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.
Ghost points affect stability in finite difference schemes for diffusion equations.
Study non-perturbative quantum geometry of string theories using finite difference equations and resurgence analysis.
Finite energy solutions of 4-harmonic and ES-4-harmonic maps are trivial.
FDNet learns PDEs from data with fast predictions.
We construct a three-point compact finite difference scheme on a non-uniform mesh for the time-fractional Black-Scholes equation. We show that for special graded meshes used in finance, the Tavella-Randall and the quadratic meshes the numerical solution has a fourth-order accuracy in space. Numerical experiments are di…
We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (HSPDE). These solutions can in turn estimate so called volatility modulated Volterra (VMV) processes and Lévy semistationary (LSS) processes, which is a class of processes that have been…
Algorithm solves American options with regime-switching using multigrid and compact finite difference.
A new option pricing model handles non-constant risk aversion and transaction costs.
A notion of implicit difference equation on a Lie groupoid is introduced and an algorithm for extracting the integrable part (backward or/and forward) is formulated. As an application, we prove that discrete Lagrangian dynamics on a Lie groupoid may be described in terms of Lagrangian implicit difference equations …
Conditions of Stability for explicit finite difference scheme and some results of numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon are provided. It seems to be difficult to get solution formula for PDE model which generalizes Agliardi's …
Proposes a new model for traffic flow on directed graphs.
Optimal reinsurance strategies for multi-line insurance companies.
Generalizes neural networks for infinite-dimensional mappings, including PDE solutions.
In this paper, we first establish the reflected backward stochastic difference equations with finite state (FS-RBSDEs for short). Then we explore the Existence and Uniqueness Theorem as well as the Comparison Theorem by "one step" method. The connections between FS-RBSDEs and optimal stopping time problems are investig…
This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review various non-linear extensions of the classical Black-Scholes theory for pricing financial instruments, as well as models …
In this article, a compact finite difference method is proposed for pricing European and American options under jump-diffusion models. Partial integro-differential equation and linear complementary problem governing European and American options respectively are discretized using Crank-Nicolson Leap-Frog scheme. In pro…
FiniteNet uses a neural network to improve PDE solving methods.
Develops ML method for solving financial equations.
This paper deals with stability in the numerical solution of the prominent Heston partial differential equation from mathematical finance. We study the well-known central second-order finite difference discretization, which leads to large semi-discrete systems with non-normal matrices A. By employing the logarithmic sp…
New boundary condition for Black-Scholes equations in strict local martingale models.
Simpler equations derived for knot polynomials coefficients, forming a ring.
Discovering the underlying physical behavior of complex systems is a crucial, but less well-understood topic in many engineering disciplines. This study proposes a finite-difference inspired convolutional neural network framework to learn hidden partial differential equations from given data and iteratively estimate fu…
Finite difference approximations to multi-asset American put option price are considered. The assets are modelled as a multi-dimensional diffusion process with variable drift and volatility. Approximation error of order one quarter with respect to the time discretisation parameter and one half with respect to the space…
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility jump models, e.g. in Bates model. In such models the option price is determined as the solution of a partial integro-differential equation. The scheme is fourth order accurate in space and second order accurate in ti…
A new method for pricing options with stochastic volatility and jumps.
Study Hessian equations on compact Kähler manifolds with prescribed singularities.
Improved Least-Squares Monte Carlo with finite-difference ansatz.
A new method for pricing derivatives using self-exciting dynamics and finite-difference transforms.
Study shows finite agent equilibrium converges to mean-field limit in asset pricing.
Study of 3d-3d correspondence involving -Weyl algebra and 3d-index.
We give a review of the systematic construction of hierarchies of soliton flows and integrable elliptic equations associated to a complex semi-simple Lie algebra and finite order automorphisms. For example, the non-linear Schrödinger equation, the n-wave equation, and the sigma-model are soliton flows; and the equation…
Given a three-manifold with b_1=1 and a nontorsion spin^c structure, we use finite dimensional approximation to construct from the Seiberg-Witten equations two invariants in the form of a periodic pro-spectra. Various functors applied to these invariants give different flavors of Seiberg-Witten Floer homology. We also …
Enhanced Black-Scholes model for option pricing with stochastic volatility and interest rate variability.
Quantum computing speeds up pricing multi-asset derivatives.
INFERS PDEs from data samples using learned context.
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed dynamic optimal control and stopping problems in the existing literature, to stu…
We consider a system of coupled free boundary problems for pricing American put options with regime-switching. To solve this system, we first employ the logarithmic transformation to map the free boundary for each regime to multi-fixed intervals and then eliminate the first-order derivative in the transformed model by …
The paper compares inserting and stretching points for grid refinement near critical points.
A new method speeds up option pricing under Heston's stochastic volatility model.
Study numerical methods for singular FBSDEs with degenerate forward component.
A discrete method approximates hyperbolic curvature flow in the plane.
In this paper we focus on the subdiffusive Black Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option pricing in the considered model. We derive the governing fractional differential equation and the related weighted numerical scheme being a generalizat…
We mathematically analyze a simple market model where trading at each point in time involves only two agents with the sum of their money being conserved and with neither parties resulting with negative money after the interaction process. The exchange involves random re-distribution among the two players of a fixed fra…
The Runge-Kutta-Legendre scheme improves pricing American options and other derivatives.
This work is focused on the solvability of initial-boundary value problems for degenerate parabolic partial differential equations that arise in the pricing of Asian options, and on the investigation of differential and certain qualitative properties of solutions of such equations. The generalized solvability for such …
The sinh-Gordon equation is solved on finite, symmetric graphs.
A Neural Network (NN) based numerical method is formulated and implemented for solving Boundary Value Problems (BVPs) and numerical results are presented to validate this method by solving Laplace equation with Dirichlet boundary condition and Poisson's equation with mixed boundary conditions. The principal advantage o…
Study Kazdan-Warner equations on graphs using Brouwer degree theory.