arXiv research

Paper presents a fast algorithm for pricing Bermudan swaptions under the two-factor Hull-White model.

Kernel density estimation (KDE) is a popular statistical technique for estimating the underlying density distribution with minimal assumptions. Although they can be shown to achieve asymptotic estimation optimality for any input distribution, cross-validating for an optimal parameter requires significant computation do…

Solves optimal stopping for Gauss-Markov bridges using time-space transformation.

We define a transformation on harmonic maps from a Riemann surface into the 2-sphere which depends on a complex parameter, the so-called mu-Darboux transformation. In the case when the harmonic map N is the Gauss map of a constant mean curvature surface f and the parameter is real, the mu-Darboux transformation of -N i…

Approximate Newton methods are a standard optimization tool which aim to maintain the benefits of Newton's method, such as a fast rate of convergence, whilst alleviating its drawbacks, such as computationally expensive calculation or estimation of the inverse Hessian. In this work we investigate approximate Newton meth…

Study spherical Fourier transform on hypergeometric type harmonic manifolds.

Study of umbilic points on Willmore surfaces in 3-sphere.

In the present paper, we study the finite type invariants of Gauss words. In the Polyak algebra techniques, we reduce the determination of the group structure to transformation of a matrix into its Smith normal form and we give the simplified form of a universal finite type invariant by means of the isomorphism of this…

Study finite curvature solutions on surfaces with nonnegative Gauss curvature.

Study $D_4^-$-front singularities, compute invariants, and derive a Gauss-Bonnet theorem.

New curvature measures for 4D manifolds with corners defined and related to Gauss-Bonnet.

We characterize Bianchi-Bäcklund transformations of surfaces of positive constant Gauss curvature in terms of dressing actions of the simplest type on the space of harmonic maps.

New form of $D_4^-$-singularities for fronts in 3D space.

A new class of harmonic Hadamard manifolds, those spaces called of hypergeometric type, is defined in terms of Gauss hypergeometric equations. Spherical Fourier transform defined on a harmonic Hadamard manifold of hypergeometric type admits an inversion formula. A characterization of harmonic Hadamard manifold being of…

The Gauss-Newton method is analyzed for neural networks using Riemannian optimization techniques.

Fast algorithm solves BVPs in linear time with probabilistic uncertainty.

We describe the gauge-theoretic approach to transformations in integrable geometry through discussion of two classical examples: surfaces of constant negative Gauss curvature and isothermic surfaces. These are purely expository notes written to accompany some lectures I gave in Fukuoka in May 2015.

We introduce a topological approach to words. Words are approximated by Gauss words and then studied up to natural modifications inspired by homotopy transformations of curves on the plane.

We simplify $D_4^+$-front singularities and apply to geometric invariants.

Fast linear transforms are ubiquitous in machine learning, including the discrete Fourier transform, discrete cosine transform, and other structured transformations such as convolutions. All of these transforms can be represented by dense matrix-vector multiplication, yet each has a specialized and highly efficient (su…

Efficient algorithm finds fast Transformer models.

In this paper, we study strong r-helix hypersurfaces and the special curves on these surfaces. Moreover, we investigated the relations between strong r-helix hypersurfaces and the Gauss transformations of these surfaces in Euclidean n-space.

Efficiently calculates Brazilian stock options with discrete dividends.

A new algorithm computes Fourier coefficients for a specified range efficiently.

Analytical pricing formulas and Greeks are obtained for European and American basket put options using Mellin transforms. We assume assets are driven by geometric Brownian motion which exhibit correlation and pay a continuous dividend rate. A novel approach to numerical Mellin inversion is achieved via the fast Fourier…

Proves long-term smoothness of curved surfaces evolving under specific curvature rules.

This essay, an excerpt of the author's Ph.D. in Philosophy of mathematics (2012) thought of as being a companion to recent discoveries of new explicit Cartan geometry curvatures, analyzes how Gauss, after having devised the isometrically invariant character of curvature, struggled with elimination computations in order…

Study curvature of piecewise metrics using moving frames.

MultiRocket boosts TSC speed and accuracy with pooling and transformations.

