In this report, we derive a non-negative series expansion for the Jensen-Shannon divergence (JSD) between two probability distributions. This series expansion is shown to be useful for numerical calculations of the JSD, when the probability distributions are nearly equal, and for which, consequently, small numerical er…
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48 results for “series expansions”
New method for European option pricing faster and more robust.
problem Pricing European options efficiently and accurately.
method Fourier cosine series expansions for models with known characteristic functions.
result More robust and faster than the original COS method.
Derives a series expansion for Asian option pricing with polynomial jump-diffusion moments.
problem Pricing Asian options with polynomial jump-diffusion processes.
method Uses Hermite polynomials and moments of the underlying process for closed-form computation.
result Explicit computation of Greeks and accurate series expansion for Asian options.
The notion of a symplectic expansion directly relates the topology of a surface to formal symplectic geometry. We give a method to construct a symplectic expansion by solving a recurrence formula given in terms of the Baker-Campbell-Hausdorff series.
The COS method proposed in Fang and Oosterlee (2008), although highly efficient, may lack robustness for a number of cases. In this paper, we present a Stable pricing of call options based on Fourier cosine series expansion. The Stability of the pricing methods is demonstrated by error analysis, as well as by a series …
In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution. All terms in the series are fully explicit and no numerical integration nor any …
Functional Expansionsq-fin.MF
This work explores functional expansions to handle path dependence in various fields.
problem Path dependence and infinite-dimensional problems in non-Markovian systems.
method Generalizes Wiener series and functional Taylor expansion to handle static and dynamic functionals.
result Elegant separation of functionals from future trajectories in dynamic cases.
New sampling method for Heston model reduces complexity.
problem Efficient sampling for Heston model's time integrated variance.
method Series expansion, change of measure, Chebyshev polynomial approximations.
result Strong, efficient sampling scheme established for Heston model.
We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial option price series expansion performs as efficiently and accura…
DEPTS learns to forecast periodic time series with improved accuracy.
problem Forecasting periodic time series is challenging due to complex dependencies and diverse periods.
method DEPTS uses a decoupled formulation with an expansion module and a periodicity module to handle these challenges.
result DEPTS significantly improves forecasting accuracy, reducing errors by up to 20%.
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Levy-type martingale subject to default. This class of models allows for local volatility, local default intensity, and a locally dependent Levy measure. Generalizing and extending the novel adjoint expansion technique o…
We calculate the second coefficient of the asymptotic expansion of the Bergman kernel of the Hodge-Dolbeault operator associated to high powers of a Hermitian line bundle with non-degenerate curvature, using the method of formal power series developed by Ma and Marinescu.
We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion in the correlation parameter between the underlying asset and volatility process…
Paper studies the full asymptotic torsion forms of flat bundles.
problem Analytic torsion forms of flat bundles and their expansions.
method Proves the existence of the full expansion and gives a formula for the sub-leading term.
result Existence and formula for the full asymptotic expansion of torsion forms.
Lueck expressed the Gromov norm of a knot complement in terms of an infinite series that can be computed from a presentation of the fundamental group of the knot complement. In this note we show that Lueck's formula, applied to torus knots, yields surprising power series expansions for the logarithm function. This gene…
The UCR Time Series Archive - introduced in 2002, has become an important resource in the time series data mining community, with at least one thousand published papers making use of at least one data set from the archive. The original incarnation of the archive had sixteen data sets but since that time, it has gone th…
Causalities of the Taiwan Stock Marketcond-mat.stat-mech
Volatility, fitting with first order Landau expansion, stationarity, and causality of the Taiwan stock market (TAIEX) are investigated based on daily records. Instead of consensuses that consider stock market index change as a random time series we propose the market change as a dual time series consists of the index a…
New cobordism invariants derived from BPS q-series.
problem Understanding BPS partition functions with different structures.
method Analyzing limits of BPS q-series and summing over Spin structures.
result Derived invariants of homology cobordisms from BPS q-series.
