arXiv research

A new method for robust product Markovian quantization overcomes numerical instabilities.

Improved Heston model produces steeper smile for short maturities.

Unified framework for observables in n-plectic geometry.

Quantization techniques have been applied in many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal control, filtering problems and efficient calibration of large derivative books. Recursive Marginal Quantization of the Euler scheme has recen…

Quantization algorithms have been successfully adopted to option pricing in finance thanks to the high convergence rate of the numerical approximation. In particular, very recently, recursive marginal quantization has been proven to be a flexible and versatile tool when applied to stochastic volatility processes. In th…

Solves a recursion for Gromov-Witten invariants of the unknot.

We revisit the development of grid based recursive approximate filtering of general Markov processes in discrete time, partially observed in conditionally Gaussian noise. The grid based filters considered rely on two types of state quantization: The \textit{Markovian} type and the \textit{marginal} type. We propose a s…

Study quantization schemes on Kähler manifolds linking star products and BV quantizations.

Classifies star products on Lie algebroid duals and extends to projectable quantizations.

In this note we describe the recursion relations between two parameter HOMLFY and Kauffman polynomials of framed links These relation correspond to embeddings of quantized universal enveloping algebras. The relation corresponding to embeddings $g_{n}\supset g_{k}\times sl_{n-k}$ where $g_{n}$ is either $so_{2n+1}$, $so…

We consider a structural model where the survival/default state is observed together with a noisy version of the firm value process. This assumption makes the model more realistic than most of the existing alternatives, but triggers important challenges related to the computation of conditional default probabilities. I…

Inverted file and asymmetric distance computation (IVFADC) have been successfully applied to approximate nearest neighbor search and subsequently maximum inner product search. In such a framework, vector quantization is used for coarse partitioning while product quantization is used for quantizing residuals. In the ori…

A new scheme for FBSDEs simplifies computation without Monte Carlo.

For arbitrary compact quantizable Kaehler manifolds it is shown how a natural formal deformation quantization (star product) can be obtained via Berezin-Toeplitz operators. Results on their semi-classical behaviour (their asymptotic expansion) due to Bordemann, Meinrenken and Schlichenmaier are used in an essential man…

We propose a quantization based approach for fast approximate Maximum Inner Product Search (MIPS). Each database vector is quantized in multiple subspaces via a set of codebooks, learned directly by minimizing the inner product quantization error. Then, the inner product of a query to a database vector is approximated …

This paper provides a methodology for fast and accurate pricing of the long-dated contracts that arise as the building blocks of insurance and pension fund agreements. It applies the recursive marginal quantization (RMQ) and joint recursive marginal quantization (JRMQ) algorithms outside the framework of traditional ri…

I have chosen, in this presentation of Deformation Quantization, to focus on 3 points: the uniqueness --up to equivalence-- of a universal star product (universal in the sense of Kontsevich) on the dual of a Lie algebra, the cohomology classes introduced by Deligne for equivalence classes of differential star products …

Lectures on symplectic and Poisson geometry, quantization, and quantum field theory.

Quantization based techniques are the current state-of-the-art for scaling maximum inner product search to massive databases. Traditional approaches to quantization aim to minimize the reconstruction error of the database points. Based on the observation that for a given query, the database points that have the largest…

We produce examples of codimension one foliations of the Euclidean and hyperbolic planes with bounded geometry which are topologically products, but for which leaves are non-recursively distorted. That is, the function which compares intrinsic distances in leaves with extrinsic distances in the ambient space grows fast…

Quantizes geodesic lengths in Teichmüller spaces using algebraic methods.

Study provides explicit formula for complex 2D Kähler manifold quantization.

Formally equates two quantization methods and constructs non-commutative algebras.

The paper constructs a star product on a symplectically reduced phase space for a lattice gauge model.

