arXiv research

We derive caplet volatilities for quadratic models, providing an asymptotic approximation.

In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest rate can have different economic or financial trends justify the interest of Regim…

A correspondence between different $Pin$-type structures on a compact surface and quadratic (linear) forms on its homology is constructed. Addition of structures is defined and expressed in terms of these quadratic forms.

We provide explicit solutions of certain forward-backward stochastic differential equations (FBSDEs) with quadratic growth. These particular FBSDEs are associated with quadratic term structure models of interest rates and characterize the zero-coupon bond price. The results of this paper are naturally related to simila…

We study quadratic Lie algebras over a field K of null characteristic which admit, at the same time, a symplectic structure. We see that if K is algebraically closed every such Lie algebra may be constructed as the T*-extension of a nilpotent algebra admitting an invertiblederivation and also as the double extension of…

In this paper we propose a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices. We rely on a theoretical model described in [21], but extend it so that it reflects actually traded electricity contracts, transaction costs and liquidity considerations. Our nume…

We study the limits of holonomy representations of complex projective structures on a compact Riemann surface in the Morgan-Shalen compactification of the character variety. We show that the dual R-trees of the quadratic differentials associated to a divergent sequence of projective structures determine the Morgan-Shal…

Recently, deep learning has achieved huge successes in many important applications. In our previous studies, we proposed quadratic/second-order neurons and deep quadratic neural networks. In a quadratic neuron, the inner product of a vector of data and the corresponding weights in a conventional neuron is replaced with…

Bounds projective structure norms by bending lamination lengths.

This paper gives examples of explicit arbitrage-free term structure models with Lévy jumps via state price density approach. By generalizing quadratic Gaussian models, it is found that the probability density function of a Lévy process is a "natural" scale for the process to be the state variable of a market.

Inspired by complexity and diversity of biological neurons, our group proposed quadratic neurons by replacing the inner product in current artificial neurons with a quadratic operation on input data, thereby enhancing the capability of an individual neuron. Along this direction, we are motivated to evaluate the power o…

A new QHR model extends HR model with a quadratic variance function.

Quadratic regression involves modeling the response as a (generalized) linear function of not only the features $x^{j_1}$ but also of quadratic terms $x^{j_1}x^{j_2}$. The inclusion of such higher-order "interaction terms" in regression often provides an easy way to increase accuracy in already-high-dimensional problem…

Study automorphism groups of Inoue surfaces using quadratic number fields.

New formulas with quadratic curvature terms on Kähler manifolds for Hodge number estimates.

New dg-algebras generalize Brauer graph algebras, with applications to stability conditions and quadratic differentials.

We consider support recovery in the quadratic logistic regression setting - where the target depends on both p linear terms $x_i$ and up to $p^2$ quadratic terms $x_i x_j$. Quadratic terms enable prediction/modeling of higher-order effects between features and the target, but when incorporated naively may involve solvi…

We prove the existence of "half-plane differentials" with prescribed local data on any Riemann surface. These are meromorphic quadratic differentials with higher-order poles which have an associated singular flat metric isometric to a collection of euclidean half-planes glued by an interval-exchange map on their bounda…

Study of complex structures on Courant algebroids, linking to Poisson structures.

New geometric Joyce structures on moduli spaces of quadratic differentials.

The non-gaussianity of processes observed in financial markets and relatively good performance of gaussian models can be reconciled by replacing the Brownian motion with Levy processes whose Levy densities decay as exp(-lambda|x|) or faster, where lambda>0 is large. This leads to asymptotic pricing models. The leading …

We prove a uniform estimate, valid for every closed Riemann surface of genus at least two, that bounds the distance of any quadratic differential to the finite dimensional space of holomorphic quadratic differentials in terms of its antiholomorphic derivative.

We study modular fibers of elliptic differentials, which are roughly spaces of torus-coverings over a fixed base torus. For genus 2 torus covers with fixed degree we show, that the modular fibers F_d(1,1) are itself connected torus covers with Veech group SL_2(Z). Using results of Eskin, Masur and Schmoll we calculate …

Proposes a new framework for invariant quadratic P&L predictions in option books.

