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.
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and accurate predictions for the value of a large class of options, including those wi…
Recent progress in the development of efficient computational algorithms to price financial derivatives is summarized. A first algorithm is based on a path integral approach to option pricing, while a second algorithm makes use of a neural network parameterization of option prices. The accuracy of the two methods is es…
In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent options on multidimensional assets is obtained and implemented by means of various flexible and efficient algorithms. As an example, we det…
The study compares different game-theoretic attribution methods and finds that interventional Shapley values yield less consistent results than Aumann-Shapley due to path symmetry.
New algorithms sample from complex path measures using neural networks.
Survey on rigorous construction of supersymmetric path integral.
New method improves feature selection by integrating stability paths.
New method for sampling from multivariate distributions using optimal control and quantum mechanics.
In a rigorous construction of the path integral for supersymmetric quantum mechanics on a Riemann manifold, based on Bär and Pfäffle's use of piecewise geodesic paths, the kernel of the time evolution operator is the heat kernel for the Laplacian on forms. The path integral is approximated by the integral of a form on …
A hyperlink is a finite set of non-intersecting simple closed curves in . We compute the Wilson Loop observable using a path integral with an Einstein-Hilbert action. Using axial-gauge fixing, we can write this path integral as the limit of a sequence of Chern-Simons integrals, studied e…
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 …
We study a quantum system in a Riemannian manifold M on which a Lie group G acts isometrically. The path integral on M is decomposed into a family of path integrals on a quotient space Q=M/G and the reduced path integrals are completely classified by irreducible unitary representations of G. It is not necessary to assu…
Researchers calculate the Ray-Singer Torsion for bundles.
Path integral method calculates PDBS option prices with time-dependent parameters.
Derives path-integrals for superstrings on curved backgrounds using string geometry theory.
We give a rigorous construction of the path integral in N=1/2 supersymmetry as an integral map for differential forms on the loop space of a compact spin manifold. It is defined on the space of differential forms which can be represented by extended iterated integrals in the sense of Chen and Getzler-Jones-Petrack. Via…
In the framework of path integral the evolution operator kernel for the Merton-Garman Hamiltonian is constructed. Based on this kernel option formula is obtained, which generalizes the well-known Black-Scholes result. Possible approximation numerical schemes for path integral calculations are proposed.
The paper proves signatures of non-geometric rough paths can approximate functionals uniformly.
A new formula connects supersymmetric path integrals to Chern-Simons theory.
Proposes Geodesic Integrated Gradients (GIG) for more accurate feature attributions in deep networks.
Improved path integral method for financial derivatives pricing.
The paper analyzes how grid cells perform path integration and learns hexagon grid patterns.
Derives path integrals for perturbative strings on various backgrounds.
Path integral method calculates barrier option prices.
We present a representation learning algorithm that learns a low-dimensional latent dynamical system from high-dimensional \textit{sequential} raw data, e.g., video. The framework builds upon recent advances in amortized inference methods that use both an inference network and a refinement procedure to output samples f…
New method improves MAP inference for CGMs on path graphs, avoiding approximation and maintaining integrality.
Many introductory courses in quantum mechanics include Feynman's time-slicing definition of the path integral, with a complete derivation of the propagator in the simplest of cases. However, attempts to generalize this, for instance to non-quadratic potentials, encounter formidable analytic issues in showing the succes…
We give a pragmatic/pedagogical discussion of using Euclidean path integral in asset pricing. We then illustrate the path integral approach on short-rate models. By understanding the change of path integral measure in the Vasicek/Hull-White model, we can apply the same techniques to "less-tractable" models such as the …
We present two different approaches to stochastic integration in frictionless model free financial mathematics. The first one is in the spirit of Itô's integral and based on a certain topology which is induced by the outer measure corresponding to the minimal superhedging price. The second one is based on the controlle…
Foundation for robust finance using rough path theory.
Paper explores rough path theory for frictionless markets, linking NCFL to unbiased rough integrators.
For every adapted, càglàd process (strategy) and typical càdlàg price paths whose jumps satisfy some mild growth condition we define integral as a limit of simple integrals.
Reduces path integrals for interacting systems using dependent coordinates.
In this paper, we aim to understand Residual Network (ResNet) in a scientifically sound way by providing a bridge between ResNet and Feynman path integral. In particular, we prove that the effect of residual block is equivalent to partial differential equation, and the ResNet transforming process can be equivalently co…
Convolution operations designed for graph-structured data usually utilize the graph Laplacian, which can be seen as message passing between the adjacent neighbors through a generic random walk. In this paper, we propose PAN, a new graph convolution framework that involves every path linking the message sender and recei…
Geometrically represents path integral reduction Jacobian for interacting systems.
We study finite-dimensional integrals in a way that elucidates the mathematical meaning behind the formal manipulations of path integrals occurring in quantum field theory. This involves a proper understanding of how Wick's theorem allows one to evaluate integrals perturbatively, i.e., as a series expansion in a formal…
Chen's iterated integrals are treated within synthetic differential geometry. The main result is that iterated integrals produce a subcomplex of the de Rham complex on the free path space as well as based path spaces.
We propose a general strategy to derive null-homotopy operators for differential complexes based on the Bernstein-Gelfand-Gelfand (BGG) construction and properties of the de Rham complex. Focusing on the elasticity complex, we derive path integral operators for elasticity satisfying $\mathscr{D}\mathscr{P…
We introduce renormalized integrals which generalize conventional measure theoretic integrals. One approximates the integration domain by measure spaces and defines the integral as the limit of integrals over the approximating spaces. This concept is implicitly present in many mathematical contexts such as Cauchy's pri…
The present work extends the randomized shortest-paths framework (RSP), interpolating between shortest-path and random-walk routing in a network, in three directions. First, it shows how to deal with equality constraints on a subset of transition probabilities and develops a generic algorithm for solving this constrain…
Let M be a compact Riemannian manifold without boundary and let H be a self-adjoint generalized Laplace operator acting on sections in a bundle over M. We give a path integral formula for the solution to the corresponding heat equation. This is based on approximating path space by finite dimensional spaces of geodesic …
Study path geometries with constant torsion and cone structures.
Develops path integral for spiked tensor model dynamics.
We introduce a model for the dynamics of stock prices based on a non quadratic path integral. The model is a generalization of Ilinski's path integral model, more precisely we choose a different action, which can be tuned to different time scales. The result is a model with a very small number of parameters that provid…
In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the underlying risk-neutral diffusion process. This result greatly eases the computati…
A new method for portfolio allocation in continuous-time markets.
Following Feynman's prescription for constructing a path integral representation of the propagator of a quantum theory, a short-time approximation to the propagator for imaginary time, N=1 supersymmetric quantum mechanics on a compact, even-dimensional Riemannian manifold is constructed. The path integral is interprete…