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.
Deep nets exhibit 'Neural Collapse' during training's final phase, simplifying decision-making.
In this paper, the `Approximate Message Passing' (AMP) algorithm, initially developed for compressed sensing of signals under i.i.d. Gaussian measurement matrices, has been extended to a multi-terminal setting (MAMP algorithm). It has been shown that similar to its single terminal counterpart, the behavior of MAMP algo…
Optimal asset allocation strategy outperforms stochastic benchmark.
We introduce two simple models of forward-backward stochastic differential equations with a singular terminal condition and we explain how and why they appear naturally as models for the valuation of CO2 emission allowances. Single phase cap-and-trade schemes lead readily to terminal conditions given by indicator funct…
We consider an interest rate model with log-normally distributed rates in the terminal measure in discrete time. Such models are used in financial practice as parametric versions of the Markov functional model, or as approximations to the log-normal Libor market model. We show that the model has two distinct regimes, a…
We consider the class of short rate interest rate models for which the short rate is proportional to the exponential of a Gaussian Markov process x(t) in the terminal measure r(t) = a(t) exp(x(t)). These models include the Black, Derman, Toy and Black, Karasinski models in the terminal measure. We show that such intere…
Applicability of the concept of financial log-periodicity is discussed and encouragingly verified for various phases of the world stock markets development in the period 2000-2010. In particular, a speculative forecasting scenario designed in the end of 2004, that properly predicted the world stock market increases in …
Paper proposes a deep RL method for hedging variable annuities, outperforming misspecified models.
Adaptive algorithm identifies best arm with abstention, showing phase transition from polynomial to exponential error probability.
New loss function improves classification for imbalanced and sensitive groups.
To improve the efficient frontier of the classical mean-variance model in continuous time, we propose a varying terminal time mean-variance model with a constraint on the mean value of the portfolio asset, which moves with the varying terminal time. Using the embedding technique from stochastic optimal control in conti…
This paper simplifies fine-tuning for small LLMs, reducing barriers for developers.
In this work, we consider the problem of autonomously discovering behavioral abstractions, or options, for reinforcement learning agents. We propose an algorithm that focuses on the termination condition, as opposed to -- as is common -- the policy. The termination condition is usually trained to optimize a control obj…
Methodology that recently lead us to predict to an amazing accuracy the date (July 11, 2008) of reverse of the oil price up trend is briefly summarized and some further aspects of the related oil price dynamics elaborated. This methodology is based on the concept of discrete scale invariance whose finance-prediction-or…
Study bounds for prices of European and American options with optional termination.
The paper finds optimal threshold strategies for insurance companies with a positive terminal value at creeping ruin.
New method preserves distances in time series data.
Proves finite step termination of Kähler-Einstein metric singularity formation.
The study proves a key inequality for specific types of three-dimensional spaces.
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero coupon bond price, the inflation-linked bond and the risky asset. A plan member…
New test for SGD in binary classification reduces computation time.
Employee stock options (ESOs) are American-style call options that can be terminated early due to employment shock. This paper studies an ESO valuation framework that accounts for job termination risk and jumps in the company stock price. Under general Lévy stock price dynamics, we show that a higher job termination ri…
We establish existence, uniqueness and regularity of solution results for a class of backward stochastic partial differential equations with singular terminal condition. The equation describes the value function of non-Markovian stochastic optimal control problem in which the terminal state of the controlled process is…
We prove that the sum of the -invariants of two different Kollár components of a Kawamata log terminal singularity is less than .
New method for computing terminal embeddings in sublinear time.
Locally adaptive clustering for tree delineation.
GTBO uses group testing to optimize high-dimensional functions efficiently.
Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In case of a single uncollateralised swap transaction under ISDA between two defaultable counterparties, the additional unilat…
RW-based learning is vulnerable to the Pac-Man attack, which eliminates active RWs.
In reinforcement learning, a decision needs to be made at some point as to whether it is worthwhile to carry on with the learning process or to terminate it. In many such situations, stochastic elements are often present which govern the occurrence of rewards, with the sequential occurrences of positive rewards randoml…
Study optimal liquidation with multiple regimes using BSDEs with singular terminal values.
This paper establishes the existence of a unique nonnegative continuous viscosity solution to the HJB equation associated with a Markovian linear-quadratic control problems with singular terminal state constraint and possibly unbounded cost coefficients. The existence result is based on a novel comparison principle for…
New reward function improves GAIL performance in task-based environments.
We provide representations of solutions to terminal value problems of inhomogeneous Black-Scholes equations and studied such general properties as min-max estimates, gradient estimates, monotonicity and convexity of the solutions with respect to the stock price variable, which are important for financial security prici…
Develops a learning model predictive controller for competitive racing.
A new BO termination criterion for HPO reduces optimization time without sacrificing test performance.
Circular nets with spherical parameter lines have geometric properties related to Darboux cyclides and terminating Laplace sequences.
We apply the language of the groupoid approach to Lie pseudo-groups, and the classical Cartan-Kuranishi theorem, to prove that Cartan's equivalence method terminates at involution (or at complete reduction) for constant type problems.
TVM improves generative modeling by matching terminal velocities.
The paper analyzes and proposes a new stopping criterion for recursive Bayesian classification.
Researchers find Kähler-Einstein metrics near isolated log terminal singularities.
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly related to a DC pension plan where additionally (individual) consumption is taken i…
ETCNN uses neural networks to price American options accurately.
Quantum control is valuable for various quantum technologies such as high-fidelity gates for universal quantum computing, adaptive quantum-enhanced metrology, and ultra-cold atom manipulation. Although supervised machine learning and reinforcement learning are widely used for optimizing control parameters in classical …
We study the existence of a minimal supersolution for backward stochastic differential equations when the terminal data can take the value + with positive probability. We deal with equations on a general filtered probability space and with generators satisfying a general monotonicity assumption. With this minim…
Optimizes cash management in ATM networks to reduce costs and increase revenue.
Proof of complex geometry theorem for specific singular spaces.
The paper examines special Q-nets that terminate after a finite number of Laplace steps.