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.
Extends Itô's formula for path-dependent functions in finance.
While it has become common to perform automated translations on natural language, performing translations between different representations of mathematical formulae has thus far not been possible. We implemented the first translator for mathematical formulae based on recursive neural networks. We chose recursive neural…
Mathematical formulas for elliptic curve integrals solve anomaly equations.
Analyzes packing of circles in bounded and unbounded planes using mathematical formulas.
Proves an Euler-type formula for Möbius strip partitions.
The BBF, SABR, and rough SABR formulas provide nearly arbitrage-free implied vol approximations.
Abstract mathematical formulas for statistical structures and curvatures.
We design and conduct a simple experiment to study whether neural networks can perform several steps of approximate reasoning in a fixed dimensional latent space. The set of rewrites (i.e. transformations) that can be successfully performed on a statement represents essential semantic features of the statement. We can …
Self-supervised skip-tree training improves mathematical reasoning in language models.
Proves a general connected sum formula for families Seiberg-Witten invariants.
Golden age of mathematical finance in the late 20th century.
The Regge symmetry is a set of remarkable relations between two tetrahedra whose edge lengths are related in a simple fashion. It was first discovered as a consequence of an asymptotic formula in mathematical physics. Here we give a simple geometric proof of Regge symmetries in Euclidean, spherical, and hyperbolic geom…
The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we propose to verify the inversion formula using high-frequency turbulent financial data. We construct conservative volatility measure based on…
We establish an explicit pricing formula for the class of Lévy-stable models with maximal negative asymmetry (Log-Lévy model with finite moments and stability parameter ) in the form of rapidly converging series. The series is obtained with help of Mellin transform and the residue theory in . T…
Following a hedging based approach to model free financial mathematics, we prove that it should be possible to make an arbitrarily large profit by investing in those one-dimensional paths which do not possess local times. The local time is constructed from discrete approximations, and it is shown that it is -Hölder …
The paper synthesizes the mathematics of modeling the future.
Paper derives formulas for surface variations in shell theory.
New proof and formula linking fusion trees to quantum knot invariants.
We study eta-invariants on odd dimensional manifolds with boundary. The dependence on boundary conditions is best summarized by viewing the (exponentiated) eta-invariant as an element of the (inverse) determinant line of the boundary. We prove a gluing law and a variation formula for this invariant. This yields a new, …
We present and prove Polyakov-Alvarez type comparison formulas for the determinants of Friederichs extensions of Laplacians corresponding to conformally equivalent metrics on a compact Riemann surface with conical singularities. In particular, we find how the determinants depend on the orders of conical singularities. …
Principal circle bundle over a PL polyhedron can be triangulated and thus obtains combinatorics. The triangulation is assembled from triangulated circle bundles over simplices. To every triangulated circle bundle over a simplex we associate a necklace (in combinatorial sense). We express rational local formulas for all…
The paper defines the time function of stock prices using a mathematical model.
Study Gram determinants in knot theory, focusing on a Möbius band determinant.
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior are derived from the model and compared with data. Deviations from Black-Scholes…
The main purpose of this paper is to formalize the modelling process, analysis and mathematical definition of corruption when entering into a contract between principal agent and producers. The formulation of the problem and the definition of concepts for the general case are considered. For definiteness, all calculati…
The abstract reviews financial concepts using physics.
Study on deep neural networks using branching processes and Mehler's formula.
New formula and algorithm for computing distances on complex Riemann surfaces.
The Black-Scholes model (sometimes known as the Black-Scholes-Merton model) gives a theoretical estimate for the price of European options. The price evolution under this model is described by the Black-Scholes formula, one of the most well-known formulas in mathematical finance. For their discovery, Merton and Scholes…
A new formula connects supersymmetric path integrals to Chern-Simons theory.
Framework for verifying deep learning operators.
RiskMiner discovers formulaic alphas using MCTS for better performance.
Characterization of the American put option price is still an open issue. From the beginning of the nineties there exists a non-closed formula for this price but nontrivial numerical computations are required to solve it. Strong efforts have been done to propose methods more and more computationally efficient but most …
The paper provides formulas linking knot invariants to deformation quantization.
We provide a surprising new application of classical approximation theory to a fundamental asset-pricing model of mathematical finance. Specifically, we calculate an analytic value for the correlation coefficient between exponential Brownian motion and its time average, and we find the use of divided differences greatl…
The article prices exchange options using variance gamma-like models.
There are several (mathematical) reasons why Dupire's formula fails in the non-diffusion setting. And yet, in practice, ad-hoc preconditioning of the option data works reasonably well. In this note we attempt to explain why. In particular, we propose a regularization procedure of the option data so that Dupire's local …
Virtual reality brings non-Euclidean geometry to life.
The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to compute option prices in Lévy models by solving partial integro differential equations…
An explicit martingale representation for random variables described as a functional of a Levy process will be given. The Clark-Ocone theorem shows that integrands appeared in a martingale representation are given by conditional expectations of Malliavin derivatives. Our goal is to extend it to random variables which a…
Book provides detailed trading strategies for various asset classes.
We prove Feynman-Kac formulas for solutions to elliptic and parabolic boundary value and obstacle problems associated with a general Markov diffusion process. Our diffusion model covers several popular stochastic volatility models, such as the Heston model, the CEV model and the SABR model, which are widely used as ass…
We introduce renormalized integrals which generalize conventional measure theoretic integrals. One approximates the integration domain by measure spaces and defines the integral as the limit of integrals over the approximating spaces. This concept is implicitly present in many mathematical contexts such as Cauchy's pri…
Unified formula for arbitrary liquidity operations in weighted AMMs
Prior design is one of the most important problems in both statistics and machine learning. The cross validation (CV) and the widely applicable information criterion (WAIC) are predictive measures of the Bayesian estimation, however, it has been difficult to apply them to find the optimal prior because their mathematic…
A membrane technique, in which the symplectic and Ricci forms are integrated over surfaces in a complexification of the phase space, as well a ``creation" connection with zero curvature over lagrangian submanifolds, is used to obtain a unified quantization including a noncommutative algebra of functions, its representa…
Generalizes Molino's theory for Riemannian foliations.
We review localization techniques for functional integrals which have recently been used to perform calculations in and gain insight into the structure of certain topological field theories and low-dimensional gauge theories. These are the functional integral counterparts of the Mathai-Quillen formalism, the Duistermaa…