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.
NQE uses quantile regression for fast SBI with cubic Hermite splines.
In this paper, we review pricing of variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control framework, and review the exist…
There is a vast literature on numerical valuation of exotic options using Monte Carlo, binomial and trinomial trees, and finite difference methods. When transition density of the underlying asset or its moments are known in closed form, it can be convenient and more efficient to utilize direct integration methods to ca…
Cubic spline smoothing improves interpolation between irregularly sampled data.
Combines spline interpolation and ARIMA for stock market forecasting.
The article completes the research of two-point G Hermite interpolation problem with spirals by inversion of conics. A simple algorithm is proposed to construct a family of 4th degree rational spirals, matching given G Hermite data. A possibility to reduce the degree to cubic is discussed.
Cubic spline interpolation on Euclidean space is a standard topic in numerical analysis, with countless applications in science and technology. In several emerging fields, for example computer vision and quantum control, there is a growing need for spline interpolation on curved, non-Euclidean space. The generalization…
{\em Riemannian cubics} are curves in a manifold that satisfy a variational condition appropriate for interpolation problems. When is the rotation group SO(3), Riemannian cubics are track-summands of {\em Riemannian cubic splines}, used for motion planning of rigid bodies. Partial integrability results are know…
A normalizing flow models a complex probability density as an invertible transformation of a simple density. The invertibility means that we can evaluate densities and generate samples from a flow. In practice, autoregressive flow-based models are slow to invert, making either density estimation or sample generation sl…
This paper constructs PH spline curves with prescribed arc lengths.
This paper presents numerical algorithm and results for pricing a capital protection option offered by many asset managers for investment portfolios to take advantage of market growth and protect savings. Under optimal withdrawal policyholder behaviour the pricing of such a product is an optimal stochastic control prob…
Paper finds maximum curvature of Bézier-spline curves.
Approximating complex curves with simple parametric curves is widely used in CAGD, CG, and CNC. This paper presents an algorithm to compute a certified approximation to a given parametric space curve with cubic B-spline curves. By certified, we mean that the approximation can approximate the given curve to any given pr…
Presented are two neural network architectures for convex functions, demonstrating competitive performance.
Smoothing splines provide a powerful and flexible means for nonparametric estimation and inference. With a cubic time complexity, fitting smoothing spline models to large data is computationally prohibitive. In this paper, we use the theoretical optimal eigenspace to derive a low rank approximation of the smoothing spl…
A new method identifies causal direction using dense functional classes.
Gradient descent training of neural networks leads to solutions close to natural cubic splines.
In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder behaviour solved as an optimal stochastic control problem. This product simultaneously deals with financial risk, mortali…
Neural networks require a careful design in order to perform properly on a given task. In particular, selecting a good activation function (possibly in a data-dependent fashion) is a crucial step, which remains an open problem in the research community. Despite a large amount of investigations, most current implementat…
In this paper, we propose a random projection approach to estimate variance in kernel ridge regression. Our approach leads to a consistent estimator of the true variance, while being computationally more efficient. Our variance estimator is optimal for a large family of kernels, including cubic splines and Gaussian ker…
We develop a new nonparametric approach for estimating the risk-neutral density of asset prices and reformulate its estimation into a double-constrained optimization problem. We evaluate our approach using the S\&P 500 market option prices from 1996 to 2015. A comprehensive cross-validation study shows that our approac…
A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus the remaining account balance at maturity, regardless of the portfolio performance. Under the optimal withdrawal strategy of a policyholder,…
We present a theoretical and empirical study of the gradient dynamics of overparameterized shallow ReLU networks with one-dimensional input, solving least-squares interpolation. We show that the gradient dynamics of such networks are determined by the gradient flow in a non-redundant parameterization of the network fun…
Deep-SITAR uses autoencoders to predict growth patterns.
The article presents a new non-parametric approach for forecasting mortality and fertility using Gaussian process regression.
We introduce Hermite fractional financial markets, where market uncertainties are described by multidimensional Hermite motions. Hermite markets include as particular cases financial markets driven by multivariate fractional Brownian motion and multivariate Rosenblatt motion. Conditions for no-arbitrage and market comp…
A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the contract plus the remaining account balance at maturity, regardless of the portfolio performance. Under the optimal(dynamic) withdrawal strategy of a policyh…
In this paper we study the pricing of exchange options under a dynamic described by stochastic correlation with random jumps. In particular, we consider a Ornstein-Uhlenbeck covariance model with Levy Background Noise Process driven by Inverse Gaussian subordinators. We use expansion in terms of Taylor polynomials and …
New Hermite approximations accelerate convergence with adaptive coordinate transformations.
Classified spaces in low dimensions.
Geometric equation defines canonical metrics on vector bundle families.
Study examines tangential real hypersurfaces on Hermite-like manifolds.
Establishes Hermite-Einstein metrics on complex spaces with singularities.
This paper studies symplectic critical surfaces in Hermite surfaces.
We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion and fractional Rosenblatt markets. Considering pure and mixed Hermite markets, we introduce a strategy-specific arbitrage tax on the rate of transaction volume acceleration of the hedging portfolio as the pr…
Proves conditions for weighted Hermite-Einstein metrics on vector bundles.
One of the primary concerns of product quality control in the automotive industry is an automated detection of defects of small sizes on specular car body surfaces. A new statistical learning approach is presented for surface finish defect detection based on spline smoothing method for feature extraction and -neares…
Hermite polynomials improve private data generation by reducing feature count.
RUMBoost combines RUMs and deep learning for better choice modelling.
We give a classification, up to finite cover, of flat compact complete Hermite-Lorentz manifolds up to complex dimension 4.
We define naturally Hermite-Lorentz metrics on almost-complex manifolds as special case of pseudo-Riemannian metrics compatible with the almost complex structure. We study their isometry groups.
New Hermite series estimator for Spearman rank correlation in non-stationary data.
Study compares parametric and Hermite-based models for option pricing.
Sequential quantile estimation refers to incorporating observations into quantile estimates in an incremental fashion thus furnishing an online estimate of one or more quantiles at any given point in time. Sequential quantile estimation is also known as online quantile estimation. This area is relevant to the analysis …
A method based on wavelet transform and genetic programming is proposed for characterizing and modeling variations at multiple scales in non-stationary time series. The cyclic variations, extracted by wavelets and smoothened by cubic splines, are well captured by genetic programming in the form of dynamical equations. …
This research solves Hermite interpolation on manifolds using retractions.
Study extends convexity in curved spaces using fractional integrals.
Existence of metrics on non-Kähler varieties, generalizing previous work.