We consider a class of assets whose risk-neutral pricing dynamics are described by an exponential Lévy-type process subject to default. The class of processes we consider features locally-dependent drift, diffusion and default-intensity as well as a locally-dependent Lévy measure. Using techniques from regular perturba…
A new fast method simulates stochastic volatility models.
problem Simulating stochastic volatility models efficiently.
method Karhunen-Loève expansions to express stochastic volatility as sine series, followed by analytical derivation of integrals.
result Simulation is several hundred times faster than existing methods.
New method improves nonlinear filtering accuracy with reduced computation.
problem Complex nonlinear filtering with small system noise.
method Asymptotic expansion with ordinary differential equations and Edgeworth-type correction.
result Significantly lower computational cost with improved accuracy.
A Closed-Form Approximation of Likelihood Functions for Discretely Sampled Diffusions: the Exponent Expansionphysics.soc-ph
In this paper we discuss a closed-form approximation of the likelihood functions of an arbitrary diffusion process. The approximation is based on an exponential ansatz of the transition probability for a finite time step , and a series expansion of the deviation of its logarithm from that of a Gaussian distribution…
We invert the Black-Scholes formula. We consider the cases low strike, large strike, short maturity and large maturity. We give explicitly the first 5 terms of the expansions. A method to compute all the terms by induction is also given. At the money, we have a closed form formula for implied lognormal volatility in te…
Study on quantum invariants of twist knots at specific roots of unity.
problem Asymptotic expansions of quantum invariants for twist knots.
method Saddle point method applied to colored Jones polynomial.
result Asymptotic expansion formula for twist knots at given root of unity.
Proves DCNNs with expansive convolution are strongly universally consistent.
problem Theoretical consistency of deep convolutional neural networks (DCNNs).
method Empirical risk minimization on DCNNs with expansive convolution (with zero-padding).
result DCNNs with expansive convolution are strongly universally consistent.
We offer new formulas for European option pricing under tempered stable processes.
problem Pricing European options under tempered stable processes.
method Series expansions for tempered stable densities and European option prices.
result Our formulas are hyperparameter-free and competitive with traditional methods.
This work presents a new classifier that is specifically designed to be fully interpretable. This technique determines the probability of a class outcome, based directly on probability assignments measured from the training data. The accuracy of the predicted probability can be improved by measuring more probability es…
We exploit an ansatz in order to construct power series expansions for pairs of conjugate functions defined on domains of Euclidean --space. Convergence properties of the resulting series are investigated. Entire solutions which are not harmonic are found as well as a -parameter family of examples which contains …
TEAFormers preserve multi-dimensional time series structures for better forecasting.
problem Traditional Transformers flatten multi-dimensional time series data, losing critical multi-dimensional relationships.
method Tensor-Augmented Transformer (TEAFormer) with Tensor-Augmentation (TEA) module.
result Significant performance enhancements in time series forecasting across benchmarks.
We solve for functions from their truncated Hilbert transforms using Chebyshev series.
problem Finding functions from their truncated Hilbert transforms.
method Express functions in Chebyshev series and numerically estimate coefficients.
result Numerical methods work well for extrapolating functions from truncated Hilbert transforms.
We study a certain skein element in the relative Kauffman bracket skein module of the disk with some marked points, and expand this element in terms linearly independent elements of this module. This expansion is used to compute and study the head and the tail of the colored Jones polynomial and in particular we give a…
A framework for proving quantum modularity: Application to Witten's asymptotic expansion conjecturemath.NT
New techniques prove quantum modularity for various functions.
problem Proving quantum modularity of false theta functions and related series.
method Developed techniques including Poisson summation formula and modular series framework.
result Unified approach to proving quantum modularity for various functions.
Study on quantum invariants of twist knots at specific roots of unity.
problem Asymptotic expansions of quantum invariants for twist knots.
method Asymptotic expansion formula for colored Jones polynomial using twist knots.
result Obtained asymptotic expansion formulas for twist knots at specified roots of unity.
We compute the series expansions for the normal curvatures of hyperspheres, the Finsler and Rund curvatures of circles in Funk geometry as the radii tend to infinity. These three curvatures are different at infinity in Funk geometry.
