On-device research index

arXiv research

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.

168,657 papers · 148 categories

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2 results for “path-transform”

Sig-SDEs model for quantitative financeq-fin.CP

Sig-SDE model integrates signatures with SDEs for financial data.

problem Calibrating models to exotic financial products with non-linear dependencies.

method Integrating signatures from stochastic analysis with neural SDEs.

result Sig-SDE provides theoretical guarantees for convergence.

Sig-SDE financial modeling stochastic analysis neural SDEs path-transform

2020-05-30abs ↗pdf ↗

On perpetual American put valuation and first-passage in a regime-switching model with jumpsq-fin.PR

In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching Lévy model. For the case of the (dense) class of phase-type jumps and finitely many regimes we derive an explicit expression for the value function. The solution of the corresponding first passage problem…

2008-03-15abs ↗pdf ↗