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.
A new retraction on Stiefel manifold with a closed-form inverse.
In this note we consider setups in which variational objectives for Bayesian neural networks can be computed in closed form. In particular we focus on single-layer networks in which the activation function is piecewise polynomial (e.g. ReLU). In this case we show that for a Normal likelihood and structured Normal varia…
New retraction on symplectic Stiefel manifold with closed-form inverse.
New formulas for geodesics on Stiefel and flag manifolds using trust-region method.
New method calculates DMN log-likelihood faster.
Regression problems that have closed-form solutions are well understood and can be easily implemented when the dataset is small enough to be all loaded into the RAM. Challenges arise when data is too big to be stored in RAM to compute the closed form solutions. Many techniques were proposed to overcome or alleviate the…
We derive a closed-form formula for computing bond prices between coupon payments. Our results cover both the `Treasury' and the `Street' pricing methods used by sovereign and corporate issuers. We apply our formulas to two UK gilts, the 8% Treasury Gilt 2015, and the 0.5% Treasury Gilt 2022, and show that we can obtai…
This paper provides a dictionary of closed-form kernel mean embeddings.
Develops efficient methods for approximating densities of financial models with jumps.
Paper introduces robust Gaussian process regression without sacrificing computational efficiency.
New filters for non-linear systems achieve closed-form solutions.
We define and discuss the first sparse coding algorithm based on closed-form EM updates and continuous latent variables. The underlying generative model consists of a standard `spike-and-slab' prior and a Gaussian noise model. Closed-form solutions for E- and M-step equations are derived by generalizing probabilistic P…
Improved portfolio optimization using VaR and CVaR with NMVM models.
The aim of this paper is to study the fast computation of the lower and upper bounds on the value function for utility maximization under the Heston stochastic volatility model with general utility functions. It is well known there is a closed form solution of the HJB equation for power utility due to its homothetic pr…
We revisit the task of learning a Euclidean metric from data. We approach this problem from first principles and formulate it as a surprisingly simple optimization problem. Indeed, our formulation even admits a closed form solution. This solution possesses several very attractive properties: (i) an innate geometric app…
Closed-form relations and approximations for SE(3) derivatives for robust numerical simulations.
New method finds better arbitrage opportunities in AMMs.
Optimal transport (\OT) theory defines a powerful set of tools to compare probability distributions. \OT~suffers however from a few drawbacks, computational and statistical, which have encouraged the proposal of several regularized variants of OT in the recent literature, one of the most notable being the \textit{slice…
Boosting ridge regression for high-dimensional data classification reduces computational cost and improves learning time.
Estimation of the operational risk capital under the Loss Distribution Approach requires evaluation of aggregate (compound) loss distributions which is one of the classic problems in risk theory. Closed-form solutions are not available for the distributions typically used in operational risk. However with modern comput…
For a fundamental solution of Laplace's equation on the -radius -dimensional hypersphere, we compute the azimuthal Fourier coefficients in closed form in two and three dimensions. We also compute the Gegenbauer polynomial expansion for a fundamental solution of Laplace's equation in hyperspherical geometry in geo…
COSMIC identifies LTV systems from large data sets efficiently.
Proposes efficient Bayesian logistic regression for large sparse datasets.
We study the effect of parameters uncertainties on a stochastic diffusion model, in particular the impact on the pricing of contingent claims, thanks to Dirichlet Forms methods. We apply recent techniques, developed by Bouleau, to hedging procedures in order to compute the sensitivities of SDE trajectories with respect…
Closed-form pricing method for multi-asset options.
The paper derives closed-form approximations for mean-reverting SABR models and calibrates them to equity volatilities.
Proximal operators are of particular interest in optimization problems dealing with non-smooth objectives because in many practical cases they lead to optimization algorithms whose updates can be computed in closed form or very efficiently. A well-known example is the proximal operator of the vector norm, whic…
We study the effect of parameter uncertainty on a stochastic diffusion model, in particular the impact on the pricing of contingent claims, using methods from the theory of Dirichlet forms. We apply these techniques to hedging procedures in order to compute the sensitivity of SDE trajectories with respect to parameter …
Neural network discovers exact solutions to QP with linear constraints.
This work studies Gaussian geometry under entropy-regularized 2-Wasserstein distance.
Alternative closed-form formula for spread call option prices under log-normal models.
This paper summarizes closed-form relations for SE(3) maps and their derivatives.
Naz and Chaudhry [3] established multiple closed-form solutions for the basic Lucas-Uzawa model. According to Boucekkine and Ruiz-Tamarit [1] and Chilarescu [2] unique closed-form solutions exist for the basic Lucas-Uzawa model. We equate expressions for variables h(t) and u(t). We provide here condition for the unique…
We solve a Schrödinger bridge with a quadratic state cost, finding a closed-form solution.
We present ARU, an Adaptive Recurrent Unit for streaming adaptation of deep globally trained time-series forecasting models. The ARU combines the advantages of learning complex data transformations across multiple time series from deep global models, with per-series localization offered by closed-form linear models. Un…
We prove that the control polygon of a Bezier curve B becomes homeomorphic and ambient isotopic to B via subdivision, and we provide closed-form formulas to compute the number of iterations to ensure these topological characteristics. We first show that the exterior angles of control polygons converge exponentially to …
New method improves accuracy in computing implied volatility.
A new metric for comparing probability measures on graphs, scalable and negative definite.
Novel Hilbert space Gaussian process improves sequential design accuracy and efficiency.
RPE detects anomalies robustly in time-series data.
Paper derives closed-form solutions for CEV model using semiclassical approximation.
We have created a framework for analyzing subscription based businesses in terms of a unified metric which we call SCV (single customer value). The major advance in this paper is to model customer churn as an exponential decay variable, which directly follows from experimental data relating to subscription based busine…
Paper improves MFC algorithm for clustering linear subspaces.
We consider the inference of the structure of an undirected graphical model in an exact Bayesian framework. More specifically we aim at achieving the inference with close-form posteriors, avoiding any sampling step. This task would be intractable without any restriction on the considered graphs, so we limit our explora…
We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the option price is a solution to the stationary generalized Black-Scholes equation in which the volatility function may depend on the second derivative of the opti…
This article proposes a novel solution for stretchy polynomial regression learning. The solution comes in primal and dual closed-forms similar to that of ridge regression. Essentially, the proposed solution stretches the covariance computation via a power term thereby compresses or amplifies the estimation. Our experim…
Binary classification models get more efficient predictive probabilities.
In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. The value function can be characterized by a variational equation that involves a free boundary problem of a fully nonlinear partial differential equation. Using the dual control method, we der…