On-device research index

arXiv research

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.

168,695 papers · 148 categories

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3 results for “SONIA”

Analytic RFR Option Pricing with Smile and Skewq-fin.MF

Improved model for SOFR, SONIA, and ESTR caplets pricing.

problem Accurate pricing of options on backward-looking rates.

method Extended Turfus and Romero-Bermúdez model to include smile and skew.

result Simple effective variance formulae for caplet pricing.

caplets SOFR SONIA ESTR Hull-White model

2023-01-03abs ↗pdf ↗

SONIA: A Symmetric Blockwise Truncated Optimization Algorithmmath.OC

SONIA optimizes machine learning problems with a novel algorithm.

problem Empirical risk minimization in machine learning.

method Symmetric Blockwise Truncated Optimization (SONIA) algorithm combining second-order and steepest descent steps.

result SONIA converges to stationary points in both convex and nonconvex cases.

empirical risk minimization machine learning optimization second-order methods steepest descent

2020-06-06abs ↗pdf ↗

Linear short rate model with several delaysq-fin.MF

The paper introduces a new short rate model with memory components.

problem Modeling short rate dynamics with past values.

method Integrates memory (delay) components into Merton or Vasiček models.

result Analytical solutions for bond prices and forward rates.

short rate model memory components delay differential equations affine function risk-neutral dynamics

2024-02-26abs ↗pdf ↗