Derives local energy equation and proves consistency of staggered finite volume schemes for Euler equations.
problem Preserving conservation and consistency in staggered finite volume methods for Euler equations.
method Staggered discretization, material velocity upwinding, internal energy balance with correction term.
result Derives local total energy equation and proves schemes are conservative and consistent.
New boundary treatment improves accuracy for complex PDEs.
problem Order reduction in high-order IMEX schemes for multidimensional PDEs.
method Novel boundary treatment algorithms for Cartesian meshes, treating implicit-explicit stages similarly to interior points.
result Recovery of designed order of convergence by numerical verification.
Constructs k-regular maps using algebraic geometry.
problem Determine the minimal value of N for k-regular maps from R^m to R^N.
method Algebraic geometry methods to construct k-regular maps and relate upper bounds to the dimension of Gorenstein schemes.
result Explicit examples and upper bounds for k-regular maps for k<6 and arbitrary m and k.
Typically options with a path dependent payoff, such as Target Accumulation Redemption Note (TARN), are evaluated by a Monte Carlo method. This paper describes a finite difference scheme for pricing a TARN option. Key steps in the proposed scheme involve tracking of multiple one-dimensional finite difference solutions,…
This paper is dedicated to the construction of high-order (in both space and time) finite-difference schemes for both forward and backward PDEs and PIDEs, such that option prices obtained by solving both the forward and backward equations are consistent. This approach is partly inspired by Andreasen & Huge, 2011 who re…
Extends local stochastic volatility models with stochastic interest rates and correlated jumps.
problem Pricing and hedging exotic options using local stochastic volatility models.
method Added stochastic interest rates and correlated jumps to local stochastic volatility models. Proposed a new finite-difference scheme.
result Proposed scheme provides second order approximation, is unconditionally stable, and preserves positivity of the solution.
New findings show deep networks can fall into bad local minima under certain conditions.
problem Understanding why deep networks don't get stuck in bad local minima during training.
method Constructed counter-examples with finite size datasets to show deep networks can fall into bad local minima.
result Deep networks can be susceptible to bad local minima under specific conditions.
New schemes improve error estimates for sampling from non-log-concave distributions.
problem Improving sampling from non-log-concave distributions with super-linear drift growth.
method Developed tamed Euler and randomized Euler schemes with error estimates.
result Near-optimal error bounds for sampling and optimization problems.
A new method for pricing options with stochastic volatility and jumps.
problem Pricing options under stochastic volatility and jumps.
method Fourth-order compact finite-difference scheme with implicit-explicit Crank-Nicolson framework.
result The method achieves near-fourth-order spatial accuracy and up to two orders of magnitude lower runtime than quadratic finite elements.
Enhances CEV model pricing with high-order scheme and adaptive time stepping.
problem Improving accuracy in pricing American CEV models with irregularities.
method High-order time adapted scheme, local mesh refinement, adaptive time stepping, fifth-order 5(4) Dormand-Prince method.
result Highly accurate solution with reduced computational runtime.
Constructs initial data for Einstein vacuum equations involving multiple localized gravitational sources.
problem Modeling the interaction of distant gravitational systems in general relativity.
method Time-symmetric initial data construction using gluing schemes and localized sources.
result Produces initial data sets with finite ADM mass and multiple Einstein-Rosen bridges.
Study SL(2,C) character schemes for finitely generated groups.
problem Characterize SL(2,C) representations of finitely generated groups.
method Define coordinate rings and equations for SL(2,C) character schemes.
result Explicit equations for character schemes of finitely presented groups.
New compact finite difference scheme outperforms standard methods in Bates model hedging.
problem Improving hedging performance in Bates model option pricing.
method High-order compact finite differences compared to standard finite differences.
result The new scheme outperforms standard methods in all experiments.
Local description of solvable Lie algebras of vector fields.
problem Understanding solvable Lie algebras of vector fields.
method Local and constructive differential geometric description.
result Implication of Lie's conjecture for solvable Lie algebras.
Vector fields on schemes have flows if rings are finitely generated.
problem Understanding vector fields and flows on schemes.
method Analyzing vector fields on affine C∞-schemes with finitely generated rings. result Vector fields on affine C∞-schemes with finitely generated rings have flows and are groupoid internal maps. The Bass model is calibrated to vanilla options using a fixed-point equation.
problem Calibration of the Bass local volatility model to vanilla options.
method Solving a fixed-point equation to achieve calibration.
result Existence and uniqueness of the solution to the fixed-point equation, and linear convergence of the fixed-point iteration scheme.