We give an introductory survey on the universal Vassiliev invariant called the perturbative series expansion of the Chern-Simons theory of links in euclidean space, and on its relation with the Kontsevich integral. We also prove an original geometric property of the anomaly of Bott, Taubes, Altschuler, Freidel and D. T…
New ARIMA framework improves forecast accuracy for economic and financial time series.
problem Improving forecast accuracy for nonlinear dynamics in time series data.
method Projection-based ARIMA framework using Galerkin basis expansions.
result Galerkin-SARIMA matches or improves forecast accuracy compared to classical ARIMA/SARIMA.
We study the algebraic property of the representation of the mapping class group of a closed oriented surface of genus 2 constructed by VFR Jones [Annals of Math. 126 (1987) 335-388]. It arises from the Iwahori-Hecke algebra representations of Artin's braid group of 6 strings, and is defined over integral Laurent polyn…
The Magnus expansion is a universal finite type invariant of pure braids with values in the space of horizontal chord diagrams. The Conway polynomial composed with the short circuit map from braids to knots gives rise to a series of finite type invariants of pure braids and thus factors through the Magnus map. We descr…
The power series expansions of logarithmic Sobolev, - functionals and scalar curvature rigiditymath.DG
The paper proves curvature rigidity for manifolds with specific scalar curvature bounds.
problem Curvature rigidity of manifolds with scalar curvature constraints.
method Power series expansions of logarithmic Sobolev and W-functionals, scalar curvature bounds, and isoperimetric profiles.
result The sectional curvature of a manifold is constant (K) if it satisfies scalar curvature and isoperimetric conditions.
Study on quantum invariants of twist knots using saddle point method.
problem Asymptotic expansion of Reshetikhin-Turaev invariants of twist knots.
method Saddle point method applied to integral -surgery.
result Asymptotic expansion formula for Reshetikhin-Turaev invariants.
Using a result of Takata, we prove a formula for the colored Jones polynomial of the double twist knots and where and are positive integers. In the case, this leads to new families of -hypergeometric series generalizing the Kontsevich-Zagier series. Comparing with the cyc…
The paper modifies asset pricing models using Taylor series expansions and market-based averages.
problem Improving asset pricing models to better reflect market dynamics.
method Derives new pricing equations using Taylor series expansions and market-based averages.
result New expressions for asset prices and volatilities derived from market data.
MAGIC: Multi-task Gaussian process for joint imputation and classification in healthcare time seriesstat.ML
Unified framework for imputation and prediction in healthcare time series.
problem Time misalignment and data sparsity in healthcare time series.
method MAGIC (Multi-tAsk Gaussian Process for Imputation and Classification) using hierarchical multi-task Gaussian process and functional logistic regression.
result Superior predictive accuracy compared to existing methods in two healthcare applications.
Study shows non-convergence of short-maturity expansion in SABR model.
problem Analyzing convergence of SABR model option prices.
method Analyzing analyticity properties of the payoff function and using the McKean kernel.
result Short-maturity expansion for SABR model is asymptotic and non-convergent.
Expanding the rough Heston model in q-fin.MF
Expanding the rough Heston model in
problem Analyzing the dependence of the fractional Riccati equation on the Hurst parameter
method Deriving a Taylor expansion of the Riccati solution in
result Local uniform convergence and analyticity of the fractional Riccati solution
Bayesian optimisation algorithm for unknown search spaces with sub-linear regret.
problem Efficient optimisation of expensive black-box functions in unknown search spaces.
method Expands search space over iterations based on a hyperharmonic series, scales to high dimensions.
result Sub-linear regret growth for both algorithms.
Proves conjecture linking WRT invariants and homological blocks for plumbed 3-manifolds.
problem Proving a conjecture about Witten-Reshetikhin-Turaev invariants and homological blocks for plumbed 3-manifolds.
method Developed a new technique for asymptotic expansions to compare WRT invariants and homological blocks, proving vanishing of weighted Gauss sums.
result Proved conjecture stating WRT invariants are radial limits of homological blocks.
We provide new exact Taylor's series with fixed coefficients and without the remainder. We demonstrate the usefulness of this contribution by using it to obtain very simple solutions to (non-linear) PDEs. We also apply the method to the portfolio model.