arXiv research

New method models portfolios with leptokurtic risk factors using Gram-Charlier expansions.

Motivated by the need for parametric families of rich and yet tractable distributions in financial mathematics, both in pricing and risk management settings, but also considering wider statistical applications, we investigate a novel technique for introducing skewness or kurtosis into a symmetric or other distribution.…

This paper demonstrates the efficiency of using Edgeworth and Gram-Charlier expansions in the calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion (DD-SV-LMM). Our approach brings together two research areas; first, the results regarding the SV-LMM since the work of Wu and Zhang (200…

Proposes a new model for negative interest rates that fits market data closely.

The article derives a novel Gram-Charlier A (GCA) Series based Extended Rule-of-Thumb (ExROT) for bandwidth selection in Kernel Density Estimation (KDE). There are existing various bandwidth selection rules achieving minimization of the Asymptotic Mean Integrated Square Error (AMISE) between the estimated probability d…

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log returns admits a Gram-Charlier A expansion with closed-form coefficients. We derive close…

Accounting for the non-normality of asset returns remains challenging in robust portfolio optimization. In this article, we tackle this problem by assessing the risk of the portfolio through the "amount of randomness" conveyed by its returns. We achieve this by using an objective function that relies on the exponential…

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density in which skewness and ku…

Financial undertakings often have to deal with liabilities of the form 'non-hedgeable claim size times value of a tradeable asset', e.g. foreign property insurance claims times fx rates. Which strategy to invest in the tradeable asset is risk minimal? We generalize the Gram-Charlier series for the sum of two dependent …

Rescaling expansiveness proven for k*-expansive vector fields.

The paper derives expansions for Green's operators and resolvents using Hadamard methods.

Develops a martingale expansion for stochastic volatility models.

Taylor expansions improve reinforcement learning policies.

Analytic torsion expansions for symmetric and complex homogeneous spaces.

Proved cyclotomic expansion for double twist knots' HOMFLY-PT invariants.

Study of hypersurfaces with specific expansion properties.

A new hypergraph expansion method treats vertices and hyperedges equally, improving node classification.

Asymmetric expansion preserves convexity in hyperbolic geometry.

The paper calculates asymptotic expansions for specific types of oscillatory integrals.

Dropout increases the generalization of neural networks by expanding the weight space.

New derivation of knot invariants from universal invariant.

This work explores functional expansions to handle path dependence in various fields.

In the planar limit of the 't Hooft expansion, the Wilson-loop average in 3d Chern-Simons theory (i.e. the HOMFLY polynomial) depends in a very simple way on representation (the Young diagram), so that the (knot-dependent) Ooguri-Vafa partition function becomes a trivial KP tau-function. We study higher genus correctio…

Paper calculates third coefficient in Kaehler-Einstein metric expansion.

We describe the first known mean-field study of landing probabilities for random walks on hypergraphs. In particular, we examine clique-expansion and tensor methods and evaluate their mean-field characteristics over a class of random hypergraph models for the purpose of seed-set community expansion. We describe paramet…

Study on heat trace expansion for thermoelastic Dirichlet-to-Neumann map.

The paper proposes and proves asymptotic expansions for quantum invariants.

Develops AMITE for analyzing neural network nonlinearities.

We survey recent results about the asymptotic expansion of Toeplitz operators and their kernels, as well as Berezin-Toeplitz quantization. We deal in particular with calculation of the first coefficients of these expansions.

Paper presents new expansions for option pricing with cash dividends.

The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic expansion is around the Black-Scholes price and is uniform in bounded payoff func- tions. The result provides a validat…

The paper uses polyhedral expansions to capture the shape of compact metric spaces.

We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied volatility which is already known, we compute the first order correction exactly at all strikes from the scalar coefficient of the heat kern…

We quantify predictive uncertainty using the posterior predictive variance.

The study improves volatility model pricing accuracy with new statistical expansions.

The notion of a symplectic expansion directly relates the topology of a surface to formal symplectic geometry. We give a method to construct a symplectic expansion by solving a recurrence formula given in terms of the Baker-Campbell-Hausdorff series.

For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials in the log strike. We illustrate the versatility of our expansion by computing t…

BERET improves binary expansion test for multivariate independence.

Researchers calculate the second coefficient in the expansion of a Toeplitz operator.

Density expansions for hypoelliptic diffusions $(X^1,...,X^d)$ are revisited. In particular, we are interested in density expansions of the projection $(X_T^1,...,X_T^l)$, at time $T>0$, with $l \leq d$. Global conditions are found which replace the well-known "not-in-cutlocus" condition known from heat-kernel asymptot…

We introduce an asymptotic small noise expansion, a so called vol-of-vol expansion, for potentially infinite dimensional and rough stochastic volatility models. Thereby we extend the scope of existing results for finite dimensional models and validate claims for infinite dimensional models. Furthermore we provide new, …

Paper proposes a new Taylor moment expansion for non-linear Gaussian filtering and smoothing.

For an orientable surface $S$ of finite topological type with genus $g \geq 3$, we construct a finite set of curves whose union of iterated rigid expansions is the curve graph of $S$. The set constructed, and the method of rigid expansion, are closely related to Aramayona and Leiniger's finite rigid set, and in fact a …

An overview of the perturbative expansion of the Chern--Simons path integral is given. The main goal is to describe how trivalent graphs appear: as they already occur in the perturbative expansion of an analogous finite-dimensional integral, we discuss this case in detail.

We investigate the analogy between the large N expansion in normal matrix models and the asymptotic expansion of the determinant of the Hilb map, appearing in the study of critical metrics on complex manifolds via projective embeddings. This analogy helps to understand the geometric meaning of the expansion of matrix m…

Using sequence to sequence algorithms for query expansion has not been explored yet in Information Retrieval literature nor in Question-Answering's. We tried to fill this gap in the literature with a custom Query Expansion engine trained and tested on open datasets. Starting from open datasets, we built a Query Expansi…

Study local expansions of continuous-time processes using Ito signature properties.

Cumulant expansion is used to derive accurate closed-form approximation for Monthly Sum Options in case of constant volatility model. Payoff of Monthly Sum Option is based on sum of $N$ caped (and probably floored) returns. It is noticed, that $1/\sqrt{N}$ can be used as a small parameter in Edgeworth expansion. First …