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.
Characterizes corridors in loss surfaces for gradient-based optimization.
New pension design reduces volatility without guarantees.
It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features. In this paper we assume that the asset price process is Markov with cadlag paths and propose a scheme for computing…
We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose …
This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model-free option-implied volatility (MFIV) when assessing the fractional cointegrating r…
The study focuses on estimating and predicting time-varying origin to destination (OD) trip tables for a dynamic traffic assignment (DTA) model. A bi-level optimisation problem is formulated and solved to estimate OD flows from pre-existent demand matrix and historical traffic flow counts. The estimated demand is then …
We present the method of moments approach to pricing barrier-type options when the underlying is modelled by a general class of jump diffusions. By general principles the option prices are linked to certain infinite dimensional linear programming problems. Subsequently approximating those systems by finite dimensional …
The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process. In this paper, we give an operator algebraic treatment of this problem based on Dyson expansions and moment …
Is AdamW effective under heavy-tailed noise?
We propose a generalization of the best arm identification problem in stochastic multi-armed bandits (MAB) to the setting where every pull of an arm is associated with delayed feedback. The delay in feedback increases the effective sample complexity of standard algorithms, but can be offset if we have access to partial…
The paper proposes a new method to improve microcredit decisions by modeling sequential loan interactions.
Random groups prove length constraints on product of conjugates.
China and EU race to develop hydrogen for energy transition.
Stablecoins offer efficient settlement but externalize costs and risks.
Unified kernel for prediction markets reduces belief variance forecast error.
HSR reduces analyst earnings forecast errors by lowering travel friction.
Researchers approximate spectral targets on manifolds with constant negative curvature.
JFR-rg model explains Japan's stable debt despite high interest rates and low growth.