arXiv research

Improved SV estimator for efficient data valuation.

Swept Volume (SV), the volume displaced by an object when it is moving along a trajectory, is considered a useful metric for motion planning. First, SV has been used to identify collisions along a trajectory, because it directly measures the amount of space required for an object to move. Second, in sampling-based moti…

Stochastic volatility (SV) models are nonlinear state-space models that enjoy increasing popularity for fitting and predicting heteroskedastic time series. However, due to the large number of latent quantities, their efficient estimation is non-trivial and software that allows to easily fit SV models to data is rare. W…

Linking SV and PDV models for better volatility forecasts.

The SV-GARCH-EVT model improves risk assessment in financial markets.

CGAs estimate team performance from data, simplifying SV computation.

Framework for sensitivity analysis in biomanufacturing processes.

Improved volatility estimation using SV-PF-RNN.

Improved Shapley Value method for better model interpretation.

Improved Shapley Values for tree-based models, more accurate than existing methods.

Stochastic volatility (SV) models mimic many of the stylized facts attributed to time series of asset returns, while maintaining conceptual simplicity. The commonly made assumption of conditionally normally distributed or Student-t-distributed returns, given the volatility, has however been questioned. In this manuscri…

The NIG model outperforms others in pricing S&P 500 index options.

We apply the hybrid Monte Carlo (HMC) algorithm to the financial time sires analysis of the stochastic volatility (SV) model for the first time. The HMC algorithm is used for the Markov chain Monte Carlo (MCMC) update of volatility variables of the SV model in the Bayesian inference. We compute parameters of the SV mod…

We prove that the Brin-Thompson groups sV, also called higher dimensional Thompson's groups, are of type F_\infty for all natural numbers s. This result was previously shown for s up to 3, by considering the action of sV on a naturally associated space. Our key step is to retract this space to a subspace sX which is ea…

Efficiently infers gene regulatory networks from spatial data.

Several studies explore inferences based on stochastic volatility (SV) models, taking into account the stylized facts of return data. The common problem is that the latent parameters of many volatility models are high-dimensional and analytically intractable, which means inferences require approximations using, for exa…

FedCoin uses blockchain to fairly distribute incentives in federated learning.

This paper proposes a new method to fairly value data in federated learning.

The stochastic volatility model is one of volatility models which infer latent volatility of asset returns. The Bayesian inference of the stochastic volatility (SV) model is performed by the hybrid Monte Carlo (HMC) algorithm which is superior to other Markov Chain Monte Carlo methods in sampling volatility variables. …

Sparse classifiers such as the support vector machines (SVM) are efficient in test-phases because the classifier is characterized only by a subset of the samples called support vectors (SVs), and the rest of the samples (non SVs) have no influence on the classification result. However, the advantage of the sparsity has…

In 'A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options', Heston proposes a Stochastic Volatility (SV) model with constant interest rate and derives a semi-explicit valuation formula. Heston also describes, in general terms, how the model could be extended to inc…

The sampling efficiency of MCMC methods in Bayesian inference for stochastic volatility (SV) models is known to highly depend on the actual parameter values, and the effectiveness of samplers based on different parameterizations varies significantly. We derive novel algorithms for the centered and the non-centered para…

We find various exact solutions for a new stochastic volatility (SV) model: the transition probability density, European-style option values, and (when it exists) the martingale defect. This may represent the first example of an SV model combining exact solutions, GBM-type volatility noise, and a stationary volatility …

Exact path simulation of the underlying state variable is of great practical importance in simulating prices of financial derivatives or their sensitivities when there are no analytical solutions for their pricing formulas. However, in general, the complex dependence structure inherent in most nontrivial stochastic vol…

Let $SV^{\pmb n}_{\pmb d}$ be the Segre-Veronese given as the image of the embedding induced by the line bundle $\mathcal{O}_{\mathbb{P}^{n_1}\times\dots\times\mathbb{P}^{n_r}}(d_1,\dots, d_r)$. We prove that asymptotically $SV^{\pmb n}_{\pmb d}$ is not $h$-defective for $h\leq n_1^{\lfloor \log_2(d-1)\rfloor}$.

In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on importance of the jump part in the underlying model dynamics. Also an impact of the long memory para…

Study compares models for pricing multi-strike quanto call options with SV, SC, and SER.

Unified deep learning framework improves SV in noisy, reverberant, and long non-speech segments.

Hybrid model combines SV and LSTM for S&P 500 volatility forecasting.

The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility variables of the SV model. First we compute parameters of the SV model by using the artificial financial data and compare …

Improved KNN data valuation method with reduced computation time.

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…

We describe a novel binary classification technique called Banded SVM (B-SVM). In the standard C-SVM formulation of Cortes et al. (1995), the decision rule is encouraged to lie in the interval [1, \infty]. The new B-SVM objective function contains a penalty term that encourages the decision rule to lie in a user specif…

In the paper we compare the modelling ability of discrete-time multivariate Stochastic Volatility models to describe the conditional correlations between stock index returns. We consider four trivariate SV models, which differ in the structure of the conditional covariance matrix. Specifications with zero, constant and…

We introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the optimal decision functions in the corresponding dynamic programming problem can be …

Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or multidimensional parabolic problems of the convection-diffusion type and generaliz…

The Stochastic Volatility (SV) model and its variants are widely used in the financial sector while recurrent neural network (RNN) models are successfully used in many large-scale industrial applications of Deep Learning. Our article combines these two methods in a non-trivial way and proposes a model, which we call th…

SIM-Shapley improves SV approximation efficiency and stability.

The paper addresses numerical integration issues in SV models, proposing a fast regime switching algorithm.

Scalable model checking for stochastic systems using Gaussian Processes and Bayesian Neural Networks.

Researchers compute Greeks for rough Volterra SV models using Malliavin calculus.

Mathematical construction of vertex algebra representations from integrable G2 structures.

RKHS-SHAP uses Shapley values for kernel methods to provide feature attributions.

Approximate Bayesian Computation (ABC) is a framework for performing likelihood-free posterior inference for simulation models. Stochastic Variational inference (SVI) is an appealing alternative to the inefficient sampling approaches commonly used in ABC. However, SVI is highly sensitive to the variance of the gradient…

The paper optimizes financial derivatives for market completion in SV models.

Advertisement (abbreviated ad) options are a recent development in online advertising. Simply, an ad option is a first look contract in which a publisher or search engine grants an advertiser a right but not obligation to enter into transactions to purchase impressions or clicks from a specific ad slot at a pre-specifi…

Singing Voice Separation (SVS) tries to separate singing voice from a given mixed musical signal. Recently, many U-Net-based models have been proposed for the SVS task, but there were no existing works that evaluate and compare various types of intermediate blocks that can be used in the U-Net architecture. In this pap…

The paper compares three option pricing models with varying volatility dynamics.