A new NUFFT method speeds up option pricing for various strikes.

We study the space of linear difference equations with periodic coefficients and (anti)periodic solutions. We show that this space is isomorphic to the space of tame frieze patterns and closely related to the moduli space of configurations of points in the projective space. We define the notion of combinatorial Gale tr…

In this paper, we propose several dictionary learning algorithms for sparse representations that also impose specific structures on the learned dictionaries such that they are numerically efficient to use: reduced number of addition/multiplications and even avoiding multiplications altogether. We base our work on facto…

We study the problem of optimal pricing and hedging of a European option written on an illiquid asset $Z$ using a set of proxies: a liquid asset $S$, and $N$ liquid European options $P_i$, each written on a liquid asset $Y_i, i=1,N$. We assume that the $S$-hedge is dynamic while the multi-name $Y$-hedge is static. Usin…

Dictionary learning is the task of determining a data-dependent transform that yields a sparse representation of some observed data. The dictionary learning problem is non-convex, and usually solved via computationally complex iterative algorithms. Furthermore, the resulting transforms obtained generally lack structure…

The aim of this paper is to give a new link between integrable systems and minimal surface theory. The dressing operation uses the associated family of flat connections of a harmonic map to construct new harmonic maps. Since a minimal surface in 3-space is a Willmore surface, its conformal Gauss map is harmonic and a d…

The 1-d Schrodinger flow on 2-sphere, the Gauss-Codazzi equation for flat Lagrangian submanifolds in C^n, and the space-time monopole equation are all examples of geometric soliton equations. The linear systems with a spectral parameter (Lax pair) associated to these equations satisfy the reality condition associated t…

Survey on recent developments in isometric immersions using PDE techniques.

In this paper we form relations for the determination of the elements of the Eötvös matrix of the Earth's normal gravity field. In addition a relation between the Gauss curvature of the normal equipotential surface and the Gauss curvature of the actual equipotential surface both passing through the point P is presented…

Bayesian deep learning avoids underfitting by projecting onto null space of generalized Gauss-Newton matrix.

We investigate numerically efficient approximations of eigenspaces associated to symmetric and general matrices. The eigenspaces are factored into a fixed number of fundamental components that can be efficiently manipulated (we consider extended orthogonal Givens or scaling and shear transformations). The number of the…

We present the first steps of a procedure which discretises surface theory in classical projective differential geometry in such a manner that underlying integrable structure is preserved. We propose a canonical frame in terms of which the associated projective Gauss-Weingarten and Gauss-Mainardi-Codazzi equations adop…

Enhances Fourier estimator performance for asynchronous event-data.

In this paper, we derive the price of a European call option of an asset following a normal process assuming stochastic volatility. The volatility is assumed to follow the Cox Ingersoll Ross (CIR) process. We then use the fast Fourier transform (FFT) to evaluate the option price given we know the characteristic functio…

A Laguerre geometric local characterization is given of L-minimal surfaces and Laguerre deformations (T-transforms) of L-minimal isothermic surfaces in terms of the holomorphicity of a quartic and a quadratic differential. This is used to prove that, via their Laguerre Gauss maps, the T-transforms of L-minimal isotherm…

It is demonstrated that the stationary Veselov-Novikov (VN) and the stationary modified Veselov-Novikov (mVN) equations describe one and the same class of surfaces in projective differential geometry: the so-called isothermally asymptotic surfaces, examples of which include arbitrary quadrics and cubics, quartics of Ku…

New algorithms improve RPCA for large matrices with upper rank bounds.

We provide fast algorithms for overconstrained $\ell_p$ regression and related problems: for an $n\times d$ input matrix $A$ and vector $b\in\mathbb{R}^n$, in $O(nd\log n)$ time we reduce the problem $\min_{x\in\mathbb{R}^d} \|Ax-b\|_p$ to the same problem with input matrix $\tilde A$ of dimension $s \times d$ and corr…

The ability to decompose a signal in an orthonormal basis (a set of orthogonal components, each normalized to have unit length) using a fast numerical procedure rests at the heart of many signal processing methods and applications. The classic examples are the Fourier and wavelet transforms that enjoy numerically effic…