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.
Study compares 5 ODE solvers on 3 case studies, finding varying accuracy.
A new framework improves tensor completion accuracy by considering numerical priors.
New ODE solvers improve training efficiency and accuracy.
The aim of this work is to provide fast and accurate approximation schemes for the Monte-Carlo pricing of derivatives in the Lévy LIBOR model of Eberlein and Özkan (2005). Standard methods can be applied to solve the stochastic differential equations of the successive LIBOR rates but the methods are generally slow. We …
The Normalized Mutual Information (NMI) has been widely used to evaluate the accuracy of community detection algorithms. However in this article we show that the NMI is seriously affected by systematic errors due to finite size of networks, and may give a wrong estimate of performance of algorithms in some cases. We gi…
Diffusion models' speed-accuracy relations derived from thermodynamics.
Paper proposes a method to speed up DNNs by quantizing Winograd/Toom-Cook convolutions.
Single tree outperforms random forest in testing accuracy.
We propose a robust and stable lattice method which permits to obtain very accurate American option prices in presence of CIR stochastic interest rate without any numerical restriction on its parameters. Numerical results show the reliability and the accuracy of the proposed method.
New method stabilizes probabilistic ODE solvers for high accuracy.
We perform a massive evaluation of neural networks with architectures corresponding to random graphs of various types. We investigate various structural and numerical properties of the graphs in relation to neural network test accuracy. We find that none of the classical numerical graph invariants by itself allows to s…
Paper introduces new metrics for evaluating model accuracy.
We study polygonal analogues of several moving boundary problems and their time discretization which preserves the constant area speed property. We establish various polygonal analogues of geometric formulas for moving boundaries and make use of the geometric formulas for our numerical scheme and its analysis of genera…
With ever-increasing computational demand for deep learning, it is critical to investigate the implications of the numeric representation and precision of DNN model weights and activations on computational efficiency. In this work, we explore unconventional narrow-precision floating-point representations as it relates …
HRTPP improves TPP interpretability and accuracy in medical event modeling.
This paper deals with the numerical approximation of American-style option values governed by partial differential complementarity problems. For a variety of one- and two-asset American options we investigate by ample numerical experiments the temporal convergence behaviour of three modern splitting methods: the explic…
New ladder methods improve numerical accuracy in parallel transport on manifolds.
New findings show score matching's accuracy doesn't ensure numerical stability in diffusion sampling.
A new two-step LSMC method improves game option pricing accuracy.
We construct a three-point compact finite difference scheme on a non-uniform mesh for the time-fractional Black-Scholes equation. We show that for special graded meshes used in finance, the Tavella-Randall and the quadratic meshes the numerical solution has a fourth-order accuracy in space. Numerical experiments are di…
In recent years, randomized methods for numerical linear algebra have received growing interest as a general approach to large-scale problems. Typically, the essential ingredient of these methods is some form of randomized dimension reduction, which accelerates computations, but also creates random approximation error.…
A new method computes Greeks for multi-asset options using tensor trains and Fourier transforms.
Lightweight architectural designs of Convolutional Neural Networks (CNNs) together with quantization have paved the way for the deployment of demanding computer vision applications on mobile devices. Parallel to this, alternative formulations to the convolution operation such as FFT, Strassen and Winograd, have been ad…
Hybrid method improves accuracy and speed of breast model parameter estimation.
We apply results of Malliavin-Thalmaier-Watanabe for strong and weak Taylor expansions of solutions of perturbed stochastic differential equations (SDEs). In particular, we work out weight expressions for the Taylor coefficients of the expansion. The results are applied to LIBOR market models in order to deal with the …
We propose and analyze numerical methods for the Heath-Jarrow-Morton (HJM) model. To construct the methods, we first discretize the infinite dimensional HJM equation in maturity time variable using quadrature rules for approximating the arbitrage-free drift. This results in a finite dimensional system of stochastic dif…
We derive caplet volatilities for quadratic models, providing an asymptotic approximation.
Improved numerical solution for BSDEs with reduced boundary errors.
SONet stabilizes ODE networks for robustness without adversarial training.
New method for long-term sampling of complex dynamics on curved spaces.
New method for pricing American options in time-dependent models, improving accuracy and efficiency.
A fast regime-split Black-Scholes implied volatility solver
Method improves simulation accuracy by mitigating distribution shift in hybrid systems.
In this article, we propose a new numerical approach to high-dimensional partial differential equations (PDEs) arising in the valuation of exotic derivative securities. The proposed method is extended from Reisinger and Wittum (2007) and uses principal component analysis (PCA) of the underlying process in combination w…
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…
Two-layer networks struggle with high frequencies due to numerical and computational limitations.
We propose an efficient lattice procedure which permits to obtain European and American option prices under the Black and Scholes model for digital options with barrier features. Numerical results show the accuracy of the proposed method.
With the advent of massive data sets much of the computational science and engineering community has moved toward data-intensive approaches in regression and classification. However, these present significant challenges due to increasing size, complexity and dimensionality of the problems. In particular, covariance mat…
In this paper we focus on the subdiffusive Black Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option pricing in the considered model. We derive the governing fractional differential equation and the related weighted numerical scheme being a generalizat…
Study shows how numerical discretization affects reconstructions and parameter distributions in nano metrology.
Space mapping speeds up shape optimization for PDEs.
This paper deals with the evaluation of double line integrals of the squared exponential covariance function. We propose a new approach in which the double integral is reduced to a single integral using the error function. This single integral is then computed with efficiently implemented numerical techniques. The perf…
In this paper, a rapid and high accurate numerical method for pricing discrete single and double barrier knock-out call options is presented. According to the well-known Black-Scholes framework, the price of option in each monitoring date could be calculate by computing a recursive integral formula upon the heat equati…
Vecchia approximations provide the best accuracy-runtime trade-off for Gaussian process approximations.
This paper proposes a numerical method for pricing foreign exchange (FX) options in a model which deals with stochastic interest rates and stochastic volatility of the FX rate. The model considers four stochastic drivers, each represented by an Itô's diffusion with time--dependent drift, and with a full matrix of corre…
New CFNN architecture approximates functions with machine accuracy.
We present a numerical approach for solving the free boundary problem for the Black-Scholes equation for pricing American style of floating strike Asian options. A fixed domain transformation of the free boundary problem into a parabolic equation defined on a fixed spatial domain is performed. As a result a nonlinear t…
We present effective numerical algorithms for locally recovering unknown governing differential equations from measurement data. We employ a set of standard basis functions, e.g., polynomials, to approximate the governing equation with high accuracy. Upon recasting the problem into a function approximation problem, we …