Study on pseudo-Hermitian quadratic nilpotent Lie algebras with methods and classifications.

Geometrically interprets integrability of geodesic flow using web theory.

Solutions near infinity to special Lagrangian equations are asymptotic to quadratic polynomials with logarithmic terms.

Researchers find a method to construct projective structures on a specific surface.

Any classical r-matrix on the Lie algebra of linear operators on a real vector space V gives rise to a quadratic Poisson structure on V which admits a deformation quantization stemming from the construction of V. Drinfel'd. We exhibit in this article an example of quadratic Poisson structure which does not arise this w…

New conic quadratic formulations improve outlier detection in regression models.

We consider a general time-inconsistent stochastic linear-quadratic differential game. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as state-dependent term in the objective functionals. We define an equilibrium strategy, which is different from the classical one, and …

Article explores G2-structures with quadratic conditions, finding new ERP and complete solitons.

The paper is devoted to quadratic Poisson structures compatible with the canonical linear Poisson structures on trivial 1-dimensional central extensions of semisimple Lie algebras. In particular, we develop the general theory of such structures and study related families of functions in involution. We also show that th…

We present a new link between the Invariant Theory of infinitesimal singular Riemannian foliations and Jordan algebras. This, together with an inhomogeneous version of Weyl's First Fundamental Theorems, provides a characterization of the recently discovered Clifford foliations in terms of basic polynomials. This link a…

The boundary at infinity of a quasifuchsian hyperbolic manifold is equiped with a holomorphic quadratic differential. Its horizontal measured foliation $f$ can be interpreted as the natural analog of the measured bending lamination on the boundary of the convex core. This analogy leads to a number of questions. We prov…

The paper classifies real hypersurfaces with a specific Jacobi operator in complex Grassmannians.

Optimally estimates stability in Lorentzian isoperimetric inequalities.

The paper proves signatures of non-geometric rough paths can approximate functionals uniformly.

We establish an explicit expression for the conditional Laplace transform of the integrated Volterra Wishart process in terms of a certain resolvent of the covariance function. The core ingredient is the derivation of the conditional Laplace transform of general Gaussian processes in terms of Fredholm's determinant and…

Geometrically describes the linear and quadratic forms for rational links.

The paper sets bounds on how much regret is unavoidable in adaptive LQR with unknown B-matrix.

We show how the space of complex spin structures of a closed oriented three-manifold embeds naturally into a space of quadratic functions associated to its linking pairing. Besides, we extend the Goussarov-Habiro theory of finite type invariants to the realm of compact oriented three-manifolds equipped with a complex s…

According to the work of Kontsevich-Zorich, the invariant that classifies non-hyperelliptic connected components of the moduli spaces of Abelian differentials with prescribed singularities,is the parity of the spin structure. We show that for the moduli space of quadratic differentials, the spin structure is constant o…

The paper classifies biharmonic quadratic maps between spheres, proving their energy density properties.

Investigates smoothness of specific algebra structures.

In this letter, first we give a decomposition for any Lie-Poisson structure $π_g$ associated to the modular vector. In particular, $π_g$ splits into two compatible Lie-Poisson structures if $dim{g} \leq 3$. As an application, we classified quadratic deformations of Lie-Poisson structures on $\mathbb R^3$ up to linear d…

A quadratic line complex is a three-parameter family of lines in projective space P^3 specified by a single quadratic relation in the Plucker coordinates. Fixing a point p in P^3 and taking all lines of the complex passing through p we obtain a quadratic cone with vertex at p. This family of cones supplies P^3 with a c…

We investigate a class of quadratic-exponential growth BSDEs with jumps. The quadratic structure introduced by Barrieu & El Karoui (2013) yields the universal bounds on the possible solutions. With local Lipschitz continuity and the so-called A_gamma-condition for the comparison principle to hold, we prove the existenc…