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.
Woodbury transformations improve deep generative models with efficient invertibility and determinant calculation.
Q-SHAP efficiently calculates feature contributions in boosting trees.
Efficiently predicts long-time dynamics of quantum spin models using MLP regression.
New method uses PINNs to efficiently compute Gerber-Shiu functions.
In this paper Portfolio Optimization techniques were used to determine the most favorable investment portfolio. In particular, stock indices of three companies, namely Microsoft Corporation, Christian Dior Fashion House and Shevron Corporation were evaluated. Using this data the amounts invested in each asset when a po…
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 …
New proof shows holomorphic sectional curvature fully determines curvature tensor.
This paper concerns model reduction of dynamical systems using the nuclear norm of the Hankel matrix to make a trade-off between model fit and model complexity. This results in a convex optimization problem where this trade-off is determined by one crucial design parameter. The main contribution is a methodology to app…
A new machine learning method calculates failure probability efficiently and accurately.
For and large, we calculate the integral Picard groups of the moduli spaces of curves and principally polarized abelian varieties with level structures. In particular, we determine the divisibility properties of the standard line bundles over these moduli spaces and we calculate the second integral …
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…
Motivated by AdS/CFT, the extension is made to spin-half of a scalar calculation of the conformal anomalies and functional determinants of GJMS operators. The formal aspects are heuristic but sufficient. A Barnes zeta function representation again proves effective. The determinants are calculated for the two factorisat…
In risk management, tail risks are of crucial importance. The assessment of risks should be carried out in accordance with the regulatory authority's requirement at high quantiles. In general, the underlying distribution function is unknown, the database is sparse, and therefore special tail models are used. Very often…
NARD extends ARD for linear models, promoting sparsity and correlation structure.
Paper derives closed-form solutions for CEV model using semiclassical approximation.
We use the Jones-Wenzl idempotents to construct a basis of Temperley-Lieb algebra TL_n. This allows a short calculation for a Gram determinant of Lickorish's bilinear form on the Temperley-Lieb algebra.
New algorithm calculates -invariants for links efficiently.
High entropy alloys (HEAs) have been increasingly attractive as promising next-generation materials due to their various excellent properties. It's necessary to essentially characterize the degree of chemical ordering and identify order-disorder transitions through efficient simulation and modeling of thermodynamics. I…
We present a combinatorial method for a calculation of knot Floer homology with Z-coefficient of (1,1)-knots, and then demonstrate it for non-alternating (1,1)-knots with ten crossings and the pretzel knots of type (-2,m,n). Our calculations determine the unknotting numbers and 4-genera of the pretzel knots of this typ…
New algorithm determines dimensions of hit spaces in polynomial algebra.
We investigate the Gram determinant of the bilinear form based on curves in a planar surface, with a focus on the disk with two holes. We prove that the determinant based on curves divides the determinant based on curves. Motivated by the work on Gram determinants based on curves in a disk and curves in an an…
Symmetry properties of r-times covariant tensors T can be described by certain linear subspaces W of the group ring K[S_r] of a symmetric group S_r. If for a class of tensors T such a W is known, the elements of the orthogonal subspace W^{\bot} of W within the dual space of K[S_r] yield linear identities needed for a t…
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…
Solves the equity premium puzzle without calibrated values.
Infinitesimal calculations link fundamental groups to Lie algebras.
Novel algorithm speeds up log-determinant estimation for large matrices.
The ability of many powerful machine learning algorithms to deal with large data sets without compromise is often hampered by computationally expensive linear algebra tasks, of which calculating the log determinant is a canonical example. In this paper we demonstrate the optimality of Maximum Entropy methods in approxi…
The zeta and eta-functions associated with massless and massive Dirac operators, in a D-dimensional (D odd or even) manifold without boundary, are rigorously constructed. Several mathematical subtleties involved in this process are stressed, as the intrisic ambiguity present in the definition of the associated fermion …
Researchers derive asymptotic expansions for thermoelastic operators on manifolds.
Analyzes a finite set of metrics and functions to determine manifold torsion.
Paper proposes efficient method to calculate Fisher-Bingham distribution normalizing constant.
Study on pseudo-Einstein 3-manifolds, calculating determinant changes under conformal transformations.
Unified framework for calculating Shapley values with correlated features.
This thesis builds a real-time VaR calculation workflow for crypto derivatives.
The paper generalizes the second Pappus-Guldin theorem for calculating volumes of bodies.
The paper calculates bounds on the local Lipschitz constants of neural network layers.
In this paper, we present a new method for calculating the limit of early exercise boundary at expiry. We price American style of general derivative using a formula expressed as a sum of the value of European style of derivative and so called American premium. We use the latter expression to calculate an analytic formu…
UAMM uses external market prices to improve AMM efficiency and reduce liquidity provider risk.
Credit Suisse First Boston (CSFB) launched in 1997 the model CreditRisk+ which aims at calculating the loss distribution of a credit portfolio on the basis of a methodology from actuarial mathematics. Knowing the loss distribution, it is possible to determine quantile-based values-at-risk (VaRs) for the portfolio. An o…
We consider the oscillator group equipped with a bi-invariant Lorentzian metric, and then some geometrical properties of this group i.e. homogeneous Ricci solitons and harmonicity properties of invariant vector fields are obtained. We also determine all vector fields which are critical points for the energy functional …
New ODE solvers improve training efficiency and accuracy.
COPOD detects outliers efficiently and interpretable using copulas.
In this paper we consider some families of links, including (-2,2m+1,2n)-pretzel links and twisted Whitehead links. We calculate the character varieties of these families, and determine the number of irreducible components of these character varieties.
We calculate relations on characteristic classes which are obstructions preventing closed Kähler manifolds from carrying holomorphic Cartan geometries. We apply these relations to give global constraints on the phase spaces of complex analytic determined and underdetermined systems of differential equations.
Simply-connected homogeneous spacetimes for kinematical and aristotelian Lie algebras (with space isotropy) have recently been classified in all dimensions. In this paper, we continue the study of these "maximally symmetric" spacetimes by investigating their local geometry. For each such spacetime and relative to expon…
The calculation of minimum energy paths for transitions such as atomic and/or spin re-arrangements is an important task in many contexts and can often be used to determine the mechanism and rate of transitions. An important challenge is to reduce the computational effort in such calculations, especially when ab initio …
Paper calculates loan loss after default using Bayesian model.
In this paper, three approaches to calculate the self-similarity exponent of a time series are compared in order to determine which one performs best to identify the transition from random efficient market behavior (EM) to herding behavior (HB) and hence, to find out the beginning of a market bubble. In particular, cla…