New method uses quantum simulation to price multi-asset derivatives efficiently.
problem Efficiently pricing derivatives with many underlying assets.
method Variational quantum simulation to solve Black-Scholes equation.
result Quantum speedup in derivative pricing for small quantum computers.
Quantum computing speeds up interest rate derivative pricing using LMM.
problem Challenges in pricing interest rate derivatives, especially caps.
method Hybrid classical-quantum approach using quantum amplitude estimation.
result Quantum computing improves convergence in pricing interest rate derivatives.
Quantum computing improves Monte Carlo option pricing for complex derivatives.
problem Complex financial derivatives require extensive computations in high-dimensional spaces.
method Developed a quantum algorithm for simulating many potential asset paths in parallel.
result Quantum algorithm provides highly accurate option pricing and risk analysis.
Quantum computing speeds up pricing multi-asset derivatives.
problem Exponential growth in complexity for multi-asset derivatives pricing.
method Quantum algorithm based on quantum linear system algorithms for FDM.
result Exponential speedup in derivative pricing compared to classical methods.
Computes derivatives of sections in vector bundles using Lie derivatives.
problem Computing time derivatives of sections in natural vector bundles.
method Extending a lemma to compute Lie derivatives of sections of natural vector bundles.
result Computed derivatives of sections in vector bundles using Lie derivatives.
A neural network method improves CVA computations for complex financial portfolios.
problem Improving accuracy of CVA computations for large, diverse portfolios of financial derivatives.
method Proposes a neural network-based approach to adjust exercise strategies for counterparty default risk.
result Shows significant overestimation of CVA by standard methods, especially for non-extreme cases.
Researchers found the Wigner derivative and its inverse are equal for spherical tetrahedra.
problem Computing the relationship between dihedral angles and edge lengths in tetrahedra.
method Computed the Wigner derivative and its inverse for spherical tetrahedra.
result The Wigner derivative and its inverse are equal for spherical tetrahedra.
New method computes first Vassiliev derivative of Khovanov homology.
problem Computing Vassiliev derivatives of Khovanov homology.
method Developed a crux complex to compute the first derivative.
result Direct computation of the first derivative of Khovanov homology.
Efficiently approximates higher-order derivatives for generative models.
problem Expensive computation of higher-order derivatives in generative models.
method Rewrite SM objective in terms of directional derivatives and use finite difference for efficient approximation.
result Comparable results to gradient-based methods but significantly more computationally efficient.
We study two kinds of categorical traces of (monoidal) dg categories, with particular interest in categories of Soergel bimodules. First, we explicitly compute the usual Hochschild homology, or derived vertical trace, of the category of Soergel bimodules in arbitrary types. Secondly, we introduce the notion of derived …
Quantum algorithms improve VaR and CVaR estimation for financial derivatives.
problem Quantum advantage in financial risk analysis of derivatives.
method Two quantum algorithms: QSP and QSP-based approach.
result QSP-based approach requires fewer quantum resources for the same accuracy.
Paper develops formulas for shape derivatives in wave scattering.
problem Computing high order shape derivatives for wave scattering is challenging.
method Introduces elegant recurrence formulas using differential forms and Lie derivatives.
result Unified framework for computing high order shape perturbations in scattering problems.
A new algorithm speeds up neural network derivative calculations.
problem Exponential runtime of autodifferentiation for high-order derivatives in neural networks.
method n-TangentProp, a quasilinear algorithm for computing higher-order derivatives.
result Computes exact derivatives in quasilinear time, not exponential.
GPU speeds up derivatives sensitivity computation for Heston model options.
problem Efficient computation of option Greeks under the Heston model.
method Implemented exact simulation and novel Milstein discretisation methods on GPU.
result GPU speeds up Greeks computation up to 200x compared to CPU methods.
Quantum algorithms for financial derivatives and credit risk.
problem Estimating credit risk and option pricing in realistic financial models.
method Developed a regime switching volatility model for financial markets, using a Markov chain to determine volatility parameters.
result Quantum algorithms can be applied to realistic financial models, bringing quantum computing closer to practical applications.
