arXiv research

The paper solves a utility-based hedging problem with quadratic costs.

Study examines optimal hedging of barrier options in leptokurtic equity returns.

Investigates quadratic-exponential growth BSDEs with jumps and proves existence and differentiability.

A new method for exponentially weighted moving models using approximations.

In the setting of exponential investors and uncertainty governed by Brownian motions we first prove the existence of an incomplete equilibrium for a general class of models. We then introduce a tractable class of exponential-quadratic models and prove that the corresponding incomplete equilibrium is characterized by a …

The paper models asset pricing in a partially observed market using mean field game theory and exponential quadratic Gaussian framework.

Study multi-curve extension of short rate models with Gaussian factor processes.

Handlebody groups have exponential Dehn functions except for genus 2.

The paper rethinks the use of exponential averaging in machine learning optimization.

Distorted surfaces in graph manifolds have specific distortion properties.

New theory extends LQ control to non-exponential discount scenarios.

Accelerated gradient method's stability deteriorates exponentially with steps.

Develops numerical methods for hedging strategies in a specific financial model.

Paper studies optimal execution in a multi-investor model with price impact.

Sharp time analyticity proved for heat equation on Ricci solitons.

Revisits stochastic collocation with exponential splines for option pricing.

Catapult phase in neural nets shows exponential loss growth before quick decrease.

Model asset pricing with habit formation in a large market.

The study explores the Dehn functions of Kähler groups and their properties.

Study stability of selective SSMs with discontinuous gating.

Unified approach to stability conditions on surfaces with quadratic differentials.

The paper explores risk-minimization for exponential additive models, providing mathematical expressions and numerical examples.

Estimates latent structure in high-dimensional data using second moments.

Efficient online control algorithms for noisy systems with quadratic losses.

Develops asset pricing models with mean field game theory for heterogeneous agents.

Develops a new fuzzy model using QPs and ewl2 regularization to improve local region behavior.

In this paper, we study a class of quadratic Backward Stochastic Differential Equations (BSDEs) which arises naturally when studying the problem of utility maximization with portfolio constraints. We first establish existence and uniqueness results for such BSDEs and then, we give an application to the utility maximiza…

Introduces QHawkes models for financial prices, capturing non-linear feedback effects.

The study examines growth of quadratic forms under Anosov subgroups.

We analyze the errors arising from discrete readjustment of the hedging portfolio when hedging options in exponential Levy models, and establish the rate at which the expected squared error goes to zero when the readjustment frequency increases. We compare the quadratic hedging strategy with the common market practice …

Improving optimization for iterate-averaged language models

Paper learns DAGs with quadratic variance functions efficiently.

We construct a tangent bundle exponential map and locally autoparallel coordinates for geometries based on a general connection on the tangent bundle of a manifold. As concrete application we use these new coordinates for Finslerian geometries and obtain Finslerian geodesic coordinates. They generalise normal coordinat…

This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles. Assuming exponential utility preferences we derive representations of indifference premia of credit risk in terms of solutions of Backward Stochastic Differential Equation…

The paper studies ABSDEs with jumps and various growth drivers.

The paper calculates subgroup distortions in 3-manifold groups.

PACE optimizes training for averaged language models, improving performance.

Signature volatility models are analyzed for existence, arbitrage, completeness, and hedging-error decomposition.

Computes distortion of surfaces in non-geometric 3-manifolds.

Quadratic-time algorithm computes stretch factors and foliations for pseudo-Anosov mapping classes.

We explore a new method for discrete-time control problems using randomization and entropy.

Method identifies shifts leading to large model performance differences.

A new method, based on the original theory of conservation of sum of kinetic and potential energy defined for prices is proposed and applied on Dow Jones Industrials Average (DJIA). The general trends averaged over months or years gave a roughly conserved total energy, with three different potential energies, i.e. posi…

We derive a recursive formula for arithmetic Asian option prices with finite observation times in semimartingale models. The method is based on the relationship between the risk-neutral expectation of the quadratic variation of the return process and European option prices. The computation of arithmetic Asian option pr…

New stability bounds for Sinkhorn's algorithm in entropic optimal transport.

A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typically uses only one form of utility function such as the quadratic when estimating hedges. This paper addresses this issue by estimating an…

This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the utility indifference price by the solution of a functional differential equation…

New analysis improves SGD for robust and quantile regression with sub-quadratic convergence.