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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.

168,657 papers · 148 categories

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2 results for “sinh-deformations”

Efficient inverse

Z

-transform and Wiener-Hopf factorizationmath.NA

New methods for $Z$ -transform inversion and Wiener-Hopf factorization.

problem Efficient numerical inversion of

Z

-transforms and factorization of functions.

method Sinh-deformations of contours, variable changes, and simplified trapezoid rule.

result High precision and speed in evaluating moments and constructing filters.

$Z$-transform Wiener-Hopf factorization sinh-deformation trapezoid rule probability distributions

2024-04-30abs ↗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 ↗