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.
DDR estimates personalized treatment effects from clinical trials.
Study achieves fairness without demographic info, improving regression tasks.
New approach solves utility maximization problems using Delta family.
We introduce Dirac processes, using Dirac delta functions, for short-rate-type pricing of financial derivatives. Dirac processes add spikes to the existing building blocks of diffusions and jumps. Dirac processes are Generalized Processes, which have not been used directly before because the dollar value of non-Real nu…
We consider the set of solutions to the rho-vortex equations over a Kahler surface and prove a Uhlenbeck compactness result, namely that a sequence of solutions with the same energy converge to the sum of a solution of smaller energy and deltas of Dirac.
A new meta-learning method using shared variational inference.
New optimization method for sampling from unknown density measures.
This study examines deep hedging for S&P 500 options, revealing systematic delta corrections and fragility.
In high frequency financial data not only returns but also waiting times between trades are random variables. In this work, we analyze the spectra of the waiting-time processes for tick-by-tick trades. The numerical problem, strictly related with the real inversion of Laplace transforms, is analyzed by using Tikhonov's…
In this paper, we present a method for the accurate estimation of the derivative (aka.~sensitivity) of expectations of functions involving an indicator function by combining a stochastic algorithmic differentiation and a regression. The method is an improvement of the approach presented in [Risk Magazine April 2018]. T…
In this paper we analytically study the problem of pricing an arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral is defined by an effective action functional whose potential term is an exponential function. This path integral …
Deep BSDE method for pricing and hedging complex financial portfolios.
Paper presents an efficient algorithm for estimating Lipschitz functions from noisy data.
The Dirac operator d+delta on the Hodge complex of a Riemannian manifold is regarded as an annihilation operator A. On a weighted space L_mu^2 Omega, [A,A*] acts as multiplication by a positive constant on excited states if and only if the logarithm of the measure density of mu satisfies a pair of equations. The equati…
Quantum mechanics applied to option pricing with a time-dependent bubble.
New methods for delta-moves on algebraically split links identified.
Study of tropical moduli spaces using symmetric Delta-complexes.
The paper compares machine learning methods with traditional techniques for pricing and sensitivities of financial products with path-dependent structures.
Delta-unlinking number measures how to unlink algebraically split links.
We derive computationally tractable methods to select a small subset of experiment settings from a large pool of given design points. The primary focus is on linear regression models, while the technique extends to generalized linear models and Delta's method (estimating functions of linear regression models) as well. …
New integral transforms solve multilayer heat equations.
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…
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…
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.
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.
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.
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…
Lower bounds for delta invariant of weighted hypersurfaces proved for K-stability.
Study calculates liquidity costs for delta hedging of European options.
This paper uses Malliavin calculus to price and compute delta of financial derivatives in jump-diffusion models.
Delta Variances efficiently estimate epistemic uncertainty in neural networks.
We prove that the crossing changes, Delta moves, and sharp moves are unknotting operations on welded knots.
Paper introduces a new multi-kernel algorithm for better gradient approximation.
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…
Reflective Hamiltonian Monte Carlo struggles with high-dimensional sampling.
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…