This paper uses Malliavin calculus to price and compute delta of financial derivatives in jump-diffusion models.
problem Pricing and delta computation of financial derivatives in jump-diffusion models with stochastic intensity.
method Utilizes Malliavin calculus to price and compute delta, applying the Euler scheme for convergence analysis.
result Established the convergence of approximated solution, financial derivative, and its delta Greeks.
The Laplace approximation calls for the computation of second derivatives at the likelihood maximum. When the maximum is found by the EM-algorithm, there is a convenient way to compute these derivatives. The likelihood gradient can be obtained from the EM-auxiliary, while the Hessian can be obtained from this gradient …
Paper proves autodiff systems are correct for non-differentiable functions.
problem Correctness of autodiff systems for non-differentiable functions in deep learning.
method Investigation of PAP functions and introduction of intensional derivatives.
result Intensional derivatives always exist and coincide with standard derivatives for almost all inputs.
Quantum algorithms accelerate financial risk computation.
problem Accelerating the computation of financial market risk.
method Quantum gradient estimation algorithms for market sensitivities.
result Significant reduction in resource requirements for financial quantum advantage.
Dupire's functional Itô calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce a measure of path-dependence of functionals within the functional Itô calculus framework. Name…
New phases identified in neural scaling laws with compute limits.
problem Understanding neural scaling laws under compute constraints.
method Solved neural scaling model with stochastic gradient descent, derived loss curves, analyzed model-parameter-count phases.
result Identified 4 phases (+3 subphases) in data-complexity/target-complexity phase-plane, derived exponents.
Geometric AD framework simplifies derivative computation in JAX.
problem Efficient and accurate automatic differentiation.
method Jet functors and Weil algebras for geometric analysis.
result Unified view of derivative propagation with algebraic exactness.
Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all the trades with each counterparty under both market and credit risk. We present a multi-Gaussian process regression approach, which is well suited for OTC derivative portfolio valuation involved in CVA compu…
AD-HOC simplifies high-order derivative calculations in C++.
problem Efficiently computing high-order derivatives in C++.
method A C++ package that calculates derivatives of arbitrary order without code generation.
result Derivatives of arbitrary order computed in a single pass.
This paper deals with the computation of second or higher order greeks of financial securities. It combines two methods, Vibrato and automatic differentiation and compares with other methods. We show that this combined technique is faster than standard finite difference, more stable than automatic differentiation of se…
Paper uses IGA for efficient pricing of financial derivatives, comparing it to FDM and FEM.
problem Efficiently pricing complex financial derivatives with high accuracy.
method Isogeometric Analysis (IGA) for solving nonlinear Black-Scholes PDEs.
result IGA provides very accurate solutions with fewer knots, significantly reducing computational time.
This paper proposes the Mesh Neural Network (MNN), a novel architecture which allows neurons to be connected in any topology, to efficiently route information. In MNNs, information is propagated between neurons throughout a state transition function. State and error gradients are then directly computed from state updat…
Propose a model-independent axiomatic framework for derived skein theory.
problem Derived skein theory of oriented 3-manifolds with coefficients in a ribbon tensor category.
method Design axioms for the 0th homology and gluing.
result Establishes relationships between derived and ordinary skein theory.
Proposes a new derivative concept for nonlinear DRO problems.
problem Optimizing nonlinear functions in probability space with distributionally robust optimization.
method Introduces Gateaux derivative for smoothness and proposes a Frank-Wolfe algorithm.
result Validates theoretical results on portfolio selection problems with numerical validation.
Paper introduces efficient methods for estimating cross-partial derivatives and sensitivity indices.
problem Efficiently estimating cross-partial derivatives and sensitivity indices in complex models.
method Using randomized points and constraints, the paper develops estimators with optimal convergence rates and low bias.
result The estimators achieve optimal rates of convergence and do not suffer from the curse of dimensionality.
We construct an abelian quotient of the symplectic derivation Lie algebra hg,1 of the free Lie algebra generated by the fundamental representation of Sp(2g,Q). More specifically, we show that the weight 12 part of the abelianization of hg,1 is 1-dimensional for $g…
Paper computes Atiyah class for DG manifolds of amplitude +1.
problem Computing the Atiyah class for DG manifolds of specific amplitude.
method Computed the Atiyah class by encoding the derived intersection of sections and zero sections of vector bundles.
result Atiyah class vanishes if and only if the intersection is clean.
