arXiv research

We develop a first order expansion for convex penalized estimators in high-dimensional regression.

We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied volatility which is already known, we compute the first order correction exactly at all strikes from the scalar coefficient of the heat kern…

Develops a martingale expansion for stochastic volatility models.

Taylor expansions improve reinforcement learning policies.

The paper develops an expansion for optimizing portfolios with small quadratic transaction costs.

We propose an extension of the recently-proposed volume conjecture for closed hyperbolic 3-manifolds, to all orders in perturbative expansion. We first derive formulas for the perturbative expansion of the partition function of complex Chern-Simons theory around a hyperbolic flat connection, which produces infinitely-m…

In this paper, we computed the first three coefficients of the asymptotic expansion of Zelditch. We also proved that in general, the $k$-th coefficient is a polynomial of the curvature and its derivative of weight $k$.

Paper examines risk measure expansions under FGM dependence, improving accuracy at extreme levels.

Paper presents new expansions for option pricing with cash dividends.

We derive a small-time expansion for out-of-the-money call options under an exponential Levy model, using the small-time expansion for the distribution function given in Figueroa-Lopez & Houdre (2009), combined with a change of numéraire via the Esscher transform. In particular, we quantify find that the effect of a no…

New insights on pruning deep networks by preserving function locality.

Paper provides Edgeworth expansions for network moments, improving accuracy of sampling distributions.

In the context of the multi-dimensional infinite horizon optimal consumption-investment problem with proportional transaction costs, we provide the first order expansion in small transact costs. Similar to the one-dimensional derivation in our accompanying paper [42], the asymptotic expansion is expressed in terms of a…

We obtain a first order extension of the large deviation estimates in the Gärtner-Ellis theorem. In addition, for a given family of measures, we find a special family of functions having a similar Laplace principle expansion up to order one to that of the original family of measures. The construction of the special fam…

Paper studies the full asymptotic torsion forms of flat bundles.

In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale (not necessarily Markovian) an explicit second-order expansion formula for the power investor's value function - seen as a function of the underlying market price of risk process - is provided. T…

Study on shape optimization for specific eigenvalue problems on domains.

We analyze the semi-hard triplet loss using Edgeworth expansion for better understanding of its behavior.

We study the dynamics of the normal implied volatility in a local volatility model, using a small-time expansion in powers of maturity T. At leading order in this expansion, the asymptotics of the normal implied volatility is similar, up to a different definition of the moneyness, to that of the log-normal volatility. …

We consider a financial market with liquidity cost as in Çetin, Jarrow and Protter [2004], where the supply function $S^ε(s,ν)$ depends on a parameter $ε\geq 0$ with $S^0(s,ν)=s$ corresponding to the perfect liquid situation. Using the PDE characterization of Çetin, Soner and Touzi [2010] of the super-hedging cost of a…

Paper improves risk estimation for extreme events.

In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox-Ingersoll-Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an asymptotic expansion of …

We consider second-order elliptic partial differential operators acting on sections of vector bundles over a compact Riemannian manifold without boundary, working without the assumption of Laplace-like principal part $-\N^μ\N_μ$. Our objective is to obtain information on the asymptotic expansions of the corresponding r…

Develops a new framework to analyze gradient flow regimes and derive explicit solutions.

Roy's `Safety First' criterion for selecting one risky asset from many is adapted to the case of non-normal returns, via Cornish Fisher expansion. The resulting investment objective is consistent with first order stochastic dominance, and is equal to the Sharpe ratio for the case of normal returns. An investor selectin…

Unified framework for adaptive learning systems using consolidation and expansion operations.

Connectedness of small clusters in Riemannian and Finsler manifolds proven.

Paper proves existence of minimal surfaces with alternating multiple zeta values.

Improved stochastic approximation method reduces residual error.

We review the utility-based valuation method for pricing derivative securities in incomplete markets. In particular, we review the practical approach to the utility-based pricing by the means of computing the first order expansion of marginal utility-based prices with respect to a small number of random endowments.

The paper studies the asymptotic expansion of Gaussian integral operators on Riemannian submanifolds.

It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s_+$ can be obtained by solving (numerically) a simple equation. This yields a leading order expansion for the implied volatility at large strikes: $σ_{BS}( k,T)^{2}T\sim Ψ(s_+-1) \times k$ (Roger Lee's moment…

Iterative tilting fine-tunes diffusion models for reward-tilted distributions.

This paper is devoted to a third order study of the end-point map in sub-Riemannian geometry. We first prove third order open mapping results for maps from a Banach space into a finite dimensional manifold. In a second step, we compute the third order term in the Taylor expansion of the end-point map and we specialize …

Investor optimizes wealth in a market with non-traded endowment, deriving expansions up to second order.

This is the first in a series of papers in which we study an efficient approximation scheme for solving the Hamilton-Jacobi-Bellman equation for multi-dimensional problems in stochastic control theory. The method is a combination of a WKB style asymptotic expansion of the value function, which reduces the second order …

Paper tackles high-order inference in structured prediction tasks.

Expectation Propagation (EP) provides a framework for approximate inference. When the model under consideration is over a latent Gaussian field, with the approximation being Gaussian, we show how these approximations can systematically be corrected. A perturbative expansion is made of the exact but intractable correcti…

The paper optimizes portfolios in a financial market with correlated assets using a stochastic volatility model.

Paper develops formulas for shape derivatives in wave scattering.

The paper provides non-asymptotic Edgeworth expansions for neural network outputs.

Study local expansions of continuous-time processes using Ito signature properties.

Study asymptotic properties of generalized shortfall risk measures for heavy-tailed risks.

In this paper we prove an approximate formula expressed in terms of elementary functions for the implied volatility in the Heston model. The formula consists of the constant and first order terms in the large maturity expansion of the implied volatility function. The proof is based on saddlepoint methods and classical …

In this work we consider the Taylor expansion of the exponential map of a submanifold immersed in R^n up to order three, in order to introduce the concepts of lateral and frontal deviation. We compute the directions of extreme lateral and frontal deviation for surfaces in R^3. Also we compute, by using the Taylor expan…

This is a survey of recent results on zeta- and eta-function poles and values for realizations of Laplace- and Dirac-type operators defined by pseudodifferential projection boundary conditions (including the Atiyah-Patodi-Singer operator and its square). Section 1 recalls some useful results for ps.d.o.s on closed mani…

The study improves volatility model pricing accuracy with new statistical expansions.

Sharp Sobolev inequality derived for Riemannian manifolds with bounded Ricci curvature.