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.
Proves solution uniqueness for biomembrane shape prediction.
The theory of geometric zeta functions for locally symmetric spaces as initialized by Selberg and continued by numerous mathematicians is generalized to the case of higher rank spaces. We show analytic continuation, describe the divisor in terms of tangential cohomology and in terms of group cohomology which generalize…
Geometric analysis on real analytic manifolds using seminorms.
Analytical pricing formulas and Greeks are obtained for European and American basket put options using Mellin transforms. We assume assets are driven by geometric Brownian motion which exhibit correlation and pay a continuous dividend rate. A novel approach to numerical Mellin inversion is achieved via the fast Fourier…
Develops a new method to compute risk-sharing allocations using Laplace transforms.
We discuss replica analytic continuation using several simple models in order to prove mathematically the validity of replica analysis, which is used in a wide range of fields related to large scale complex systems. While replica analysis consists of two analytical techniques, the replica trick (or replica analytic con…
In this article, we combine replication pricing with expectation pricing for derivative trades that are partially collateralized by cash. The derivatives are replicated by underlying assets and cash, using repurchasing agreement (repo) and margining, which incur funding costs. We derive a partial differential equation …
Study Cowen-Douglas operators from analytic function spaces.
Efficient semi-analytic methods for pricing double barrier options with time-dependent parameters.
As energy markets begin clearing at sub-hourly rates, their interaction with load control systems becomes a potentially important consideration. A simple model for the control of thermal systems using market-based power distribution strategies is proposed, with particular attention to the behavior and dynamics of elect…
American options can be equivalent to European options under certain conditions.
This paper deals with the question of analytic continuation of holonomy germs of holomorphic foliations. We prove that for a quasi-minimal Riccati foliation of the complex projective plane, any holonomy germ of the foliation between complex projective lines can be analytically continued along a generic Brownian path.
We construct a continuous time model for price-mediated contagion precipitated by a common exogenous stress to the banking book of all firms in the financial system. In this setting, firms are constrained so as to satisfy a risk-weight based capital ratio requirement. We use this model to find analytical bounds on the …
Zeta functions for non-unitary twists are shown to have analytic continuation.
Topological degrees of continuous mappings between manifolds of even dimension are studied in terms of index theory of pseudo-differential operators. The index formalism of non-commutative geometry is used to derive analytic integral formulas for the index of a 0:th order pseudo-differential operator twisted by a Hölde…
New model-independent compact representations of imaginary-time data are presented in terms of the intermediate representation (IR) of analytical continuation. This is motivated by a recent numerical finding by the authors [J. Otsuki et al., arXiv:1702.03056]. We demonstrate the efficiency of the IR through continuous-…
Semi-analytical approach for optimal wealth management contributions.
This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open problem of the general spectrally negative case and derive the optimal solution explicitly using the fluctuation identities of the refracted-ref…
We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows the Constant Elasticity of Variance (CEV) model. We present an analytical approximation for the Asian options prices which has the appropriate short matu…
We show that for a certain class of dynamics at the nodes the response of a network of any topology to arbitrary inputs is defined in a simple way by its response to a monotone input. The nodes may have either a discrete or continuous set of states and there is no limit on the complexity of the network. The results pro…
Optimizes investment strategies for retirees with longevity risk.
LFlows model fluid densities and velocities using invertible maps that satisfy the continuity equation.
Improved neural network predicts spectral functions more accurately than traditional methods.
We consider continuous-time mean-variance portfolio selection with bankruptcy prohibition under convex cone portfolio constraints. This is a long-standing and difficult problem not only because of its theoretical significance, but also for its practical importance. First of all, we transform the above problem into an e…
The paper evaluates integrals for fBm with various Hurst indices.
This paper unifies risk-averse Thompson sampling for continuous risk functionals.
We investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear stochastic model which can be transformed into Bessel process with known first hitting (first passage) time statistics. Using these results w…
Analytic plane curves determine unique conformal coordinates.
Let be a globally symmetric space of noncompact type, of arbitrary rank, and its Laplacian. We prove the existence of a meromorphic continuation of the resolvent $(Δ-\ev)^{-1}$ across the continuous spectrum to a Riemann surface multiply covering the plane. The methods are purely analytic and are adapted fr…
Analytic convex bodies' Poincaré series extended holomorphically.
Resurgent analysis reveals full partition function for 3-manifold invariants.
In this paper we present qualitative and quantitative comparison of various analytical and numerical approximation methods for calculating a position of the early exercise boundary of the American put option paying zero dividends. First we analyze their asymptotic behavior close to expiration. In the second part of the…
Paper solves PDEs for optimal investment strategies in volatile markets.
SIMPOL solves complex economic models using numerical methods.
The purpose of the paper is to introduce some conjectures regarding the analytic continuation and the arithmetic properties of quantum invariants of knotted objects. More precisely, we package the perturbative and nonperturbative invariants of knots and 3-manifolds into two power series of type P and NP, convergent in …
We propose a novel Shapley value approach to help address neural networks' interpretability and "vanishing gradient" problems. Our method is based on an accurate analytical approximation to the Shapley value of a neuron with ReLU activation. This analytical approximation admits a linear propagation of relevance across …
We prove that a real-valued function (that is not assumed to be continuous) on a real analytic manifold is analytic whenever all its restrictions to analytic submanifolds homeomorphic to the 2-sphere are analytic. This is a real analog for the classical theorem of Hartogs that a function on a complex manifold is comple…
New method calculates eta invariant without analytic continuation.
A new method improves density ratio estimation efficiency and accuracy.
Hybrid model combines continuous and tractable probabilistic models.
We derive the Chern-Gauss-Bonnet Theorem for manifolds with smooth non-degenerate boundary in the pseudo-Riemannian context from the corresponding result in the Riemannian setting by examining the Euler-Lagrange equations associated to the Pfaffian of a complex "metric" on the tangent space and then applying analytic c…
A new approach of solving the ill-conditioned inverse problem for analytical continuation is proposed. The root of the problem lies in the fact that even tiny noise of imaginary-time input data has a serious impact on the inferred real-frequency spectra. By means of a modern regularization technique, we eliminate redun…
This paper compares analytical and numerical solutions of the Black-Scholes model.
Bayesian optimization tackles mixed discrete-continuous problems with Gaussian processes.
The strong unique continuation property for Einstein metrics can be concluded from the well-known fact that Einstein metrics are analytic in geodesic normal coordinates. Here we give a proof of the same result that given two Einstein metrics with the same Ricci curvature on a fixed manifold, if they agree to infinite o…
Using the higher analytic torsion form of Bismut and Lott we construct a characteristic class for smooth sphere bundles. We calculate this class in the case where the sphere bundle comes from a complex vector bundle. Related to these characteristic classes we define nontrivial continuous group cohomology classes of the…
Using Maple, we compute some analytical solutions of a modified Black-Scholes equation, recently proposed, in the case of the European put option. We show that the modified Black-Scholes equation with the European put option is exactly solvable in terms of associated Laguerre polynomials. We make some numerical experim…
New periodic solution found in 4-body problem, not part of expected geometrical family.