Develops a framework for consistent pricing of interest rate derivatives.
problem Consistent pricing of bivariate interest rate exotics across interconnected markets.
method Schrödinger optimal transport problem with constraints.
result Demonstrates practical applicability and no-arbitrage bounds computation.
Gradients of neural networks can be computed efficiently for any architecture, but some applications require differential operators with higher time complexity. We describe a family of restricted neural network architectures that allow efficient computation of a family of differential operators involving dimension-wise…
Graph embedding aims at learning a vector-based representation of vertices that incorporates the structure of the graph. This representation then enables inference of graph properties. Existing graph embedding techniques, however, do not scale well to large graphs. We therefore propose a framework for parallel computat…
Gradient-free method solves infinite-dimensional optimization problems.
problem Optimizing functions in infinite-dimensional spaces.
method Uses directional derivatives and a pre-basis for Hilbert space.
result Proves convergence for solving PDEs using PINNs.
Bayesian optimization has been successful at global optimization of expensive-to-evaluate multimodal objective functions. However, unlike most optimization methods, Bayesian optimization typically does not use derivative information. In this paper we show how Bayesian optimization can exploit derivative information to …
Method for computing Khovanov homology of tangles.
problem Limited explicit computational studies of Khovanov homology for tangles.
method Arc reduction approach to compute Khovanov homology.
result Derived and computed Poincaré polynomials for simple and complex tangles.
Risk management in financial derivative markets requires inevitably the calculation of the different price sensitivities. The literature contains an abundant amount of research works that have studied the computation of these important values. Most of these works consider the well-known Black and Scholes model where th…
Derives the derivative of the Riemann-Hilbert map for surface connections.
problem Computing the derivative of the Riemann-Hilbert map for surface connections.
method Computes the derivative of the Riemann-Hilbert map for a pair of a closed Riemann surface and a holomorphic connection.
result Recovering previously obtained results on the injectivity locus of the derivative map.
We present a general probabilistic perspective on Gaussian filtering and smoothing. This allows us to show that common approaches to Gaussian filtering/smoothing can be distinguished solely by their methods of computing/approximating the means and covariances of joint probabilities. This implies that novel filters and …
Study projective derivative cocycles for circle diffeomorphisms.
problem Understanding reducibility and almost reducibility in circle diffeomorphisms.
method Computing precise expressions for projective derivative cocycles and extending to 3-torus.
result Generalization of results to diagonal action on 3-torus.
The paper develops bounds for multi-asset derivatives using option prices.
problem Computing model-free upper and lower bounds for multi-asset derivatives.
method Develops a fundamental theorem of asset pricing and superhedging duality, recasting the problem into a linear semi-infinite optimization problem and providing algorithms for exact computation.
result Provides ε-optimal upper and lower bounds for multi-asset derivatives, characterizing optimal pricing measures. Automatic differentiation is involved for long in applied mathematics as an alternative to finite difference to improve the accuracy of numerical computation of derivatives. Each time a numerical minimization is involved, automatic differentiation can be used. In between formal derivation and standard numerical schemes…
Differential ML combines AAD with ML for fast, accurate financial derivatives pricing and risk management.
problem Computational bottlenecks in financial derivatives risk management.
method Novel algorithms using automatic adjoint differentiation (AAD) for training fast, accurate approximations in real-time.
result Convergence guarantees for fast, accurate pricing and risk approximations for arbitrary derivatives instruments.
Differential quantities, including normals, curvatures, principal directions, and associated matrices, play a fundamental role in geometric processing and physics-based modeling. Computing these differential quantities consistently on surface meshes is important and challenging, and some existing methods often produce …
CDF2PDF is a method of PDF estimation by approximating CDF. The original idea of it was previously proposed in [1] called SIC. However, SIC requires additional hyper-parameter tunning, and no algorithms for computing higher order derivative from a trained NN are provided in [1]. CDF2PDF improves SIC by avoiding the tim…
Forward Automatic Differentiation (AD) is a technique for augmenting programs to compute derivatives. The essence of Forward AD is to attach perturbations to each number, and propagate these through the computation. When derivatives are nested, the distinct derivative calculations, and their associated perturbations, m…