This paper calculates second order price sensitivities for markets affected by financial crises.
problem Accurate risk management in financial derivative markets, especially during financial crises.
method Derives explicit formulas for second order price sensitivities under a depressed market model.
result Improved hedging strategies during financial crunches are possible with the derived formulas.
Study sensitivity of utility maximization to market changes.
problem Sensitivity of utility maximization to market price of risk changes.
method Obtained second-order expansion of value function, first-order terminal wealth approximation, constructed trading strategies, reduced approximation to Kunita-Watanabe decomposition.
result Reduced sensitivity analysis to a Kunita-Watanabe decomposition.
Adaptive algorithms improve cost-sensitive online classification with second-order information.
problem Improving cost-sensitive online classification with second-order information.
method Proposes adaptive regularization algorithms with sketching technique for better trade-off between performance and efficiency.
result Empirically validated algorithms' effectiveness and properties in real-world anomaly detection tasks.
New Monte Carlo method outperforms existing strategy for estimating Sobol' indices.
problem Estimating first-and total-orders Sobol' indices accurately.
method Comparing two Monte Carlo estimators for Sobol' indices.
result New method outperforms current approach in accuracy.
SONODEs and ANODEs improve learning of second order dynamics.
problem Learning dynamics governed by second order laws.
method Extended adjoint sensitivity method and theoretical analysis of ANODEs.
result SONODEs and ANODEs can learn higher order dynamics efficiently.
Paper combines Vibrato and automatic differentiation for efficient financial option sensitivities.
problem Efficient computation of high-order derivatives for financial option sensitivities.
method Combines Vibrato and automatic differentiation methods.
result Combined method is faster and more stable than standard finite difference methods.
Second-order optimization speeds up deep hedging for complex options.
problem Hedging exotic options with market frictions in realistic markets.
method Second-order optimization scheme leveraging pathwise differentiability and Kronecker-factoring.
result Our method optimizes the policy in 1/4 the steps of standard optimization.
Proposes second-order influence functions for identifying influential groups in test-time predictions.
problem Identifying influential groups in test-time predictions for black-box models.
method Second-order approximations of the effect of removing a group of training samples on model predictions.
result Improves the correlation between computed influence values and ground truth values for linear models.
Proposes a new OAL algorithm for imbalanced data with limited labels.
problem Handling imbalanced unlabeled datastream with limited query budget.
method Integrates asymmetric losses and queries strategies, uses second-order optimization, and applies sketching technique.
result Demonstrates improved performance and efficiency in class imbalance.
Develops a new method for optimizing policies in hierarchical models.
problem Optimizing complex policies in hierarchical models.
method Applies second-order methods in the space of state-action paths.
result The natural path gradient method can be computed exactly and reflects state-space hierarchy.
Two formulae estimate sensitivity of random vectors to distributional parameters.
problem Estimating sensitivity of random vectors to distributional parameters.
method Two analytical formulae and four numerical algorithms.
result Validated numerical algorithms and demonstrated effectiveness.
Empirical study shows second-order methods improve non-convex ML problems.
problem Slow convergence and hyper-parameter sensitivity in first-order methods.
method Sub-sampled trust region and adaptive regularization with cubics algorithms.
result Second-order methods are computationally competitive and robust to hyper-parameters.
New methods for calculating credit valuation adjustment with reduced noise and faster computation.
problem High statistical noise in computing sensitivities of CVA due to non-differentiable default intensities.
method Ad hoc analytical estimators to overcome non-differentiability and finite differences.
result Low statistical noise and fast computation of sensitivities to market quotes.
New framework detects directional influence in multivariate time series.
problem Detecting directional influence in multivariate time series.
method Order-constrained spectral non-invariance.
result Unique diagnostic functional for directional influence.
Improved robustness in optimization methods using second-order information.
problem Scalability and sensitivity to mini-batch size in optimization methods.
method Mini-Batch Stochastic Variance-Reduced Newton (extttMb−SVRN) algorithm incorporating partial second-order information. result Achieves a fast linear convergence rate independent of mini-batch size for large data sizes.
A learning algorithm achieves logarithmic regret in a market making model.
problem Learning the price sensitivity parameter in a market making model.
method Maximum-likelihood estimator with regularization, based on HJB equation.
result Regret upper bound of order ln^2 T in expectation.
Banks must manage their trading books, not just value them. Pricing includes valuation adjustments collectively known as XVA (at least credit, funding, capital and tax), so management must also include XVA. In trading book management we focus on pricing, hedging, and allocation of prices or hedging costs to desks on an…
THORS converts arbitrary classifiers to cost-sensitive ones efficiently.
problem Making classifiers cost-sensitive without extensive knowledge.
method THORS uses order statistics to find optimal thresholds.
result THORS provides theoretical guarantees and lower time complexity.
