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.
Study shows deformations of quaternionic Kähler manifolds are locally inhomogeneous.
New adaptive clustering method detects local inhomogeneity.
Unified method detects and localizes anomalous cliques in inhomogeneous networks.
Two families of curvature inhomogeneous manifolds with constant Ricci eigenvalues are constructed.
Solves inhomogeneous Dirichlet problem for natural operators on manifolds.
Probabilistic proof of smooth boundaries in optimal stopping problems.
Study fourth-order geometric problems on Willmore surfaces.
We propose two main applications of Gyöngy (1986)'s construction of inhomogeneous Markovian stochastic differential equations that mimick the one-dimensional marginals of continuous Itô processes. Firstly, we prove Dupire (1994) and Derman and Kani (1994)'s result. We then present Bessel-based stochastic volatility mod…
Paper proposes a new method for estimating conditional densities using logistic regressions.
Study magnetic field evolution in inhomogeneous axion stars.
We introduce a new parameter to measure the inhomogeneity of training datasets.
Researchers describe a specific type of submanifolds in Euclidean space.
Sharp threshold found for Frechet mean of inhomogeneous graphs.
We construct examples of inhomogeneous isoparametric real hypersurfaces in complex hyperbolic spaces.
Develops time-inhomogeneous polynomial processes for better model calibration and seasonality capture.
It is shown that an HKT-space with closed parallel potential 1-form has -symmetry. Every locally conformally hyperkähler manifold generates this type of geometry. The HKT-spaces with closed parallel potential 1-form arising in this way are characterized by their symmetries and an inhomogeneous cubic conditio…
The paper develops methods to price derivatives in a time-varying, age-dependent market.
Modeling aortic wall inhomogeneities to predict dissection risks.
The paper studies inhomogeneous isoparametric hypersurfaces in pseudo-spheres.
Paper examines floating exercise boundaries for American options in time-inhomogeneous models.
Efficiently matches random graphs with inhomogeneous edge probabilities.
Unique inhomogeneous ruled hypersurface found in complex hyperbolic space.
We construct explicit global symplectic coordinates for the Calabi's inhomogeneous Kaehler-Einstein metric on tubular domains.
We investigate an inhomogeneous Ising model in the context of tax evasion dynamics where different types of agents are parametrized via local temperatures and magnetic fields. In particular, we analyse the impact of backauditing and endogenously determined penalty rates on tax compliance. Both features contribute to a …
Space-times which allow a slicing into homogeneous spatial hypersurfaces generalize the usual Bianchi models. One knows already that in these models the Bianchi type may change with time. Here we show which of the changes really appear. To this end we characterize the topological space whose points are the 3-dimensiona…
New hypergraph clustering method assigns different costs to hyperedge cuts.
We derive deterministic criteria for the existence and non-existence of equivalent (local) martingale measures for financial markets driven by multi-dimensional time-inhomogeneous diffusions. Our conditions can be used to construct financial markets in which the \emph{no unbounded profit with bounded risk} condition ho…
Study optimal algorithms for recovering signals through inhomogeneous low-rank channels.
In this note, we propose Bernstein's problem and De Giorgi's conjecture for spatially inhomogeneous equations, as well as De Giorgi's conjecture for system of reaction-diffusion equations.
An extension of the ambient metric construction of Fefferman-Graham to infinite order in even dimensions is described. The main ingredients are the introduction of "inhomogeneous ambient metrics" with asymptotic expansions involving the logarithm of a defining function homogeneous of degree 2, and an invariant procedur…
This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolio, which is introduced by Witt, to the case of inhomogeneous portfolios. As inhomogeneous portfolios, we consider two cases. In the first case, we treat a portfolio whose assets have uniform default cor…
Modeling financial networks to predict systemic crises.
We consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov processes. We multiply such a propagator with a positive, time-dependent and decreasing weight function, and integrate the product over…
Optimal spectral method found for inhomogeneous spiked Wigner model.
We discuss several issues regarding material homogeneity and strain compatibility for materially uniform thin elastic shells from the viewpoint of a 3-dimensional theory, with small thickness, as well as a 2-dimensional Cosserat theory. A relationship between inhomogeneity and incompatibility measures under the two des…
We construct new complete, compact, inhomogeneous Einstein metrics on S^{m+2} sphere bundles over 2n-dimensional Einstein-Kahler spaces K_{2n}, for all n \ge 1 and all m \ge 1. We also obtain complete, compact, inhomogeneous Einstein metrics on warped products of S^m with S^2 bundles over K_{2n}, for m>1. Additionally,…
Study volatility models with rough paths, focusing on large deviations and option behavior.
In the first part of this note we study compact Riemannian manifolds (M,g) whose Riemannian product with R is conformally Einstein. We then consider compact 6--dimensional almost Hermitian manifolds of type W_1+W_4 in the Gray--Hervella classification admitting a parallel vector field and show that (under some regulari…
New method constructs deformation groupoid for inhomogeneous pseudo-differential calculus.
Efficient method for lookback option pricing under Markov models.
A new infinite series of Einstein metrics is constructed explicitly on S^2 x S^3, and the non-trivial S^3-bundle over S^2, containing infinite numbers of inhomogeneous ones. They appear as a certain limit of a nearly extreme 5-dimensional AdS Kerr black hole. In the special case, the metrics reduce to the homogeneous E…
We show how the relation between Poisson brackets and symplectic forms can be extended to the case of inhomogeneous multivector fields and inhomogeneous differential forms (or pseudodifferential forms). In particular we arrive at a notion which is a generalization of a symplectic structure and gives rise to higher Pois…
The first isospectral pairs of metrics are constructed on balls and spheres. This long standing problem, concerning the existence of such pairs, has been solved by a new method called "Anticommutator Technique." Among the wide range of such pairs, the most striking examples are provided on (4k-1)-dimensional spheres, w…
We provide representations of solutions to terminal value problems of inhomogeneous Black-Scholes equations and studied such general properties as min-max estimates, gradient estimates, monotonicity and convexity of the solutions with respect to the stock price variable, which are important for financial security prici…
Proposes a new graph trend filtering model for inhomogeneous graph signals.
A new test for IRG models using KSD for small networks.
This thesis is devoted to the study of affine processes and their applications in financial mathematics. In the first part we consider the theory of time-inhomogeneous affine processes on general state spaces. We present a concise setup for time-inhomogeneous Markov processes. For stochastically continuous affine proce…
This paper aims at transferring the philosophy behind Heath-Jarrow-Morton to the modelling of call options with all strikes and maturities. Contrary to the approach by Carmona and Nadtochiy (2009) and related to the recent contribution Carmona and Nadtochiy (2012) by the same authors, the key parametrisation of our app…