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.
New method tackles bilevel optimization with polyhedral constraints.
This paper is devoted to the pricing of Barrier options by optimal quadratic quantization method. From a known useful representation of the premium of barrier options one deduces an algorithm similar to one used to estimate nonlinear filter using quadratic optimal functional quantization. Some numerical tests are fulfi…
Research provides explicit NPV expressions for double barrier strategies.
Avanzi et al. (2016) recently studied an optimal dividend problem where dividends are paid both periodically and continuously with different transaction costs. In the Brownian model with Poissonian periodic dividend payment opportunities, they showed that the optimal strategy is either of the pure-continuous, pure-peri…
Optimizes dividend control in a bankruptcy process using a special Levy process.
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that the surplus process must be above a given dividend payout barrier in order for dividend payments to be allowed. Bankruptcy occurs if the su…
This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default contagion is considered such that one default event may increase the default probabilities of all surviving subsidiaries. The total dividend pro…
This paper deals with a high-order accurate implicit finite-difference approach to the pricing of barrier options. In this way various types of barrier options are priced, including barrier options paying rebates, and options on dividend-paying-stocks. Moreover, the barriers may be monitored either continuously or disc…
A scalable framework optimizes multi-asset portfolios with constraints.
IPMs struggle with hyperbolic spaces due to polynomially growing barrier parameters.
Short-term incentives lead to riskier trading strategies.
RHMC improves sampling polytopes defined by inequalities with barriers.
Many problems in statistical learning, imaging, and computer vision involve the optimization of a non-convex objective function with singularities at the boundary of the feasible set. For such challenging instances, we develop a new interior-point technique building on the Hessian-barrier algorithm recently introduced …
We study optimal buying and selling strategies in target zone models. In these models the price is modeled by a diffusion process which is reflected at one or more barriers. Such models arise for example when a currency exchange rate is kept above a certain threshold due to central bank intervention. We consider the op…
Unified framework improves robust causal inference, overcoming Gaussian barriers and optimization issues.
Recent work of Dupire and Carr and Lee has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root for the model-independent hedging of variance options. Root's work shows that there exists a barrier from which one may define a stopping time which solves the Skorokhod embedding p…
Paper proposes a method to find approximate SOSP for nonconvex conic optimization problems.
Neural networks' optimization dynamics are confined to a single basin despite connected basins in the loss landscape.
New study reveals a polynomial penalty for adapting to unknown margin parameters in batched nonparametric bandits.
We revisit the dividend payment problem in the dual model of Avanzi et al. ([2], [1], and [3]). Using the fluctuation theory of spectrally positive Lévy processes, we give a short exposition in which we show the optimality of barrier strategies for all such Lévy processes. Moreover, we characterize the optimal barrier …
We examine optimal quadratic hedging of barrier options in a discretely sampled exponential Lévy model that has been realistically calibrated to reflect the leptokurtic nature of equity returns. Our main finding is that the impact of hedging errors on prices is several times higher than the impact of other pricing bias…
This paper concerns the dual risk model, dual to the risk model for insurance applications, where premiums are surplus-dependent. In such a model premiums are regarded as costs, while claims refer to profits. We calculate the mean of the cumulative discounted dividends paid until ruin, if the barrier strategy is applie…
Post-training optimizes model performance beyond base model limits.
The paper calculates prices for multi-step barrier options under the Black-Scholes model.
Improved Langevin Monte Carlo reduces energy barriers for faster optimization.
In this paper we consider a modified version of the classical optimal dividends problem of de Finetti in which the dividend payments subject to a penalty at ruin. We assume that the risk process is modeled by a general spectrally positive Levy process before dividends are deducted. Using the fluctuation theory of spect…
We demonstrate effectiveness of the first-order algorithm from [Milstein, Tretyakov. Theory Prob. Appl. 47 (2002), 53-68] in application to barrier option pricing. The algorithm uses the weak Euler approximation far from barriers and a special construction motivated by linear interpolation of the price near barriers. I…
Paper overcomes sample size barrier in reinforcement learning with generative models.
A new method uses deep learning to price barrier options.
Optimization on manifolds is a class of methods for optimization of an objective function, subject to constraints which are smooth, in the sense that the set of points which satisfy the constraints admits the structure of a differentiable manifold. While many optimization problems are of the described form, technicalit…
We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose …
A time-dependent double-barrier option is a derivative security that delivers the terminal value at expiry if neither of the continuous time-dependent barriers $b_\pm:[0,T]\to \RR_+$ have been hit during the time interval . Using a probabilistic approach we obtain a decomposition of the barrier opti…
We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for products of both types and depends on an efficient interpolation of observed market option pricing. Pricing products We discuss the pricing metho…
Optimal reinsurance and dividend strategy for insurance companies in a finite time.
Efficient semi-analytic methods for pricing double barrier options with time-dependent parameters.
Interior-point methods adapted for manifolds, achieving similar optimization results.
We provided an analytical representation of the price of a barrier option with one type of special moving barrier. We consider the case that risk free rate, dividend rate and stock volatility are time dependent. We get a pricing formula and put call parity for barrier option when the moving barrier has a special relati…
Hamiltonian method applied to floating barrier options pricing.
This work tackles Bayesian neural networks by addressing loss landscape symmetries.
The paper optimizes dividend strategies for companies with assets and liabilities under solvency constraints.
Deep learning solves barrier options with stochastic volatility.
Proximal policy optimization(PPO) has been proposed as a first-order optimization method for reinforcement learning. We should notice that an exterior penalty method is used in it. Often, the minimizers of the exterior penalty functions approach feasibility only in the limits as the penalty parameter grows increasingly…
Unified pricing method for FX options with barriers.
Root's barrier is continuous and finite under certain conditions.
In this paper we consider the optimal dividend problem for an insurance company whose risk process evolves as a spectrally negative Lévy process in the absence of dividend payments. The classical dividend problem for an insurance company consists in finding a dividend payment policy that maximizes the total expected di…
Path integral method calculates barrier option prices.
New principle reduces load imbalance in LLM serving systems, saving up to 52% energy.
L3Ms fine-tune LLMs with constraints for tailored applications.