Derivative-informed models improve financial surrogates for accurate hedging and risk management.
problem Developing fast surrogate models for financial derivatives and risk quantities.
method Derivative-informed operator learning framework combining neural operators, random features, and tangent sensitivity equations.
result The framework reduces hedging and risk errors by 40-76% compared to standard surrogates.
Risk-averse trading policies learned from simulated market interactions.
problem Minimizing execution cost in limit order book markets with market impact.
method Risk-sensitive Q-learning applied to Markov Decision Process in a market simulator.
result Derived decision-tree-based execution policies that minimize cost variance.
Modern proximal and stochastic gradient descent (SGD) methods are believed to efficiently minimize large composite objective functions, but such methods have two algorithmic challenges: (1) a lack of fast or justified stop conditions, and (2) sensitivity to the objective function's conditioning. In response to the firs…
Transformers for binary decisions are sensitive to evidence order, leading to unreliable outcomes.
problem Order sensitivity in Transformers for binary decisions leads to unreliable outcomes.
method Formalized an expectation-realization gap and developed QMV and EDFL bounds.
result Uniform permutation mixtures reduce dispersion and improve reliability.
Secure methods learn fair models without revealing sensitive attributes.
problem Training fair machine learning models without exposing sensitive data.
method Secure multi-party computation to encrypt sensitive attributes.
result Outcome-based fair models can be learned, checked, or verified without revealing sensitive attributes.
A new optimizer for deep learning improves accuracy and reduces training time.
problem Training deep neural networks for classification tasks.
method Hybrid Newton/Gradient Descent (NGD) method exploiting convexity of cross-entropy loss.
result Improves validation error and provides qualitative differences in hidden layer basis functions.
CurveBall is a fast deep learning solver that requires minimal computational resources.
problem Long-standing issues with current second-order solvers, especially computational cost and sensitivity to noise.
method Keeps a single estimate of the gradient projected by the inverse Hessian matrix, updated once per iteration, without maintaining an estimate of the Hessian.
result Faster convergence and no hyperparameter tuning on large models like ResNet and VGG-f networks.
Optimizer memory affects learning rate sensitivity in shuffle order, impacting fine-tuning noise.
problem Optimizer memory affects the learning rate sensitivity in shuffle order, leading to fine-tuning noise.
method Isolated the mechanism of fixed-clock optimizer memory affecting the learning rate sensitivity in shuffle order, deriving a fit-free way to size the noise.
result Fixed-clock optimizers like AdamW produce a larger first-order noise channel compared to memoryless optimizers, affecting fine-tuning comparisons.
Study local sensitivity of HDD and CDD temperature derivatives prices.
problem Understanding how temperature derivatives prices change with small temperature changes.
method Analyzes sensitivity of HDD and CDD futures and options prices to temperature perturbations using a CAR process.
result Identifies the order of the CAR process and its impact on temperature derivatives prices.
Portable, Wearable and Wireless electrocardiogram (ECG) Systems have the potential to be used as point-of-care for cardiovascular disease diagnostic systems. Such wearable and wireless ECG systems require automatic detection of cardiovascular disease. Even in the primary care, automation of ECG diagnostic systems will …
Develops a fair classifier for deep learning models.
problem Ensuring fairness in classification models across different sub-populations.
method Applies Rawlsian principles to minimize error rate on the worst-off sub-population.
result Introduces a practical method to adapt any black-box deep learning model to be fair.
In the general framework of a semimartingale financial model and a utility function U defined on the positive real line, we compute the first-order expansion of marginal utility-based prices with respect to a ``small'' number of random endowments. We show that this linear approximation has some important qualitative …
New CRB derived for curved models using extrinsic geometry.
problem Estimate curved statistical families accurately.
method Vector generalization of CRB with curvature correction using SDP and SOS relaxations.
result Directional curvature correction provides more accurate estimation.
C-kNN-LSH identifies similar patient histories for causal inference in longitudinal data.
problem Estimating causal effects from longitudinal trajectories with high-dimensional confounding.
method C-kNN-LSH uses locality-sensitive hashing to find clinical twins and estimate treatment effects.
result C-kNN-LSH outperforms existing methods in capturing recovery heterogeneity and estimating policy values.
Enhanced KS test detects tail differences more sensitively.
problem Detecting differences in data tail regions.
method Higher-order IPM defined over a total variation ball.
result Asymptotic null distribution for the test.
