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.
Flexible Cox model for time-dependent covariates with complex sparsity patterns.
SurvSHAP(t) explains time-dependent survival predictions from machine learning models.
This work presents an exact solution to the generalized Heston model, where the model parameters are assumed to have linear time dependence The solution for the model in expressed in terms of confluent hypergeometric functions.
A new RNN model tackles long-time dependencies with fast, invertible, and memory-efficient hidden states.
Mathematical models with time dependent parameters are of great interest in financial Mathematics because they capture real life scenarios in the financial market. In this study, via the Lie group technique, we analyse evolution-type equations with time dependent parameters and give the general symmetry structure of th…
The paper proposes a time-dependent Markov model for a limit order book.
Study of time-dependent metrics and connections in geometry.
Develops semi-closed form solutions for barrier and American options on time-dependent OU process.
Paper develops semi-analytic method for American options in time-dependent jump-diffusion models.
Proposes a method to estimate time-dependent probability density functions using binary classifiers.
Develops methods to learn correlation potentials for time-dependent Kohn-Sham systems.
ParaRNN improves RNN interpretability and parallelizability for time-dependent data.
Modeling regime shifts in co-evolving time series with interactions and time-dependency.
New method for pricing American options in time-dependent models, improving accuracy and efficiency.
We present three models of stock price with time-dependent interest rate, dividend yield, and volatility, respectively, that allow for explicit forms of the optimal exercise boundary of the finite maturity American put option. The optimal exercise boundary satisfies the nonlinear integral equation of Volterra type. We …
This paper presents a methodology to introduce time-dependent parameters for a wide family of models preserving their analytic tractability. This family includes hybrid models with stochastic volatility, stochastic interest-rates, jumps and their non-hybrid counterparts. The methodology is applied to Heston's model. A …
DynForest R package predicts outcomes with time-dependent predictors.
In this paper, we prove a differential Harnack inequality for positive solutions of time-dependent heat equations with potentials. We also prove a gradient estimate for the positive solution of the time-dependent heat equation.
Study on relativistic nonholonomic mechanics with time-dependent constraints.
The aim of this paper is to geometrize time dependent Lagrangian mechanics in a way that the framework of second order tangent bundles plays an essential role. To this end, we first introduce the concepts of time dependent connections and time dependent semisprays on a manifold and their induced vector bundle struc…
New method for pricing barrier options in time-dependent λ-SABR model.
Deep learning estimates time-varying Markov model parameters.
Efficient semi-analytic methods for pricing double barrier options with time-dependent parameters.
In this article we get a time-dependent Sobolev inequality along the Ricci flow which generalizes the earlier results of Zhang, Ye, Hsu. As an application of the time-dependent Sobolev inequality, we also get a growth of the ratio of bob-collapsing along the Ricci flow.
Paper adapts causal analysis for time-dependent systems, especially energy management.
A new framework predicts links in time-dependent networks using Bernoulli autoregression.
The aim of this paper is to obtain on the dual 1-jet space J^{1*}(R;M) the main geometrical objects used in the dual jet geometry of time-dependent Hamiltonians. We talk about distinguished (d-) tensors, time-dependent semisprays, nonlinear connections and their mathematical connections.
The paper extends Marsden-Weinstein reduction to mechanical presymplectic structures for time-dependent Hamiltonian systems.
In this paper, we elucidate the key role played by the cosymplectic geometry in the theory of time dependent Hamiltonian systems. In particular, we generalize the cosymplectic structures to time-dependent Nambu-Poisson Hamiltonian systems and corresponding Jacobi's last multiplier for 3D systems. We illustrate our cons…
CENNSurv models cumulative effects of time-dependent exposures on survival outcomes.
In the limit of infinite number of nodes (agents), the Itô-reduced Bouchaud-Mézard network model of economic exchange has a time-independent mean and a steady-state inverse gamma distribution. We show that for a finite number of nodes the mean is actually distributed as a time-dependent lognormal and inverse gamma is q…
We propose the time-dependent generalization of an `ordinary' autonomous human biomechanics, in which total mechanical + biochemical energy is not conserved. We introduce a general framework for time-dependent biomechanics in terms of jet manifolds derived from the extended musculo-skeletal configuration manifold. The …
Binomial tree methods (BTM) and explicit difference schemes (EDS) for the variational inequality model of American options with time dependent coefficients are studied. When volatility is time dependent, it is not reasonable to assume that the dynamics of the underlying asset's price forms a binomial tree if a partitio…
Proposes a neural network for dynamic risk prediction of AMD using longitudinal fundus images.
The paper justifies time-dependent loss reweighting schemes for flow matching and diffusion models.
Robust feature-weighted jump models for time-dependent clustering
Paper shows how scattering maps of Schrödinger equations relate to metrics.
The usual formulation of time-dependent mechanics implies a given splitting of an event space . This splitting, however, is broken by any time-dependent transformation, including transformations between inertial frames. The goal is the frame-covariant formulation of time-dependent mechanics on a bundle…
Marginal structural models (MSMs) estimate the causal effect of a time-varying treatment in the presence of time-dependent confounding via weighted regression. The standard approach of using inverse probability of treatment weighting (IPTW) can lead to high-variance estimates due to extreme weights and be sensitive to …
In this paper we prove two extensions of Hamilton's maximal principle for systems pf parabolic equations which sould be useful for the study of the Ricci flow and some other geometric evolution equations. One extension is a time-dependent maximum principle and the other is a time-dependent maximum principle subject to …
We discuss a simple extension of the Ho and Lee model with generic time-dependent drift in which: 1) we compute bond prices analytically; 2) the yield curve is sensible and the asymptotic yield is positive; and 3) our analytical solution provides a clean and simple way of separating volatility from the drift in the sho…
In this paper we propose the time-dependent generalization of an `ordinary' autonomous human biomechanics, in which total mechanical + biochemical energy is not conserved. We introduce a general framework for time-dependent biomechanics in terms of jet manifolds associated to the extended musculo-skeletal configuration…
Develops a new method for pricing barrier options in time-dependent Heston model.
The usual formulations of time-dependent mechanics start from a given splitting of the coordinate bundle . From physical viewpoint, this splitting means that a reference frame has been chosen. Obviously, such a splitting is broken under reference frame transformations and time-dependent canonical …
Path integral method calculates PDBS option prices with time-dependent parameters.
The paper analyzes time-dependent streaming data with biased gradient estimates and proposes improved stochastic optimization methods.
Based on our previous study [IS3] on the stationary scattering theory for the Schrodinger operator on a manifold possessing an escape function we complete our investigation by doing the time-dependent counterpart. A particular class of examples are manifolds with Euclidean and/or hyperbolic ends, possibly with unbounde…
We study the heat equation on time-dependent metric measure spaces (as well as the dual and the adjoint heat equation) and prove existence, uniqueness and regularity. Of particular interest are properties which characterize the underlying space as a super Ricci flow as previously introduced by the second author. Our ma…