arXiv research

Effective dimensionality reduction improves accuracy and reduces costs in estimating option Greeks.

Recurrent tasks such as pricing, calibration and risk assessment need to be executed accurately and in real-time. Simultaneously we observe an increase in model sophistication on the one hand and growing demands on the quality of risk management on the other. To address the resulting computational challenges, it is nat…

Quantum computing speeds up Bermudan option pricing.

We seek to improve the data efficiency of neural networks and present novel implementations of parameterized piece-wise polynomial activation functions. The parameters are the y-coordinates of n+1 Chebyshev nodes per hidden unit and Lagrangian interpolation between the nodes produces the polynomial on [-1, 1]. We show …

A new method for computing Greeks without bias, improving stability.

Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately and in real-time. Among the growing literature addressing this problem, Gass et al…

The implied volatility is a crucial element of any financial toolbox, since it is used for quoting and the hedging of options as well as for model calibration. In contrast to the Black-Scholes formula its inverse, the implied volatility, is not explicitly available and numerical approximation is required. We propose a …

We introduce a new method to calculate the credit exposure of Bermudan, discretely monitored barrier and European options. Core of the approach is the application of the dynamic Chebyshev method of Glau et al. (2019). The dynamic Chebyshev method delivers a closed form approximation of the option prices along the paths…

The paper compares machine learning methods with traditional techniques for pricing and sensitivities of financial products with path-dependent structures.

The paper proposes using function approximations to reduce the computational burden in measuring counterparty credit exposure.

We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is that it allows to shift the model-dependent computations into an offline phase pri…

Financial institutions now face the important challenge of having to do multiple portfolio revaluations for their risk computation. The list is almost endless: from XVAs to FRTB, stress testing programs, etc. These computations require from several hundred up to a few million revaluations. The cost of implementing thes…

A Chebyshev knot is a knot which admits a parametrization of the form $x(t)=T_a(t); \ y(t)=T_b(t) ; \ z(t)= T_c(t + φ),$ where $a,b,c$ are pairwise coprime, $T_n(t)$ is the Chebyshev polynomial of degree $n,$ and $φ\in \RR .$ Chebyshev knots are non compact analogues of the classical Lissajous knots. We show that the…

Chebyshev steps improve convergence in deep-unfolded gradient descent.

The paper connects Chebyshev polynomials and Gram determinants on Möbius bands.

A Chebyshev knot ${\cal C}(a,b,c,φ)$ is a knot which has a parametrization of the form $x(t)=T_a(t); y(t)=T_b(t) ; z(t)= T_c(t + φ),$ where $a,b,c$ are integers, $T_n(t)$ is the Chebyshev polynomial of degree $n$ and $φ\in \R.$ We show that any two-bridge knot is a Chebyshev knot with $a=3$ and also with $a=4$. For e…

We report on the works of Euler and Chebyshev on the drawing of geographical maps. We point out relations with questions about the fitting of garments that were studied by Chebyshev.

This paper studies the Riley polynomial of 2-bridge knots using Chebyshev polynomials.

Efficiently calibrates volatility models using Chebyshev Tensors.

Study of Chebyshev-Frobenius homomorphism in 3-manifold skein modules.

New CFNN architecture approximates functions with machine accuracy.

Paper uses Chebyshev Tensors for accurate dynamic sensitivities and ISDA SIMM computation.

In this paper we introduce a new technique based on high-dimensional Chebyshev Tensors that we call \emph{Orthogonal Chebyshev Sliding Technique}. We implemented this technique inside the systems of a tier-one bank, and used it to approximate Front Office pricing functions in order to reduce the substantial computation…

Some results on existence of global Chebyshev coordinates on a Riemannian manifold or, more generally, on Aleksandrov surface are proved. For instance, if the positive and the negative parts of integral curvature of a Riemannian manifold M are less than 2πeach, then there exist global Chebyshev coordinates on M. These …

Using Chebyshev polynomials, C. Frohman and R. Gelca introduce a basis of the Kauffman bracket skein module of the torus. This basis is especially useful because the Jones-Kauffman product can be described via a very simple Product-to-Sum formula. Presented in this work is a diagrammatic proof of this formula, which em…

Mathematical problems of digital terrain analysis include interpolation of digital elevation models (DEMs), DEM generalization and denoising, and computation of morphometric variables by calculation of partial derivatives of elevation. Traditionally, these procedures are based on numerical treatments of two-variable di…

A Chebyshev curve C(a,b,c,φ) has a parametrization of the form x(t)=Ta(t); y(t)=T_b(t) ; z(t)= Tc(t + φ), where a,b,c are integers, Tn(t) is the Chebyshev polynomial of degree n and φ\in \RR. When C(a,b,c,φ) has no double points, it defines a polynomial knot. We determine all possible knots when a, b and c are given.

