arXiv research

Paper studies second order tail probabilities in risk models.

Paper examines risk measure expansions under FGM dependence, improving accuracy at extreme levels.

Unified asymptotic treatment for VaR- and expectile-based systemic risk measures.

Study stabilizes second-order systems to first-order dynamics.

Smooth solutions found for a curvature problem in hyperbolic space.

Derives derivatives of risk measures for various types of portfolio losses.

The study provides interior estimates for $Q_k$-flows and translators in $\mathbb{R}^{n+1}$.

Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization of randomly varying volatility. The recent book Fouque, Papanicolaou, Sircar and Sølna (2011, CUP) analyzes models in which the volatility of the underlying i…

We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied volatility which is already known, we compute the first order correction exactly at all strikes from the scalar coefficient of the heat kern…

This paper uses second-order Poincaré inequalities to establish quantitative central limit theorems for Gaussian neural networks.

Paper proposes an online covariance estimator for sketched Newton methods.

The paper extends logistic regression for unbounded majority classes and derives asymptotic properties.

We study the second order invariants of a Lorentzian surface in $\mathbb{R}^{2,2},$ and the curvature hyperbolas associated to its second fundamental form. Besides the four natural invariants, new invariants appear in some degenerate situations. We then introduce the Gauss map of a Lorentzian surface and give an extrin…

The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel second-order approximation for ATM option prices under the CGMY Lévy model is derived, and then extended to a model with an additional independent Brownian com…

New geometric quantities help classify manifolds and relate to entropy.

Efficient method classifies locally stationary time series based on second-order characteristics.

We give an elementary proof to the asymptotic expansion formula of Rochon-Zhang for the unique complete Kähler-Einstein metric of Cheng-Yau, Kobayashi, Tian-Yau and Bando on quasi-projective manifolds. The main tools are the solution formula for second order ODE's with constant coefficients and spectral theory for Lapl…

New method improves model risk prediction using cross-audit projection.

Study computes Cheeger constants for specific submanifolds in asymptotically hyperbolic spaces.

We study a second order differential equation corresponding to rotationally symmetric $F$-harmonic maps between certain noncompact manifolds. We show unique continuation and Liouville's type theorems for positive solutions. Asymptotic properties and the existence of bounded positive solutions are investigated.

Paper develops a robust PP distributed quasi-Newton estimation for Byzantine machines.

We study a second order ordinary differential equation corresponding to rotationally symmetric $p$-harmonic maps. We show unique continuation and Liouville's type theorems for positive solutions. We discuss the existence of bounded positive entire solutions. Asymptotic properties of the positive solutions are investiga…

This article develops a statistical test for the null hypothesis of strict stationarity of a discrete time stochastic process in the frequency domain. When the null hypothesis is true, the second order cumulant spectrum is zero at all the discrete Fourier frequency pairs in the principal domain. The test uses a window …

We provide an asymptotic expansion of the value function of a multidimensional utility maximization problem from consumption with small non-linear price impact. In our model cross-impacts between assets are allowed. In the limit for small price impact, we determine the asymptotic expansion of the value function around …

ISAAC Newton uses input-based curvature for efficient training.

Double Machine Learning estimators are asymptotically inadmissible under structure-agnostic models.

In this paper, we study the Edgeworth expansion for a pre-averaging estimator of quadratic variation in the framework of continuous diffusion models observed with noise. More specifically, we obtain a second order expansion for the joint density of the estimators of quadratic variation and its asymptotic variance. Our …

The main results of this article provide asymptotics at infinity of the Green's functions near and at the spectral gap edges for "generic" periodic second-order elliptic operators on noncompact Riemannian co-compact coverings with abelian deck groups. Previously, analogous results have been known for the case of $\math…

We use the solution space of a pair of ODEs of at least second order to construct a smooth surface in Euclidean space. We describe when this surface is a proper embedding which is geodesically complete with finite total Gauss curvature. If the associated roots of the ODEs are real and distinct, we give a universal uppe…

New method improves online covariance estimation for SGD.

New bounds show current methods overestimate system parameter errors.

Value iteration is a fixed point iteration technique utilized to obtain the optimal value function and policy in a discounted reward Markov Decision Process (MDP). Here, a contraction operator is constructed and applied repeatedly to arrive at the optimal solution. Value iteration is a first order method and therefore …

We consider second-order elliptic partial differential operators acting on sections of vector bundles over a compact Riemannian manifold without boundary, working without the assumption of Laplace-like principal part $-\N^μ\N_μ$. Our objective is to obtain information on the asymptotic expansions of the corresponding r…

New methods show sparse portfolios offer no advantage over mean-variance in diversification.

We investigate fourth order Paneitz equations of critical growth in the case of $n$-dimensional closed conformally flat manifolds, $n \ge 5$. Such equations arise from conformal geometry and are modelized on the Einstein case of the geometric equation describing the effects of conformal changes of metrics on the $Q$-cu…

Paper optimizes trading strategies by creating shadow prices for markets with transaction costs.

Estimates mass of static vacuum metrics with small Bartnik data.

This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group expansion scheme for the Cauchy-Dirichlet problem in the second-order parabolic partial differential equations (PDEs) arising in barrier option pricing. As an application, w…

We use normal sections to relate the curvature locus of regular (resp. singular corank 1) 3-manifolds in $\mathbb{R}^6$ (resp. $\mathbb R^5$) with regular (resp. singular corank 1) surfaces in $\mathbb R^5$ (resp. $\mathbb R^4$). For example we show how to generate a Roman surface by a family of ellipses different to S…

In this paper we study the asymptotic behavior of second-order uniformly elliptic operators on weighted Riemannian manifolds. They naturally emerge when studying spectral properties of the Laplace-Beltrami operator on families of manifolds with rapidly oscillating metrics. We appeal to the notion of H-convergence intro…

We consider the heat equation associated with a class of hypoelliptic operators of Kolmogorov-Fokker-Planck type in dimension two. We explicitly compute the first meaningful coefficient of the small time asymptotic expansion of the heat kernel on the diagonal, and we interpret it in terms of curvature-like invariants o…

Introduces intrinsic Riemannian cross-covariance for manifold-valued random objects.

Density expansions for hypoelliptic diffusions $(X^1,...,X^d)$ are revisited. In particular, we are interested in density expansions of the projection $(X_T^1,...,X_T^l)$, at time $T>0$, with $l \leq d$. Global conditions are found which replace the well-known "not-in-cutlocus" condition known from heat-kernel asymptot…

We consider the case of derivative-free algorithms for non-convex optimization, also known as zero order algorithms, that use only function evaluations rather than gradients. For a wide variety of gradient approximators based on finite differences, we establish asymptotic convergence to second order stationary points u…

Study asymptotic properties of generalized shortfall risk measures for heavy-tailed risks.

The study connects surface geometry in 5D to 4D projections and umbilic curvatures.

In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox-Ingersoll-Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an asymptotic expansion of …

We consider a fourth order partial differential equation in n-dimensional space introduced by Abreu in the context of Kähler metrics on toric orbifolds. Similarity solutions depending only on the radial coordinate in R^n are determined in terms of a second order ordinary differential equation. A local asymptotic analys…