Vectors of data are at the heart of machine learning and data mining. Recently, vector quantization methods have shown great promise in reducing both the time and space costs of operating on vectors. We introduce a vector quantization algorithm that can compress vectors over 12x faster than existing techniques while al…

We study the Berezin-Toeplitz quantization using as quantum space the space of eigenstates of the renormalized Bochner Laplacian corresponding to eigenvalues localized near the origin on a symplectic manifold. We show that this quantization has the correct semiclassical behavior and construct the corresponding star-pro…

Recursive Marginal Quantization (RMQ) allows fast approximation of solutions to stochastic differential equations in one-dimension. When applied to two factor models, RMQ is inefficient due to the fact that the optimization problem is usually performed using stochastic methods, e.g., Lloyd's algorithm or Competitive Le…

We formulate a quantization commutes with reduction principle in the setting where the Lie group $G$, the symplectic manifold it acts on, and the orbit space of the action may all be noncompact. It is assumed that the action is proper, and the zero set of a deformation vector field, associated to the momentum map and a…

We propose an explicit construction of the deformation quantization of the general second-class constrained system, which is covariant with respect to local coordinates on the phase space. The approach is based on constructing the effective first-class constraint (gauge) system equivalent to the original second-class o…

Quantization on even-dimensional compact manifolds using cell decomposition.

Paper proposes a method to speed up DNNs by quantizing Winograd/Toom-Cook convolutions.

In analogy with a recursive formula for the HOMFLY-PT polynomial of links given by Jaeger, we give a recursive formula for the graph polynomial introduced by Kauffman and Vogel. We show how this formula extends to the Khovanov-Rozansky graph homology.

Develops a new method for quantizing rough volatility for volatility derivatives pricing.

The paper constructs quantizations for symplectic manifolds with specific Laplacian properties.

The main goal of this paper is to compute the characteristic class of the Alekseev-Lachowska *-product on coadjoint orbits. We deduce an analogue of the Weyl dimension formula in the context of deformation quantization.

It is known that holomorphic Poisson structures are closely related to theories of generalized Kähler geometry and bi-Hermitian structures. In this article, we introduce quantization of holomorphic Poisson structures which are closely related to generalized Kähler structures /bi-Hermitian structures. By resulting nonco…

Quantizes symplectic manifolds with toric singularities using Toeplitz operators.

Noncommutative geometry connects higher order connections to quantization.

Kasparov defined a distinguished K-homology fundamental class, so called the Dirac element. We prove a localization formula for the Dirac element in K-homology of crossed product of C^{*}-algebras. Then we define the quantization of Hamiltonian G-spaces as a push-forward of the Dirac element. With this, we develop a K-…

This paper develops quantization algorithms for random Fourier features, simplifying the process and improving performance.

This work reduces model size by 86.11% for recommender systems using 4-bit quantization.

This work is a contribution to the area of Strict Quantization (in the sense of Rieffel) in the presence of curvature and non-Abelian group actions. More precisely, we use geometry to obtain explicit oscillatory integral formulae for strongly invariant strict deformation quantizations of a class of solvable symplectic …

Researchers create a star product on a Grassmannian with separation of variables.

The article defines and compares two types of quantizations on compact manifolds.

We present Rotated Adaptive Tetra-iterated Quantizer (RATQ), a fixed-length quantizer for gradients in first order stochastic optimization. RATQ is easy to implement and involves only a Hadamard transform computation and adaptive uniform quantization with appropriately chosen dynamic ranges. For noisy gradients with al…

Paper proposes methods for pricing FX-linked Bermudan options using quantization.

In the first part of this paper we outline the constructions and properties of Fedosov star product and Berezin-Toeplitz star product. In the second part we outline the basic ideas and recent developments on Yau-Tian-Donaldson conjecture on the existence of Kähler metrics of constant scalar curvature. In the third part…

Neural network quantization is becoming an industry standard to efficiently deploy deep learning models on hardware platforms, such as CPU, GPU, TPU, and FPGAs. However, we observe that the conventional quantization approaches are vulnerable to adversarial attacks. This paper aims to raise people's awareness about the …