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.
New methods for delta-moves on algebraically split links identified.
Delta method vs Bootstrap for deep learning classification shows strong linear relationship and faster computation.
Study delta invariant of curves on rational surfaces using topological methods.
We introduce a new method of delta hedging. In many cases, this method results in a lower cost than the Black-Scholes method. To calculate the cost of hedging, we develop a Mathematica program that include the two-dimensional Newton-Raphson method.
Lower bounds for delta invariant of weighted hypersurfaces proved for K-stability.
Deep BSDE method for pricing and hedging complex financial portfolios.
Delta-unlinking number measures how to unlink algebraically split links.
We develop techniques for studying fundamental groups and integral singular homology of symmetric Delta-complexes, and apply these techniques to study moduli spaces of stable tropical curves of unit volume, with and without marked points. As one application, we show that Delta_g and Delta_{g,n} are simply connected, fo…
Delta Variances efficiently estimate epistemic uncertainty in neural networks.
The paper calculates delta invariants for specific geometric structures.
TWM doesn't reduce delta in PDLPs, proving impossibility.
A Delta-groupoid is an algebraic structure which axiomitizes the combinatorics of a truncated tetrahedron. It is shown that there are relations of Delta-groupoids to rings, group pairs, and (ideal) triangulations of three-manifolds. In particular, one can associate a Delta-groupoid to ideal triangulations of knot compl…
Transfer learning through fine-tuning a pre-trained neural network with an extremely large dataset, such as ImageNet, can significantly accelerate training while the accuracy is frequently bottlenecked by the limited dataset size of the new target task. To solve the problem, some regularization methods, constraining th…
New approach solves utility maximization problems using Delta family.
We refine the analysis of hedging strategies for options under the SABR model carried out in [2]. In particular, we provide a theoretical justification of the empirical observation made in [2] that the modified delta ("Bartlett's delta") introduced there provides a more accurate and robust hedging strategy than the con…
A Delta-groupoid is an algebraic structure which axiomatizes the combinatorics of a truncated tetrahedron. By considering two simplest examples coming from knot theory, we illustrate how can one associate a Delta-groupoid to an ideal triangulation of a three-manifold. We also describe in detail the rings associated wit…
Link-homotopy and self Delta-equivalence are equivalence relations on links. It was shown by J. Milnor (resp. the last author) that Milnor invariants determine whether or not a link is link-homotopic (resp. self Delta-equivalent) to a trivial link. We study link-homotopy and self Delta-equivalence on a certain componen…
Continuity of delta invariant leads to uniform Kähler-Einstein metrics.
In this paper we construct some invariants of spatial graphs by disk-summing the constituent knots and show the delta edge-homotopy invariance of them. As an application, we show that there exist infinitely many slice spatial embeddings of a planar graph up to delta edge-homotopy, and there exist infinitely many bounda…
Study shows singular set of distance functions is delta-convex.
Delta finite-type invariants are defined analogously to finite-type invariants, using delta moves instead of crossing changes. We show that they are closely related to the lower central series of the commutator subgroup of the pure braid group.
We call a Delta Diagram any diagram of a knot or link whose regions (including the unbounded one) have 3, 4, or 5 sides. We prove that any knot or link admits a delta diagram. We define and estimate combinatorial link invariants stemming from this definition.
Deep learning enhances options hedging performance.
This paper presents a Bayesian optimization method with exponential convergence without the need of auxiliary optimization and without the delta-cover sampling. Most Bayesian optimization methods require auxiliary optimization: an additional non-convex global optimization problem, which can be time-consuming and hard t…
Study virtualized Delta, Sharp, and Pass moves for oriented virtual knots and links.
The paper classifies pretzel links with 2 components and gives conditions for those with 3 or more.
KrigHedge uses Gaussian processes to approximate option Greeks efficiently.
We study generalizations of finite-type knot invariants obtained by replacing the crossing change in the Vassiliev skein relation by some other local move, analyzing in detail the band-pass and doubled-delta moves. Using braid-theoretic techniques, we show that, for a large class of local moves, generalized Goussarov's…
New quantization methods improve accuracy of Random Fourier Features.
Study calculates liquidity costs for delta hedging of European options.
Proposes an alternative method for quantifying uncertainty in complex models.
This paper uses Malliavin calculus to price and compute delta of financial derivatives in jump-diffusion models.
Deep RNNs compute American option prices and deltas efficiently.
We prove that the crossing changes, Delta moves, and sharp moves are unknotting operations on welded knots.
Modelling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This strategy stems from the Black--Merton--Scholes model where it perfectly replicates contingent claims. From the theoretical viewpoint, there is …
We generalize the Manolescu-Owens smooth concordance invariant delta(K) of knots K in the 3-sphere to invariants delta_{p^n}(K) obtained by considering covers of order p^n, with p prime. Our main result shows that for any odd prime p, the direct sum of delta_{p^n} as n ranges through the natural numbers, yields a homom…
We consider a strictly pathwise setting for Delta hedging exotic options, based on Föllmer's pathwise Itō calculus. Price trajectories are -dimensional continuous functions whose pathwise quadratic variations and covariations are determined by a given local volatility matrix. The existence of Delta hedging strategie…
We discuss the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models, where delta hedging strategies in this paper are defined under the minimal martingale measure. We give firstly model-independent upper estimations for the difference. In addition we show numerical example…
A new method calculates accurate SABR model option prices and deltas.
Study pairs of subspaces with or without a common complement in Hilbert spaces.
Characterizes smiles in delta satisfying specific conditions.
Theoretical limits on verifying self-improving systems without risking unbounded utility.
Study delta invariant of minimal generic curves on rational surfaces.
We derive variance-optimal hedging strategies for SABR and rough Bergomi models.
This paper improves bounds on how many Delta-moves are needed to trivialize a link.
Partial differential equations with distributional sources---in particular, involving (derivatives of) delta distributions---have become increasingly ubiquitous in numerous areas of physics and applied mathematics. It is often of considerable interest to obtain numerical solutions for such equations, but any singular (…
Paper presents a machine learning-based method for efficiently pricing and hedging autocallable structured notes with multiple underlying assets.
The paper improves bounds on knot crossings and tabulates minimal diagrams.