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.

168,695 papers · 148 categories

Trend · papers per month

count % of corpus

7 results for “sinh-acceleration”

SINH-acceleration for B-spline projection with Option Pricing Applicationsq-fin.CP

Sinh-acceleration speeds up B-spline option pricing.

problem Improving efficiency in option pricing calculations.

method Using sinh-acceleration on B-spline probability density projection.

result SINH acceleration technique improves error control and reduces CPU time.

option pricing B-spline sinh-acceleration numerical experiments

2021-09-17abs ↗pdf ↗

Fast reliable pricing and calibration of the rough Heston modelq-fin.CP

The paper speeds up and improves pricing and calibration for the rough Heston model.

problem Improving the accuracy and speed of pricing vanilla options under the rough Heston model.

method Combining modified Adams method with SINH-acceleration method for Fourier inversion.

result The model implied vol surface is much flatter and fits market data poorly, indicating ghost calibration.

rough Heston model implied volatility ghost calibration Fourier inversion SINH-acceleration

2025-08-20abs ↗pdf ↗

Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in Lévy modelsq-fin.CP

New method for efficient pricing of double barrier options in Lévy models.

problem Difficulties in accurately and quickly calculating prices of double barrier options in jump models.

method GWR-SINH method based on Gaver-Wynn-Rho acceleration applied to Bromwich integral.

result Accurate and fast calculations of prices of double barrier options in jump models achieved.

double barrier options Lévy models jump models GWR-SINH method Bromwich integral

2023-12-06abs ↗pdf ↗

Correct implied volatility shapes and reliable pricing in the rough Heston modelq-fin.MF

Improved pricing of vanilla options using modified Adams method and sinh-acceleration.

problem Calibration of rough Heston model leads to incorrect implied volatility surfaces.

method Modified Adams method and sinh-acceleration for Fourier inversion.

result Corrected implied volatility surface is significantly flatter and fits data poorly.

implied volatility rough Heston model calibration errors ghost calibration Fourier inversion

2024-12-20abs ↗pdf ↗

Efficient inverse

Z

-transform and pricing barrier and lookback options with discrete monitoringmath.NA

The paper derives formulas for option pricing and random walk expectations.

problem Calculating the price of barrier and lookback options.

method Inverse Z-transform, Fourier/Laplace inversion, Wiener-Hopf factorization, and numerical methods.

result Efficient numerical methods for option pricing are developed.

option pricing random walk inverse Z-transform Fourier inversion lookback options

2022-07-06abs ↗pdf ↗

SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulationsq-fin.CP

Characteristic functions of several popular classes of distributions and processes admit analytic continuation into unions of strips and open coni around $\mathbb{R}\subset \mathbb{C}$ . The Fourier transform techniques reduces calculation of probability distributions and option prices to evaluation of integrals whose i…

2018-08-15abs ↗pdf ↗

Efficient evaluation of double-barrier options and joint cpdf of a Lévy process and its two extremaq-fin.CP

Fast method developed for pricing barrier options and joint Lévy process distributions.

problem Accurate pricing of barrier options and joint distributions in Lévy models.

method Dual space calculations, Wiener-Hopf factorization, sinh-deformations, Gaver-Wynn Rho acceleration.

result Achieves precision of

10^{-15}

in seconds and

10^{-9}-10^{-8}

in fractions of a second.

barrier options Lévy processes Wiener-Hopf factorization sinh-deformations Gaver-Wynn Rho acceleration

2022-10-30abs ↗pdf ↗