arXiv research

Hybrid model prices vulnerable options with stochastic volatility.

Study bounds for prices of European and American options with optional termination.

Using a suitable change of probability measure, we obtain a novel Poisson series representation for the arbitrage- free price process of vulnerable contingent claims in a regime-switching market driven by an underlying continuous- time Markov process. As a result of this representation, along with a short-time asymptot…

In this work we want to provide a general principle to evaluate the CVA (Credit Value Adjustment) for a vulnerable option, that is an option subject to some default event, concerning the solvability of the issuer. CVA is needed to evaluate correctly the contract and it is particularly important in presence of WWR (Wron…

We consider the problem of computing the Credit Value Adjustment ({CVA}) of a European option in presence of the Wrong Way Risk ({WWR}) in a default intensity setting. Namely we model the asset price evolution as solution to a linear equation that might depend on different stochastic factors and we provide an approxima…

The paper tackles pricing vulnerable options via generalized BSDEs and penalization schemes.

In this paper, we propose the exponential Levy neural network (ELNN) for option pricing, which is a new non-parametric exponential Levy model using artificial neural networks (ANN). The ELNN fully integrates the ANNs with the exponential Levy model, a conventional pricing model. So, the ELNN can improve ANN-based model…

mFI-PSO generates effective adversarial images for DNNs.

Analyzes valuation of derivative claims with asymmetric funding costs and WWR.

We take the holistic approach of computing an OTC claim value that incorporates credit and funding liquidity risks and their interplays, instead of forcing individual price adjustments: CVA, DVA, FVA, KVA. The resulting nonlinear mathematical problem features semilinear PDEs and FBSDEs. We show that for the benchmark v…

Framework to mitigate adversarial attacks by allowing classifiers to abstain.

One of the main drawbacks of deep neural networks, like many other classifiers, is their vulnerability to adversarial attacks. An important reason for their vulnerability is assigning high confidence to regions with few or even no feature points. By feature points, we mean a nonlinear transformation of the input space …

Study on CVA in volatility models, including rough volatility.

The detection of software vulnerabilities (or vulnerabilities for short) is an important problem that has yet to be tackled, as manifested by the many vulnerabilities reported on a daily basis. This calls for machine learning methods for vulnerability detection. Deep learning is attractive for this purpose because it a…

Each year, thousands of software vulnerabilities are discovered and reported to the public. Unpatched known vulnerabilities are a significant security risk. It is imperative that software vendors quickly provide patches once vulnerabilities are known and users quickly install those patches as soon as they are available…

Despite the remarkable performance of deep neural networks on various computer vision tasks, they are known to be susceptible to adversarial perturbations, which makes it challenging to deploy them in real-world safety-critical applications. In this paper, we conjecture that the leading cause of adversarial vulnerabili…

A membership inference attack (MIA) against a machine-learning model enables an attacker to determine whether a given data record was part of the model's training data or not. In this paper, we provide an in-depth study of the phenomenon of disparate vulnerability against MIAs: unequal success rate of MIAs against diff…

Increasing numbers of software vulnerabilities are discovered every year whether they are reported publicly or discovered internally in proprietary code. These vulnerabilities can pose serious risk of exploit and result in system compromise, information leaks, or denial of service. We leveraged the wealth of C and C++ …

Over the past few years, neural networks were proven vulnerable to adversarial images: targeted but imperceptible image perturbations lead to drastically different predictions. We show that adversarial vulnerability increases with the gradients of the training objective when viewed as a function of the inputs. Surprisi…

New risk measures assess cryptocurrency market vulnerabilities during financial distress.

Preschool attendance correlates with lower developmental vulnerabilities in Queensland, Australia.

Study on measuring vulnerability of neural network parameters via corruption.

DeBayes uses Bayesian methods to create fair network embeddings.

The paper develops formulas for hedging and arbitrage in markets with random stopping times.

Study reveals how high-dimensional models are vulnerable to consistent adversarial attacks.

Thousands of security vulnerabilities are discovered in production software each year, either reported publicly to the Common Vulnerabilities and Exposures database or discovered internally in proprietary code. Vulnerabilities often manifest themselves in subtle ways that are not obvious to code reviewers or the develo…

We are concerned with the vulnerability of computer vision models to distributional shifts. We formulate a combinatorial optimization problem that allows evaluating the regions in the image space where a given model is more vulnerable, in terms of image transformations applied to the input, and face it with standard se…

The paper analyzes how much data points can be altered to change their rank in nearest neighbor searches.

New method certifies joint adversarial robustness of model ensembles.

Proposes BU-SPO method to improve text classification robustness.

Language model benchmarks often misrepresent true understanding, revealing vulnerabilities in evaluation methods.

DVERGE diversifies adversarial vulnerabilities to enhance robust ensemble models.

Paper examines vulnerabilities in data-driven pricing schemes.

New method defends RL agents from poisoning attacks without MDP knowledge.

Motivated by the problem of automated repair of software vulnerabilities, we propose an adversarial learning approach that maps from one discrete source domain to another target domain without requiring paired labeled examples or source and target domains to be bijections. We demonstrate that the proposed adversarial l…

Improved security of smart contracts by classifying them into four categories.

This paper extensively evaluates the vulnerability of capsule networks to different adversarial attacks. Recent work suggests that these architectures are more robust towards adversarial attacks than other neural networks. However, our experiments show that capsule networks can be fooled as easily as convolutional neur…

Designing models that are robust to small adversarial perturbations of their inputs has proven remarkably difficult. In this work we show that the reverse problem---making models more vulnerable---is surprisingly easy. After presenting some proofs of concept on MNIST, we introduce a generic tilting attack that injects …

Graph neural network (GNN), as a powerful representation learning model on graph data, attracts much attention across various disciplines. However, recent studies show that GNN is vulnerable to adversarial attacks. How to make GNN more robust? What are the key vulnerabilities in GNN? How to address the vulnerabilities …

Study reveals how neural network smoothness affects their vulnerability to adversarial attacks.

The success of modern Artificial Intelligence (AI) technologies depends critically on the ability to learn non-linear functional dependencies from large, high dimensional data sets. Despite recent high-profile successes, empirical evidence indicates that the high predictive performance is often paired with low robustne…

Boosting algorithms predict financial vulnerability of farmers in Chile and Tunisia.

Deep neural networks (DNNs) are found to be vulnerable against adversarial examples, which are carefully crafted inputs with a small magnitude of perturbation aiming to induce arbitrarily incorrect predictions. Recent studies show that adversarial examples can pose a threat to real-world security-critical applications:…

Study identifies key parameters and input dimensions making LLMs and VLMs brittle.

New insights into adversarial vulnerability linked to manifold separability issues.

This paper evaluates targeted data poisoning attacks by focusing on the hardest samples, improving evaluation and defense strategies.

Paper tackles model vulnerabilities by reconstructing training data.

New method compares DP mechanisms beyond $(\varepsilon, δ)$ pairs.