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 algorithm calculates -invariants for links efficiently.
Woodbury transformations improve deep generative models with efficient invertibility and determinant calculation.
The importance of counterparty credit risk to the derivative contracts was demonstrated consistently throughout the financial crisis of 2008. Accurate valuation of Credit value adjustment (CVA) is essential to reflect the economic values of these risks. In the present article, we reviewed several different approaches f…
Paper proposes efficient method to calculate Fisher-Bingham distribution normalizing constant.
This thesis builds a real-time VaR calculation workflow for crypto derivatives.
New ODE solvers improve training efficiency and accuracy.
Q-SHAP efficiently calculates feature contributions in boosting trees.
Incremental versions of batch algorithms are often desired, for increased time efficiency in the streaming data setting, or increased memory efficiency in general. In this paper we present a novel algorithm for incremental kernel PCA, based on rank one updates to the eigendecomposition of the kernel matrix, which is mo…
Efficient federated algorithm for calculating transportation barycenter.
Paper speeds up visualization of uncertain data.
Deep learning improves portfolio optimization efficiency.
AD-HOC simplifies high-order derivative calculations in C++.
Speeds up complex portfolio exposure calculations.
We develop a general framework for applying the Kelly criterion to stock markets. By supplying an arbitrary probability distribution modeling the future price movement of a set of stocks, the Kelly fraction for investing each stock can be calculated by inverting a matrix involving only first and second moments. The fra…
Paper improves ISDA margin calculation using LSMC.
We introduce a new method to calculate the credit exposure of Bermudan, discretely monitored barrier and European options. Core of the approach is the application of the dynamic Chebyshev method of Glau et al. (2019). The dynamic Chebyshev method delivers a closed form approximation of the option prices along the paths…
We use the divide-and-conquer and scanning algorithms for calculating Khovanov cohomology directly on the Lee- or Bar-Natan deformations of the Khovanov complex to give an alternative way to compute Rasmussen -invariants of knots. By disregarding generators away from homological degree 0 we can considerably improve …
Quantum method calculates risk contributions in credit portfolios efficiently.
Efficiently accelerates attention calculation for Transformers with relative positional encoding.
Efficiently predicts long-time dynamics of quantum spin models using MLP regression.
As part of the new regulatory framework of Solvency II, introduced by the European Union, insurance companies are required to monitor their solvency by computing a key risk metric called the Solvency Capital Requirement (SCR). The official description of the SCR is not rigorous and has lead researchers to develop their…
In this paper, we study the inequality indices for some models of wealth exchange. We calculated Gini index and newly introduced k-index and compare the results with reported empirical data available for different countries. We have found lower and upper bounds for the indices and discuss the efficiencies of the models…
Banks must manage their trading books, not just value them. Pricing includes valuation adjustments collectively known as XVA (at least credit, funding, capital and tax), so management must also include XVA. In trading book management we focus on pricing, hedging, and allocation of prices or hedging costs to desks on an…
Fast covariance calculation is required both for SLAM (e.g.~in order to solve data association) and for evaluating the information-theoretic term for different candidate actions in belief space planning (BSP). In this paper we make two primary contributions. First, we develop a novel general-purpose incremental covaria…
Paper uses MLMC for SCR calculation and stress tests, showing computational efficiency.
PED-ANOVA efficiently calculates HP importance in arbitrary subspaces.
Paper presents efficient algorithms for convolutional neural networks using Winograd minimal filtering.
Valuation of Credit Valuation Adjustment (CVA) has become an important field as its calculation is required in Basel III, issued in 2010, in the wake of the credit crisis. Exposure, which is defined as the potential future loss of a default event without any recovery, is one of the key elementsfor pricing CVA. This pap…
Quasi-Monte Carlo speeds up option Greeks calculation on GPUs.
We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as CV@R and monotone mean-variance. Numerical schemes are developed for the computation of these risk measures using Fourier transform methods. This leads, in particular, to a very …
Analog method solves portfolio optimization problems faster and more efficiently.
Improves meta-learning efficiency with mixed-mode differentiation.
New method uses PINNs to efficiently compute Gerber-Shiu functions.
We show how Adjoint Algorithmic Differentiation (AAD) allows an extremely efficient calculation of correlation Risk of option prices computed with Monte Carlo simulations. A key point in the construction is the use of binning to simultaneously achieve computational efficiency and accurate confidence intervals. We illus…
A method to calculate generalized curvatures of curves in n-dimensional space.
Researchers calculate Shannon entropy rates of hidden Markov processes efficiently.
We address the problem of computing a single linkage dendrogram. A possible approach is to: (i) Form an edge weighted graph over the data, with edge weights reflecting dissimilarities. (ii) Calculate the MST of . (iii) Break the longest edge of thereby splitting it into subtrees , . (iv) Apply …
Efficient algorithm for Bayesian networks reduces marginal probability distribution computation.
Efficiently updates posterior tree distributions over meta-trees.
The present paper is mainly a survey of our work arXiv:0708.4221 and arXiv:0808.2440 but it also contains the announcement of some new results. Its main purpose is to present an accessible introduction to a technique allowing efficient calculations in Lagrangian Floer theory.
Efficiently calculates PL model likelihood for partitioned preference data.
We present an efficient algorithm for calculating the number of components of an integral lamination on an -punctured disk, given its Dynnikov coordinates. The algorithm requires arithmetic operations, where is the sum of the absolute values of the Dynnikov coordinates.
Active learning reduces SP calculations by 90%.
A neural network approach for efficient conditional SHAP calculations.
FastAMI efficiently approximates AMI and SMI for large datasets.
A family of TQFTs parametrised by G-crossed braided spherical fusion categories has been defined recently as a state sum model and as a Hamiltonian lattice model. Concrete calculations of the resulting manifold invariants are scarce because of the combinatorial complexity of triangulations, if nothing else. Handle deco…
Chebyshev technique reduces FRTB-IMA equity autocallables computation costs by 90%.
The underlying stochastic nature of the requirements for the Solvency II regulations has introduced significant challenges if the required calculations are to be performed correctly, without resorting to excessive approximations, within practical timescales. It is generally acknowledged by practising actuaries within U…