arXiv research

The paper extends ERP framework to non-monotonic payoffs and short selling bans.

The paper analyzes Variable Annuities with surrender charges, providing a pricing formula and optimal exercise boundary.

This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to an optimal stopping time problem with state constraint, and then in a Markovian…

The paper tackles non-monotonic learning performance and proposes algorithms to make models more monotone.

Productivity and credit limits affect aggregate production in non-monotonic ways.

Study derives new equation for reserves in non-monotone information scenarios.

New risk control method for non-monotonic losses in complex parameters.

GradaGrad adapts learning rate non-monotonically, overcoming AdaGrad's step size decrease.

Study learns a neuron with non-monotonic activation functions.

Study shows rigidity for entropy minimizers in non-monotone cases.

Diminishing-returns (DR) submodular optimization is an important field with many real-world applications in machine learning, economics and communication systems. It captures a subclass of non-convex optimization that provides both practical and theoretical guarantees. In this paper, we study the fundamental problem of…

Study non-monotonic loss functions in CRC, achieving valid risk control with large calibration samples.

The information dynamics in finance and insurance applications is usually modeled by a filtration. This paper looks at situations where information restrictions apply such that the information dynamics may become non-monotone. A fundamental tool for calculating and managing risks in finance and insurance are martingale…

FLOWGEM generates complete datasets from incomplete data with non-monotone MAR missingness.

In this work we construct Calabi quasi-morphisms on the universal cover of the group Ham(M) of Hamiltonian diffeomorphisms for some non-monotone symplectic manifolds. This complements a result by Entov and Polterovich which applies in the monotone case. Moreover, in contrast to their work, we show that these quasi-morp…

Study finds non-monotonic Value of Information in dynamic multi-market monopoly.

New algorithm maximizes non-monotone adaptive submodular functions in linear time.

A Closer Look at Disentangling in β-VAE shows non-monotonic inference performance.

Paper tackles non-monotonic resource utilization in sequential decision-making.

Method constructs CFMMs matching desired payoffs.

Optimal payoff choice constrained by Bregman-Wasserstein divergence.

New findings show privacy affects generalization error in a non-monotonic way.

Optimal portfolio yields a digital option payoff.

A mathematical analysis of the distribution of voting power in the Council of the European Union operating according to the Treaty of Lisbon is presented. We study the effects of Brexit on the voting power of the remaining members, measured by the Penrose--Banzhaf Index. We note that the effects in question are non-mon…

Study finds cheapest possible payoff under ambiguity, linking to maxmin expected utility.

We introduce signature payoffs, a family of path-dependent derivatives that are given in terms of the signature of the price path of the underlying asset. We show that these derivatives are dense in the space of continuous payoffs, a result that is exploited to quickly price arbitrary continuous payoffs. This approach …

The paper uncovers the impact of price and payoff autocorrelations in multi-period asset pricing models.

Study on MMV in jump-diffusion models resolves MV's non-monotonicity issues.

New method speeds up model selection for complex scientific tasks.

Paper tackles online DR-submodular maximization with various convex sets.

New method uses neural networks for better financial hedging.

Paper shows how to replicate payoffs without oracles in CFMMs.

We propose non-stationary spectral kernels for Gaussian process regression. We propose to model the spectral density of a non-stationary kernel function as a mixture of input-dependent Gaussian process frequency density surfaces. We solve the generalised Fourier transform with such a model, and present a family of non-…

Researchers propose a non-monotone quantum natural gradient for quantum systems.

New algorithm adapts to unknown smoothness in contextual bandits.

The paper improves PCS approximation for ranking and selection under limited simulation budgets.

Develops a new method for robust risk measurement by averaging nearby payoffs.

Insider trading is reduced when penalized, affecting expected penalties in a non-monotone way.

Agent optimizes perpetual contract liquidation with transaction costs and risk.

Multi-armed bandit problems are the most basic examples of sequential decision problems with an exploration-exploitation trade-off. This is the balance between staying with the option that gave highest payoffs in the past and exploring new options that might give higher payoffs in the future. Although the study of band…

New findings show pure strategy equilibria are more robust in a war of attrition game.

We present a fast and scalable algorithm to induce non-monotonic logic programs from statistical learning models. We reduce the problem of search for best clauses to instances of the High-Utility Itemset Mining (HUIM) problem. In the HUIM problem, feature values and their importance are treated as transactions and util…

We study the use of the multilevel Monte Carlo technique in the context of the calculation of Greeks. The pathwise sensitivity analysis differentiates the path evolution and reduces the payoff's smoothness. This leads to new challenges: the inapplicability of pathwise sensitivities to non-Lipschitz payoffs often makes …

New algorithms for stochastic linear bandits with heavy-tailed payoffs achieve nearly optimal regret.

The game-theoretic risk management framework put forth in the precursor work "Towards a Theory of Games with Payoffs that are Probability-Distributions" (arXiv:1506.07368 [q-fin.EC]) is herein extended by algorithmic details on how to compute equilibria in games where the payoffs are probability distributions. Our appr…

Study of $2 imes 2$ zero-sum games with noisy observations and commitments.

This paper studies robust payoff allocation in submodular games, especially against replication.

New algorithms avoid non-monotonic risk curves in statistical learning.