arXiv research

In this paper we show that both of the Green-Schwarz anomaly factorization formula for the gauge group $E_8\times E_8$ and the Hořava-Witten anomaly factorization formula for the gauge group $E_8$ can be derived through modular forms of weight 14. This answers a question of J. H. Schwarz. We also establish generalizati…

Formula found for a specific knot's A-polynomial.

The paper derives a formula for factorizing categorical data to improve Bayes classifiers.

In this paper, we provide explicit formulas, in terms of the covariances of sample covariances or sample correlations, for the asymptotic covariances of unrotated factor loading estimates and unique variance estimates. These estimates are extracted from least square, principal, iterative principal component, alpha or i…

A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L are linear in the risk-factor changes. A generalization of the formula is derived under the more…

We prove a multiplicity formula for Riemann-Roch numbers of reductions of Hamiltonian actions of loop groups. This includes as a special case the factorization formula for the quantum dimension of the moduli space of flat connections over a Riemann surface.

Paper proposes an analytical pricing model for puttable bonds with credit risk.

Paper proposes a new REINFORCE algorithm for mining formulaic alpha factors with reduced variance.

AutoAlpha efficiently discovers effective alpha factors for quantitative investment.

AlphaForge mines and dynamically combines alpha factors for better investment performance.

Investigates Künneth formula for foliated de Rham cohomology, overcoming non-Hausdorff issues.

TLRS improves predictive power of mined formulaic alpha factors.

We analyze analytic approximation formulae for pricing zero-coupon bonds in the case when the short-term interest rate is driven by a one-factor mean-reverting process with a volatility nonlinearly depending on the interest rate itself. We derive the order of accuracy of the analytical approximation due to Choi and Wir…

Even in the simple one-factor credit portfolio model that underlies the Basel II regulatory capital rules coming into force in 2007, the exact contributions to credit value-at-risk can only be calculated with Monte-Carlo simulation or with approximation algorithms that often involve numerical integration. As this may r…

A one-factor asset pricing model with an Ornstein--Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting speed parameters are modeled as hidden/unobservable stochastic variables. No-arbitrage pricing formulas for derivative securities written on a …

We use filtrations of the Grassmannian model to produce explicit algebraic formulae for all harmonic maps of finite uniton number from a Riemann surface, and so all harmonic maps from the 2-sphere, to the unitary group for a general class of factorizations by unitons. We show how these specialize to give explicit formu…

Study on conical singularities in 2D surfaces, deriving Polyakov formulas.

Novel method for estimating currency option parameters with improved accuracy.

Factorization of DE coefficients is violated in antiparallel triple pretzels, but described elegantly.

We present a representation formula for discrete indefinite affine spheres via loop group factorizations. This formula is derived from the Birkhoff decomposition of loop groups associated with discrete indefinite affine spheres. In particular we show that a discrete indefinite improper affine sphere can be constructed …

The Hull-White one factor model is used to price interest rate options. The parameters of the model are often calibrated to simple liquid instruments, in particular European swaptions. It is therefore very important to have very efficient pricing formula for simple instruments. Such a formula is proposed here for Europ…

A tropical curve in $\mathbb R^{3}$ contributes to Gromov-Witten invariants in all genus. Nevertheless, we present a simple formula for how a given tropical curve contributes to Gromov-Witten invariants when we encode these invariants in a generating function with exponents of $λ$ recording Euler characteristic. Our ma…

We give an explicit formula for the $L^2$ analytic torsion of the finite metric cone over an oriented compact connected Riemannian manifold. We provide an interpretation of the different factors appearing in this formula. We prove that the analytic torsion of the cone is the finite part of the limit obtained collapsing…

This paper studies HOMFLY polynomials of specific and infinite classes of knots.

We give a local expression for the {\it scalar curvature} of the noncommutative two torus $A_θ = C(\mathbb{T}_θ^2)$ equipped with an arbitrary translation invariant complex structure and Weyl factor. This is achieved by evaluating the value of the (analytic continuation of the) {\it spectral zeta functional} $ζ_a(s): …

New method decomposes profits and losses continuously, avoiding discrete reporting issues.

