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.
New methods for -transform inversion and Wiener-Hopf factorization.
New efficient method for inverse Z-transform reduces complexity significantly.
The paper derives formulas for option pricing and random walk expectations.
A new way to describe correlation matrices makes modeling easier.
Paper introduces a modified Allen-Cahn equation for better energy equipartition.
New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some resemblance to "technical analysis". The results are applied to a typical object of financial engineering, namely the forecast of foreign exchange rates, via a "model-free" setting, i.e., via repeated identifi…
Based on the stochastic model proposed by Patriarca-Kaski-Chakraborti that describes the exchange of wealth between economic agents, we analyze the evolution of the corresponding economies under the assumption of a Gaussian background, modeling the exchange parameter . We demonstrate, that within Gaussian noise,…
Cai, Song and Kou (2015) [Cai, N., Y. Song, S. Kou (2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3): 540-554] made a breakthrough by proposing a general framework for pricing both discretely and continuously monitored Asian options under one-dimensional Markov processes. In …
The z-transform technique is used to investigate the model for distribution of high-tax payers, which is proposed by two of the authors (K. Y and S. M) and others. Our analysis shows an asymptotic power-law of this model with the exponent -5/2 when a total ``mass'' has a certain critical value. Below the critical value…
Proposes a topological framework to study modular invariants and related concepts.
We propose a class of toric Lagrangian A-branes on the resolved conifold that is suitable to describe torus knots on S^3. The key role is played by the SL(2,Z) transformation, which generates a general torus knot from the unknot. Applying the topological vertex to the proposed A-branes, we rederive the colored HOMFLY p…