In this paper, we introduce a new approach to constructing unbiased estimators when computing expectations of path functionals associated with stochastic differential equations (SDEs). Our randomization idea is closely related to multi-level Monte Carlo and provides a simple mechanism for constructing a finite variance…
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11 results for “path-functional”
Signature portfolios approximate optimal wealth in non-Markovian markets.
problem Approximating optimal wealth in non-Markovian markets.
method Linear path-functional portfolios based on signatures of market weights.
result Signature portfolios can uniformly approximate any continuous portfolio function.
In this note we apply the recently established Wiener-Hopf Monte Carlo (WHMC) simulation technique for Levy processes from Kuznetsov et al. [17] to path functionals, in particular first passage times, overshoots, undershoots and the last maximum before the passage time. Such functionals have many applications, for inst…
Novel approach to financial derivatives pricing using rough path theory.
problem No-arbitrage conditions in financial markets necessitating precise integration methods.
method Developed a polynomial-based approximation class for rough path functionals, extending to non-geometric rough paths.
result Motivated a hypothesis for payoff functionals in financial markets, facilitating analysis.
Neural network learns from higher-order connections in molecules.
problem Graph neural networks fail to account for local and hidden structures in graphs.
method Developed a neural network that can pass messages and aggregate information across higher-order paths.
result The model improves molecular property prediction.
We use Karhunen-Loève expansion for efficient pricing of exotic derivatives.
problem Efficient pricing of path-dependent options.
method Karhunen-Loève expansion and Monte Carlo simulation.
result Fast and accurate computation of exotic derivatives pricing.
The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process. In this paper, we give an operator algebraic treatment of this problem based on Dyson expansions and moment …
Framework uses optimal transport to quantify model risk in stochastic path laws.
problem Model risk in stochastic path laws.
method Signature-induced optimal transport framework.
result Explicit robust bounds and budget-aware sparse surrogate method.
Derives functional Itô formula for non-anticipative maps of rough paths.
problem Functional Itô formula for non-anticipative maps of càdlàg rough paths.
method Approximation properties of the signature and Marcus transformation.
result Functional Taylor expansion for sufficiently regular non-anticipative maps.
Paper develops approximation and statistical theory for signature-based path regression.
problem Understanding how fast signatures approximate continuous path functionals.
method Develops \(L^2\) approximation rate for smooth functionals of Itô diffusions and establishes consistency of statistical learning procedures.
result Signature-based methods improve prediction over handcrafted features in various real-data applications.
The one-dimensional SDE with non Lipschitz diffusion coefficient is widely studied in mathematical finance. Several works have proposed asymptotic analysis of densities and implied volatilities in models involving instances of this equation, based on a careful i…