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.
Paper develops Euler scheme for fractional delay diff. eqs with additive noise.
We consider a class of stochastic path-dependent volatility models where the stochastic volatility, whose square follows the Cox-Ingersoll-Ross model, is multiplied by a (leverage) function of the spot price, its running maximum, and time. We propose a Monte Carlo simulation scheme which combines a log-Euler scheme for…
Euler derived elastica equation using modern mathematical concepts.
Develops multifactor approximations for SVEs with completely monotone kernels.
We study the Heston-Cox-Ingersoll-Ross++ stochastic-local volatility model in the context of foreign exchange markets and propose a Monte Carlo simulation scheme which combines the full truncation Euler scheme for the stochastic volatility component and the stochastic domestic and foreign short interest rates with the …
We study first-order optimization methods obtained by discretizing ordinary differential equations (ODEs) corresponding to Nesterov's accelerated gradient methods (NAGs) and Polyak's heavy-ball method. We consider three discretization schemes: an explicit Euler scheme, an implicit Euler scheme, and a symplectic scheme.…
This work proves a strong convergence result for a geometric EM scheme on Riemannian manifolds.
Motivated by weak convergence results in the paper of Takahashi and Yoshida (2005), we show strong convergence for an accelerated Euler-Maruyama scheme applied to perturbed stochastic differential equations. The Milstein scheme with the same acceleration is also discussed as an extended result. The theoretical results …
In the present paper, we introduce a numerical scheme for the price of a barrier option when the price of the underlying follows a diffusion process. The numerical scheme is based on an extension of a static hedging formula of barrier options. For getting the static hedging formula, the underlying process needs to have…
Paper studies particle method for LSV model calibration, proving convergence and error bounds.
We study convergence properties of the full truncation Euler scheme for the Cox-Ingersoll-Ross process in the regime where the boundary point zero is inaccessible. Under some conditions on the model parameters (precisely, when the Feller ratio is greater than three), we establish the strong order 1/2 convergence in $L^…
We consider the approximation of stochastic differential equations (SDEs) with non-Lipschitz drift or diffusion coefficients. We present a modified explicit Euler-Maruyama discretisation scheme that allows us to prove strong convergence, with a rate. Under some regularity and integrability conditions, we obtain the opt…
Discrete time analogues of ergodic stochastic differential equations (SDEs) are one of the most popular and flexible tools for sampling high-dimensional probability measures. Non-asymptotic analysis in the Wasserstein distance of sampling algorithms based on Euler discretisations of SDEs has been recently develop…
The paper models financial asset prices with jumps and evaluates European option prices using numerical methods.
Ghost points affect stability in finite difference schemes for diffusion equations.
Study simulates Heston-type local stochastic volatility model using particle method.
We address a class of schemes for the Euler equations with the following features: the space discretization is staggered, possible upwinding is performed with respect to the material velocity only and the internal energy balance is solved, with a correction term designed on consistency arguments. These schemes have bee…
New schemes improve error estimates for sampling from non-log-concave distributions.
The paper presents two schemes for sampling matrices from specific distributions on a manifold.
New algorithms sample from log concave distributions without gradient Lipschitz continuity.
New time series generation models improve accuracy and correlation identification.
Quantization techniques have been applied in many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal control, filtering problems and efficient calibration of large derivative books. Recursive Marginal Quantization of the Euler scheme has recen…
We analyze exponential integrability properties of the Cox-Ingersoll-Ross (CIR) process and its Euler discretizations with various types of truncation and reflection at 0. These properties play a key role in establishing the finiteness of moments and the strong convergence of numerical approximations for a class of sto…
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization schemes of which asymptotic conditional mean-squared error attains a lower bound are constructed. Two applications are …
Paper develops a generative model using Wasserstein-2 loss.
Developed unbiased estimators for Heston model with stochastic interest rates.
New probabilistic scheme combines deep learning with Runge-Kutta methods for solving PDEs.
Study approximates weak error for specific stochastic models with rough and Gaussian mean-reverting volatility.
Enhances learning of structured distributions using nonlinear denoising score matching.
New schemes for SDEs on manifolds keep solutions close to the manifold.
New method improves Euler approximation for local stochastic volatility models.
AES scheme improves Bermudan and American option pricing for Heston models.
In recent years, total variation (TV) and Euler's elastica (EE) have been successfully applied to image processing tasks such as denoising and inpainting. This paper investigates how to extend TV and EE to the supervised learning settings on high dimensional data. The supervised learning problem can be formulated as an…
A general, consistent and complete framework for geometrical formulation of mechanical systems is proposed, based on certain structures on affine bundles (affgebroids) that generalize Lie algebras and Lie algebroids. This scheme covers and unifies various geometrical approaches to mechanics in the Lagrangian and Hamilt…
In this paper we discuss the possibility of using multilevel Monte Carlo (MLMC) methods for weak approximation schemes. It turns out that by means of a simple coupling between consecutive time discretisation levels, one can achieve the same complexity gain as under the presence of a strong convergence. We exemplify thi…
We develop continuous time Markov chain (CTMC) approximation of one-dimensional diffusions with a lower sticky boundary. Approximate solutions to the action of the Feynman-Kac operator associated with a sticky diffusion and first passage probabilities are obtained using matrix exponentials. We show how to compute matri…
Aganagic and Shakirov propose a refinement of the SU(N) Chern-Simons theory for links in three manifolds with S^1-symmetry, such as torus knots in S^3, based on deformation of the S and T matrices, originally found by Kirillov and Cherednik. We relate the large N limit of the S matrix to the Hilbert schemes of points o…
Study on solutions to spinorial Yamabe equation on manifolds with boundary.
This paper uses Malliavin calculus to price and compute delta of financial derivatives in jump-diffusion models.
The intersection of a complex plane curve with a small three-sphere surrounding one of its singularities is a non-trivial link. The refined punctual Hilbert schemes of the singularity parameterize subschemes supported at the singular point of fixed length and whose defining ideals have a fixed number of generators. We …
We construct a categorification of the maximal commutative subalgebra of the type Hecke algebra. Specifically, we propose a monoidal functor from the (symmetric) monoidal category of coherent sheaves on the flag Hilbert scheme to the (non-symmetric) monoidal category of Soergel bimodules. The adjoint of this functo…
We conjecture an expression for the dimensions of the Khovanov-Rozansky HOMFLY homology groups of the link of a plane curve singularity in terms of the weight polynomials of Hilbert schemes of points scheme-theoretically supported on the singularity. The conjecture specializes to our previous conjecture relating the HO…
The purpose of this article is twofold. First we outline a general construction scheme for producing simply-connected minimal symplectic 4-manifolds with small Euler characteristics. Using this scheme, we illustrate how to obtain irreducible symplectic 4-manifolds homeomorphic but not diffeomorphic to $\CP#(2k+1)\CPb$ …
A risk of small defined-benefit pension schemes is that there are too few members to eliminate idiosyncratic mortality risk, that is there are too few members to effectively pool mortality risk. This means that when there are few members in the scheme, there is an increased risk of the liability value deviating signifi…
Efficiently simulates the Heston model with large time steps using a novel method.
ISALT uses inference to simulate SDEs with large time-steps, improving efficiency.
Extends Nash-Kuiper theorem to higher Hölder exponents.
Paper analyzes Langevin dynamics for multimodal Gaussian mixtures, controlling errors across dimensions.