Improved scheme for option pricing in stochastic volatility models with jumps.
problem Efficiently pricing options in models with stochastic volatility and jumps.
method Developed a high-order compact finite difference scheme for SVCJ models.
result Achieves fourth order convergence compared to standard schemes.
Paper develops a finite dimensional approximation scheme for Riemannian manifolds.
problem Integration on Riemannian manifolds.
method New finite dimensional approximation scheme motivated by categorical colimit.
result Establishes a generalization for L1-functionals on Riemannian manifolds. A new FV-ADI method calibrates SLV models efficiently.
problem Calibrating SLV models to their underlying local volatility models.
method Finite volume - Alternating Direction Implicit (ADI) approach for solving 1D and 2D forward Kolmogorov equations.
result The proposed method efficiently calibrates SLV models without requiring PDE transformations and conserves numerical mass.
New high-order scheme for option pricing in stochastic volatility jump models.
problem Option pricing in stochastic volatility jump models.
method High-order compact finite difference scheme.
result The new scheme outperforms standard methods in efficiency and accuracy.
New boundary condition for Black-Scholes equations in strict local martingale models.
problem Computing prices of European options with underlying asset as a strict local martingale.
method Numerical procedure using finite difference methods with a new boundary condition at infinity.
result The minimal solution, satisfying a discrete maximum principle, is the correct derivative price.
A Calabi-Yau orbifold is locally modeled on C^n/G where G is a finite subgroup of SL(n, C). In dimension n=3 a crepant resolution is given by Nakamura's G-Hilbert scheme. This crepant resolution has a description as a GIT/symplectic quotient. We use tools from global analysis to give a geometrical generalization of the…
This work extends stochastic localization to joint probability measures for data analysis.
problem Data distributional analysis in high-dimensional probability.
method Unified stochastic localization under Eldan's α-scheme, coupled probability measures via shared Brownian motion.
result Eldan's α-distance as a scalable surrogate for Wasserstein distance.
New bounds for SMC show its advantage over MCMC in multimodal distributions.
problem Estimating expectations under multimodal distributions with slow global mixing.
method Proves finite sample complexities for SMC with local mixing times, addressing bias through sequential resampling.
result SMC provides fully polynomial time approximation for multimodal problems.
We apply a quadratic hedging scheme developed by Foellmer, Schweizer, and Sondermann to European contingent products whose underlying asset is modeled using a GARCH process and show that local risk-minimizing strategies with respect to the physical measure do exist, even though an associated minimal martingale measure …
Continues work on derived manifolds and symplectic schemes, constructing virtual classes.
problem Constructing virtual fundamental classes for derived manifolds and schemes.
method Cosection localization, reduced virtual fundamental classes, and applications to Donaldson-Thomas theory.
result Virtual fundamental classes for (−2)-shifted symplectic derived schemes are consistent with algebraic and differential geometric constructions. New scalable MARL framework for dynamic networked systems.
problem Scalability in multi-agent reinforcement learning with dynamic dependencies.
method Scalable Actor Critic framework for non-local and stochastic dependencies.
result Finite-time error bound showing convergence rate dependence on information spread speed.
LD-SGD improves communication in decentralized SGD.
problem Efficiently combining local updates and decentralized communication.
method Proposes LD-SGD integrating local updates and decentralized SGD, with a convergence analysis.
result LD-SGD converges to a critical point for non-convex objectives with non-identically distributed data.
The paper solves a complex option pricing model using finite elements.
problem Risk-Adjusted Pricing Methodology (RAPM) Black-Scholes model with transaction costs.
method Spatial finite element models based on P1 and/or P2 elements, combined with a Crank-Nicolson-type temporal scheme.
result Results compare favorably with finite difference methods in the literature.
Ghost points affect stability in finite difference schemes for diffusion equations.
problem Impact of ghost points on stability of finite difference schemes.
method Exploration of explicit Euler finite difference scheme with ghost points on diffusion equation.
result Stability of the scheme is affected by ghost points.
New method simulates sticky boundaries in multidimensional diffusions.
problem Simulating sticky boundaries in multidimensional diffusions.
method Approximate sticky diffusion by a Markov chain, using either finite difference or matching local moments.
result Validates both construction methods for first-order simulation schemes.
