arXiv research

New technique reduces FRTB IMA capital calculation burden by over 90%.

Overlay framework simplifies exotic derivative pricing.

In this paper we extend the existing literature on xVA along three directions. First, we enhance current BSDE-based xVA frameworks to include initial margin in presence of defaults. Next, we solve the consistency problem that arises when the front-office desk of the bank uses trade-specific discount curves (CSA discoun…

Paper presents a machine learning-based method for efficiently pricing and hedging autocallable structured notes with multiple underlying assets.

In this paper, we study the ability to make the short-term prediction of the exchange price fluctuations towards the United States dollar for the Bitcoin market. We use the data of realized volatility collected from one of the largest Bitcoin digital trading offices in 2016 and 2017 as well as order information. Experi…

Paper classifies institutions based on credit, debit, and funding adjustment paradigms.

This report was originally written as an industry white paper on Hedge Funds. This paper gives an overview to Hedge Funds, with a focus on risk management issues. We define and explain the general characteristics of Hedge Funds, their main investment strategies and the risk models employed. We address the problems in H…

A novel multi-objective optimization framework improves insurance pricing fairness.

A new sequencing rule prevents miners from front-running transactions in decentralized exchanges.

Predicting discomfort glare in open-plan offices is a challenging problem. Although glare research has existed for more than 50 years, all current glare metrics have accuracy limitations, especially in open-plan offices with low lighting levels. Thus, it is crucial to develop a new method to predict glare more accurate…

For a monotonically advancing front, the arrival time is the time when the front reaches a given point. We show that it is twice differentiable everywhere with uniformly bounded second derivative. It is smooth away from the critical points where the equation is degenerate. We also show that the critical set has finite …

The study uses machine learning to analyze office floor plans and predict function based on geometry.

Model predicts trading strategies based on latent demand and price impact.

Enhances price sentiment index using survey comments.

For the numerical solution of the American option valuation problem, we provide a script written in MATLAB implementing an explicit finite difference scheme. Our main contribute is the definition of a posteriori error estimator for the American options pricing which is based on Richardson's extrapolation theory. This e…

After Galvez, Martinez and Milan discovered a (Weierstrass-type) holomorphic representation formula for flat surfaces in hyperbolic 3-space, the first, third and fourth authors here gave a framework for complete flat fronts with singularities in H^3. In the present work we broaden the notion of completeness to weak com…

Short introduction to discrete flat fronts in hyperbolic space with a Weierstrass representation proof.

Wave fronts on certain surfaces become dense.

Study focal surfaces of wave fronts with unbounded curvatures.

Building models, or maps, of robot environments is a highly active research area; however, most existing techniques construct unstructured maps and assume static environments. In this paper, we present an algorithm for learning object models of non-stationary objects found in office-type environments. Our algorithm exp…

New method finds exact Pareto front for MO-MDPs efficiently.

We characterize singularities of focal surfaces of wave fronts in terms of differential geometric properties of the initial wave fronts. Moreover, we study relationships between geometric properties of focal surfaces and geometric invariants of the initial wave fronts.

The paper shows how null hypersurfaces behave in Lorentz-Minkowski space.

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

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

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

We give criteria for which a principal curvature becomes a bounded $C^\infty$-function at non-degenerate singular points of wave fronts by using geometric invariants. As applications, we study singularities of parallel surfaces and extended distance squared functions of wave fronts. Moreover, we relate these singularit…

As part of the 2016 public evaluation challenge on Detection and Classification of Acoustic Scenes and Events (DCASE 2016), the second task focused on evaluating sound event detection systems using synthetic mixtures of office sounds. This task, which follows the `Event Detection - Office Synthetic' task of DCASE 2013,…

We propose a Lie geometric point of view on flat fronts in hyperbolic space as special omega-surfaces and discuss the Lie geometric deformation of flat fronts.

Proposes a new way to represent and analyze Pareto front surfaces.

FDR criterion simplifies complex causal graphs to a standard front-door setting.

New Bayesian method improves Pareto front estimation in multitask finetuning.

We propose a simple probabilistic model to explain the spatial structure of the rent distribution of housing market in city of Sapporo. Here we modify the mathematical model proposed by Gauvin et. al. Especially, we consider the competition between two distances, namely, the distance between house and center, and the d…

Post-pandemic, work patterns shifted with fewer days in offices and a new midweek mountain.

Recently Arnold's $\St$ and $J^{\pm}$ invariants of generic planar curves have been generalized to the case of generic planar wave fronts. We generalize these invariants to the case of wave fronts on an arbitrary surface $F$. All invariants satisfying the axioms which naturally generalize the axioms used by Arnold are …

We study singularities of Gauss maps of fronts and give characterizations of types of singularities of Gauss maps by geometric properties of fronts which are related to behavior of bounded principal curvatures. Moreover, we investigate relation between a kind of boundedness of Gaussian curvatures near cuspidal edges an…

It is well-known that the unit cotangent bundle of any Riemannian manifold has a canonical contact structure. A surface in a Riemannian 3-manifold is called a (wave) front if it is the projection of a Legendrian immersion into the unit cotangent bundle. We shall give easily-computable criteria for a singular point on a…

Efficient trainable front-end for neural speech enhancement.

It is classically known that complete flat surfaces in Euclidean 3-space are cylinders over space curves. This implies that the study of global behaviour of flat surfaces requires the study of singular points as well. If a flat surface $f$ admits singularities but its Gauss map $ν$ can be smoothly extended across the s…

We shall investigate flat surfaces in hyperbolic 3-space with admissible singularities, called `flat fronts'. An Osserman-type inequality for complete flat fronts is shown. When equality holds in this inequality, we show that all the ends are embedded. Moreover, we shall give new examples for which equality holds.

A first order Vassiliev invariant of an oriented knot in an $S^1$-fibration and a Seifert fibration over a surface is constructed. It takes values in a quotient of the group ring of the first homology group of the total space of the fibration. It gives rise to an invariant of wave fronts on surfaces and orbifolds relat…

In this note we present a description of wave front evolving from an algebraic hypersurface by means of a pull-back of the discriminantal loci of a tame polynomial via a polynomial mapping. As an application we give examples of wave fronts which define free/almost free divisors near the focal point.

Two wave fronts $W_1$ and $W_2$ that originated at some points of the manifold $M^n$ are said to be causally related if one of them passed through the origin of the other before the other appeared. We define the causality relation invariant $CR (W_1, W_2)$ to be the algebraic number of times the earlier born front pass…

Study finds rigid submanifolds in spacelike waves under specific conditions.

We give a definition of `coherent tangent bundles', which is an intrinsic formulation of wave fronts. In our application of coherent tangent bundles for wave fronts, the first fundamental forms and the third fundamental forms are considered as induced metrics of certain homomorphisms between vector bundles. They satisf…

We construct a complete, bounded Legendrian immersion in C^3. As direct applications of it, we show the first examples of a weakly complete bounded flat front in hyperbolic 3-space, a weakly complete bounded flat front in de Sitter 3-space, and a weakly complete bounded improper affine front in R^3.

Mathematical framework for transfer learning feasibility and transfer risk.

Shorter proof for wave front length in Euclidean disk