Develops a privacy-preserving IRLS algorithm for L1 minimization.
problem Privacy concerns in iteratively reweighted least squares for L1 minimization.
method Separates sensitivity analysis, uses concentrated differential privacy.
result Outputs privatised and accurate IRLS solutions.
We analyze how uncertainty in models affects optimization outcomes using Wasserstein distances.
problem Sensitivity of optimization problems to model uncertainty.
method Non-parametric approach using Wasserstein balls to capture uncertainty, providing explicit corrections for value function and optimizer.
result Explicit formulae for first-order corrections to value function and optimizer.
Method identifies shifts leading to large model performance differences.
problem Detecting shifts in distribution that affect model performance.
method Parametric changes in causal mechanisms define robustness sets; worst-case optimization problem approximated as non-convex quadratic.
result Second-order approximation of worst-case loss for small shifts, leading to efficient algorithms.
New method tackles catastrophic forgetting and order-sensitivity in continual learning.
problem Catastrophic forgetting and order-sensitivity in continual learning.
method Additive Parameter Decomposition (APD) to represent task parameters as a sum of shared and adaptive parts.
result Significantly outperforms state-of-the-art methods in accuracy, scalability, and order-robustness.
DPZero fine-tunes large models privately without backpropagation.
problem Memory and privacy challenges in fine-tuning large language models.
method DPZero uses zeroth-order methods for private fine-tuning, avoiding backpropagation.
result DPZero achieves private fine-tuning of RoBERTa and OPT on various tasks.
Proposes efficient sensitivity analysis for complex Bayesian models.
problem Inefficiency of sensitivity analyses in complex Bayesian models.
method SA-ABI: weight sharing and neural network rapid inference.
result Efficiently integrates sensitivity analyses into Bayesian inference.
Paper proposes ZO-NGD for more efficient black-box attacks.
problem Vulnerability of state-of-the-art DNNs to adversarial attacks.
method Zeroth-order natural gradient descent (ZO-NGD) for black-box attacks.
result ZO-NGD achieves significantly lower model query complexities.
Paper analyzes CCT sensitivity in constrained power systems, offering insights into system stability and parameter changes.
problem Identifying preventive control measures to avoid large generation losses during disturbances.
method Derived first-order CCT sensitivity for generic constrained power systems using trajectory sensitivity computation.
result Sensitivity of CCT to system parameters, providing insights into feasibility and stability.
Proposes a new framework for invariant quadratic P&L predictions in option books.
problem Inconsistent second-order P&L predictions across different factor parameterizations.
method Local, model-agnostic framework using covariant Hessian defined by an affine connection.
result Coordinate-invariant quadratic P&L predictions that match desk targets.
Researchers quantify risk exposure and sensitivities in financial markets under model uncertainty.
problem Optimizing investment and pricing under model uncertainty in financial markets.
method Distributionally robust optimization, Wasserstein ball, first-order sensitivity analysis.
result Sensitivities of value function, investment policy, and marginal prices to model uncertainty can be non-monotonic.
FairGP uses graph partitioning to make Graph Transformers fair and scalable.
problem Fairness issues in Graph Transformers, especially against sensitive features.
method Graph partitioning to minimize the influence of higher-order nodes and optimize attention mechanisms.
result FairGP improves fairness in Graph Transformers while reducing computational complexity.
A risk-sensitive approach to inverse reinforcement learning.
problem Risk-sensitive reinforcement learning in Markov decision processes.
method Gradient-based algorithm minimizing a loss function defined on observed behavior.
result Demonstrated performance on Grid World and ride-sharing examples.
Study adversarial attacks on cost-sensitive classifiers.
problem Safety-critical classification problems with cost-sensitive predictions.
method Used state-of-the-art adversarially-resistant neural networks and analyzed as a two-player zero-sum game.
result Introduced a new cost-sensitive attack that performs better than targeted attacks in some cases.
This study compares microscopic and macroscopic models for commodity index derivatives pricing.
problem Lack of accurate futures curve dynamics in macroscopic models for real scenarios.
method Calibrated both microscopic and macroscopic models using S\&P GSCI Crude Oil excess-return index derivatives.
result Macroscopic models struggle to capture futures curve dynamics, affecting pricing and sensitivities.
This paper improves autoregressive model training by focusing on test metrics, not just likelihood.
problem Training autoregressive models to perform better on specific metrics like METEOR score.
method Follows the learning-to-search approach, constructing a reference policy and choosing test metric-related costs.
result The standard KL loss only learns high-probability tokens and can be improved with ranking objectives.