Compact scheme solves fractional Black-Scholes on non-uniform grids.
problem Solving time-fractional Black-Scholes equation on non-uniform grids.
method Three-point compact finite difference scheme on graded meshes.
result Fourth-order accuracy in space for special meshes.
The Runge-Kutta-Legendre scheme improves pricing American options and other derivatives.
problem Pricing American options and other derivatives with improved accuracy and stability.
method Runge-Kutta-Legendre finite difference scheme applied to Black-Scholes and Heston models.
result Improved convergence and stability compared to existing schemes.
Study on numerical analysis for corporate bonds using a unified 2 factor model.
problem Develop a numerical method to solve a unified 2 factor model for corporate bonds with fixed discrete coupons.
method Used explicit finite difference scheme to analyze stability and compute bond prices.
result Found conditions for the explicit finite difference scheme to be stable and computed bond prices, credit spread, and duration.
Finite element method applied to Leland's model for option pricing with transaction costs.
problem Option pricing with transaction costs using Leland's model.
method Spatial finite element models based on P1 and/or P2 elements combined with a Crank-Nicolson-type temporal scheme.
result Results compare favorably with finite difference methods in the literature.
It was proved in 1998 by Ben-David and Litman that a concept space has a sample compression scheme of size d if and only if every finite subspace has a sample compression scheme of size d. In the compactness theorem, measurability of the hypotheses of the created sample compression scheme is not guaranteed; at the same…
Learnable multiclass hypothesis classes don't always have a sample compression scheme of fixed size.
problem The limitation of sample compression schemes for multiclass hypothesis classes.
method Analysis of DS dimension and sample compression schemes.
result Learnable multiclass hypothesis classes do not always have a sample compression scheme of fixed size.
Defines hypercomplex analytic spaces and schemes.
problem No specific problem stated; focuses on definitions.
method Definitions and quotient construction.
result Canonical association of hypercomplex spaces to quotients.
Novel IMEX scheme solves financial PDEs with mixed derivatives.
problem Numerical approximations for financial PDEs with mixed derivatives.
method Second order finite volume IMEX Runge-Kutta scheme.
result Achieves true second order convergence with non-regular initial conditions.
A new method LIF for equality constraints in GCNN models is proposed.
problem Embedding and selecting imposing schemes for prior information in GCNN models.
method Locally Imposing Function (LIF) for equality constraints.
result LIF enables local and explicit constraint implementation in the domain.
We introduce a criterion that a given bihamiltonian structure allows a local coordinate system where both brackets have constant coefficients. This criterion is applied to the bihamiltonian open Toda lattice in a generic point, which is shown to be locally isomorphic to a Kronecker odd-dimensional pair of brackets with…
We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order accurate in space and second-order accurate in time for vanishing correlation. In our numerical study we obtain high-order numerical convergence also for non-zero …
The paper extends lossy coding to nonlinear latent representations.
problem Learning finite-dimensional coding schemes with nonlinear reconstruction maps.
method Generalizes Maurer--Pontil framework to nonlinear maps, connects to generative modeling, and provides generalization bounds.
result Established a connection to approximate generative modeling and presented generalization bounds.
Survey on nonlinear parabolic equations in finance.
problem Nonlinear extensions of the Black-Scholes theory.
method Qualitative and numerical analysis of nonlinear parabolic equations.
result Existence and uniqueness of solutions to nonlinear parabolic equations.
New numerical method for quantile hedging in imperfect markets.
problem Quantile hedging in non-linear markets with imperfections.
method Piecewise Constant Policy Timestepping (PCPT) coupled with monotone finite difference approximation.
result Convergence of the proposed numerical scheme proved using BSDE arguments.
Deep learning speeds up material property quantification using stress waves.
problem Quantifying material properties from stress waves in complex media.
method Surrogate deep learning FWI scheme trained on random sampled properties and local minima.
result Demonstrates feasibility of deep learning for high-accuracy material property estimation.
New method for pricing options in stochastic volatility models.
problem Pricing options in models with stochastic volatility.
method Time-adaptive, high-order compact finite difference scheme.
result Extends fourth-order multistep methods to stochastic volatility models.
Generalizes soft noncommutative schemes to flag varieties.
problem Applying soft noncommutative schemes to flag varieties.
method Generalization via toric geometry and distinguished affine charts.
result Soft noncommutative schemes can be applied to flag varieties.