The paper computes groups and modules for wheel graphs using Fibonacci and Chebyshev polynomials.

We show that every two-bridge knot $K$ of crossing number $N$ admits a polynomial parametrization $x=T_3(t), y = T_b(t), z =C(t)$ where $T_k(t)$ are the Chebyshev polynomials and $b+°C = 3N$. If $C (t)= T_c(t)$ is a Chebyshev polynomial, we call such a knot a harmonic knot. We give the classification of harmonic knots …

We show that every rational knot $K$ of crossing number $N$ admits a polynomial parametrization $x=T_a(t), y = T_b(t), z = C(t)$ where $T_k(t)$ are the Chebyshev polynomials, $a=3$ and $b+ °C = 3N.$ We show that every rational knot also admits a polynomial parametrization with $a=4$. If $C (t)= T_c(t)$ is a Chebyshev p…

New bound improves on weighted majority vote risk estimation.

We present a numerical method for the frequent pricing of financial derivatives that depends on a large number of variables. The method is based on the construction of a polynomial basis to interpolate the value function of the problem by means of a hierarchical orthogonalization process that allows to reduce the numbe…

Chebyshev polynomials analyze Czech enterprises' stock dynamics.

In this paper we study the skein algebras of marked surfaces and the skein modules of marked 3-manifolds. Muller showed that skein algebras of totally marked surfaces may be embedded in easy to study algebras known as quantum tori. We first extend Muller's result to permit marked surfaces with unmarked boundary compone…

We show that the $A_2$ clasps in the Karoubi envelope of $A_2$ spider satisfy the recursive formula of the two-variable Chebyshev polynomials of the second kind associated with a root system of type $A_2$. The $A_2$ spider is a diagrammatic description of the representation category for $U_q(\mathfrak{sl}_3)$ and the $…

Closed formulas for η-corrections in the once-punctured torus identified.

Chebyshev technique reduces FRTB-IMA equity autocallables computation costs by 90%.

Jones polynomials derived from K-theory of a cluster algebra.

We show that the if a sequence of normalized polynomials gives rise to a positive basis of the skein algebra of a surface, then it is sandwiched between the two types of Chebyshev polynomials. For the closed torus, we show that the normalized sequence of Chebyshev polynomials of type one $(\hat{T}_n)$ is the only one w…

The Alexander polynomials Δ_{n,3}(t) and Δ_{n,4}(t) are presented as a sum of the Alexander polynomials Δ_{k,2}(t). These polynomials are also expressed in the form of a sum of Chebyshev polynomials of the second kind. These expansions allow one to introduce the "coordinates" in corresponding bases, which are proposed …

Unbounded primitivity index in free groups linked to Chebyshev function.

Alexander invariant created for doodles, vanishes on unlinked doodles.

Deep unfolding is a promising deep-learning technique in which an iterative algorithm is unrolled to a deep network architecture with trainable parameters. In the case of gradient descent algorithms, as a result of the training process, one often observes the acceleration of the convergence speed with learned non-const…

This work presents formulas for the Kauffman bracket and Jones polynomials of 3-bridge knots using the structure of Chebyshev knots and their billiard table diagrams. In particular, these give far fewer terms than in the Skein relation expansion. The subject is introduced by considering the easier case of 2-bridge knot…

We derive a stronger uniqueness result if a function with compact support and its truncated Hilbert transform are known on the same interval by using the Sokhotski-Plemelj formulas. To find a function from its truncated Hilbert transform, we express them in the Chebyshev polynomial series and then suggest two methods t…

The classical Sturm-Hurwitz-Kellogg theorem asserts that a function, orthogonal to an n-dimensional Chebyshev system on a circle, has at least n+1 sign changes. We prove the converse: given an n-dimensional Chebyshev system on a circle and a function with at least n+1 sign changes, there exists an orientation preservin…

We prove local Lipschitz property of the map which puts in correspondence to each $N$--net different from $(N-1)$--net its Chebyshev center. If dimension of Eucledean or Lobachevskii space is greater than 1 and net consists of more than 2 points we show that this map is not Lipschits in a neighbourhood of the space of …

Lagrange's map construction ideas influenced later mathematicians.