A string link S can be closed in a canonical way to produce an ordinary closed link L. We also consider a twisted closing which produces a knot K. We give a formula for the Conway polynomial of L as a product of the Conway polynomial of K times a power series whose coefficients are given as explicit functions of the Mi…

We give an extension of Fox's formula of the Alexander polynomial for double branched covers over the three-sphere. Our formula provides the Reidemeister torsion of a double branched cover along a knot for a non-trivial one dimensional representation by the product of two factors derived from the knot group. One of the…

FactorMiner discovers financial alpha factors with low redundancy.

Assume (1) asset returns follow a stochastic multi-factor process with time-varying conditional expectations; (2) investments are linear functions of factors. This paper calculates asymptotic joint moments of the logarithm of investor's wealth and the factors. These formulas enable fast computation of a wide range of i…

New formula for 3-manifold invariants using combinatorial methods.

In this article, we consider a 2 factors-model for pricing defaultable bond with discrete default intensity and barrier where the 2 factors are stochastic risk free short rate process and firm value process. We assume that the default event occurs in an expected manner when the firm value reaches a given default barrie…

Sub-Riemannian Selberg trace formulae for compact quotients of SL(2, R)

Pricing formulae for defaultable corporate bonds with discrete coupons under consideration of the government taxes in the united model of structural and reduced form models are provided. The aim of this paper is to generalize the comprehensive structural model for defaultable fixed income bonds (considered in [1]) into…

A new derivation is given of Branson's factorization formula for the conformally invariant operator on the sphere whose principal part is the k-th power of the scalar Laplacian. The derivation deduces Branson's formula from knowledge of the corresponding conformally invariant operator on Euclidean space (the k-th power…

Derives formulas for determinant of Laplacian on curved surfaces.

We derive formulas for the performance of capital assets in continuous time from an efficient market hypothesis, with no stochastic assumptions and no assumptions about the beliefs or preferences of investors. Our efficient market hypothesis says that a speculator with limited means cannot beat a particular index by a …

The paper provides formulas for volatility in various models, including rough volatility.

Harer-Zagier formulas generalized to knot matrix models.

We find decomposition series of length at most two for modular representations in positive characteristic of mapping class groups of surfaces induced by an integral version of the Witten-Reshetikhin-Turaev SO(3)-TQFT at the p-th root of unity, where p is an odd prime. The dimensions of the irreducible factors are given…

Paper provides an explicit formula for local volatility in Cheyette models.

Derives GJMS operators and Q-curvatures for submanifolds.

Investment strategy depends on many factors for venture capital funds.

In his Ph.D. thesis, Burak Ozbagci described an algorithm computing signatures of Lefschetz fibrations where the input is a factorization of the monodromy into a product of Dehn twists. In this note, we give a reformulation of Ozbagci's algorithm which becomes much easier to implement. Our main tool is Wall's non-addit…

We investigate a multi-factor extension of the asymptotic single risk factor (ASRF) model that underlies the capital charges of the "Basel II Accord". In this extended model, it is still possible to derive closed-form solutions for the risk contributions to Value-at-Risk and Expected Shortfall. As an application of the…

For Poincare series of binary polyhedral groups and Coxeter polynomials there are obtained statements close to the Euclid algorithm and orthogonal polynomials theory: generalized Ebeling formula, decompositions into ramified continued fractions, Christoffel-Darboux identity, combinatorial formula. Known results about t…

This paper focuses on the pricing of continuous geometric Asian options (GAOs) under a multifactor stochastic volatility model. The model considers fast and slow mean reverting factors of volatility, where slow volatility factor is approximated by a quadratic arc. The asymptotic expansion of the price function is assum…

We consider Chern-Simons theory with complex gauge group and present a complete non-perturbative evaluation of the path integral (the partition function and certain expectation values of Wilson loops) on Seifert fibred 3-Manifolds. We use the method of Abelianisation. In certain cases the path integral can be seen to f…