô semimartingales.
result Evidence of infinite variation volatility in high-frequency option data.
A new GAN model uses characteristic functions to improve image generation.
problem Improving stability and diversity in GANs for complex distributions.
method Integrates characteristic functions to compare distributions directly, stabilizes training, and uses auto-encoder structure.
result Proposes RCF-GAN achieving superior image generation and reconstruction.
Study characteristic classes for TC structures on principal G-bundles.
problem Classifying principal G-bundles with TC structures.
method Algebraic-geometric construction using power maps on BcomG. result Construction of characteristic classes for TC structures on SU(n), U(n), and Sp(n) bundles. Study robust utility maximization with uncertain continuous semimartingales.
problem Maximizing utility in continuous time under model uncertainty.
method Duality and conjugate problems for logarithmic, exponential, and power utilities.
result Existence of optimal portfolios for various utilities.
In this paper, we will discuss an approximation of the characteristic function of the first passage time for a Levy process using the martingale approach. The characteristic function of the first passage time of the tempered stable process is provided explicitly or by an indirect numerical method. This will be applied …
In [2] M. Farber constructed invariants of m-component boundary links with values in algebra of noncommutative rational functions. In this paper we simplify his constructions and express them by using noncommutative generalizations of determinants introduced by Gelfand and Retakh. In particular, for every finite-dimens…
Analyzes a finite set of metrics and functions to determine manifold torsion.
problem Determining the torsion of a manifold from a finite set of metrics and functions.
method Introduces a finite set of analytic quantities derived from a Riemannian metric and Morse function, which determine the torsion of the manifold.
result The virtually small spectral package determines the torsion of the manifold, analogous to calculating the Euler-Poincaré characteristic.
CCs learn high-dimensional distributions from heterogeneous data.
problem Learning high-dimensional distributions from heterogeneous data.
method Introducing characteristic circuits (CCs) that learn from data and use spectral domain.
result CCs outperform state-of-the-art density estimators on common benchmark data sets.