arXiv research

New COS method formula improves option pricing accuracy.

Extended univariate Range Value-at-Risk to multivariate settings.

The COS method for European options pricing is improved with a new bound for the number of terms.

The method approximates stationary distributions of Markov models by truncating irrelevant states.

Choppy optimizes ranked list truncation using Transformer architecture.

Adaptive truncation improves privacy in online Bayesian estimation.

Typically, operational risk losses are reported above some threshold. This paper studies the impact of ignoring data truncation on the 0.999 quantile of the annual loss distribution for operational risk for a broad range of distribution parameters and truncation levels. Loss frequency and severity are modelled by the P…

Unified method for calculating financial option prices from characteristic functions.

Compute group cohomology for mapping class group with non-symplectic coefficients.

We propose a new framework for Hamiltonian Monte Carlo (HMC) on truncated probability distributions with smooth underlying density functions. Traditional HMC requires computing the gradient of potential function associated with the target distribution, and therefore does not perform its full power on truncated distribu…

The development of global sensitivity analysis of numerical model outputs has recently raised new issues on 1-dimensional Poincaré inequalities. Typically two kind of sensitivity indices are linked by a Poincaré type inequality, which provide upper bounds of the most interpretable index by using the other one, cheaper …

We consider continuous time Markovian processes where populations of individual agents interact stochastically according to kinetic rules. Despite the increasing prominence of such models in fields ranging from biology to smart cities, Bayesian inference for such systems remains challenging, as these are continuous tim…

We extend certain homomorphisms defined on the higher Torelli subgroups of the mapping class group to crossed homomorphisms defined on the entire mapping class group. In particular, for every $k\geq 2$, we construct a crossed homomorphism $ε_k$ which extends Morita's homomorphism $\tilde τ_k$ to the entire mapping clas…

The problem of an arbitrary truncated Levy flight description using the method of cumulant approach has been solved. The set of cumulants of the truncated Levy distribution given the assumption of arbitrary truncation has been found. The influence of truncation shape on the truncated Levy flight properties in the Gauss…

We study a stochastic multiplicative system composed of finite asynchronous elements to describe the wealth evolution in financial markets. We find that the wealth fluctuations or returns of this system can be described by a walk with correlated step sizes obeying truncated Levy-like distribution, and the cross-correla…

Efficiently estimate Boolean product distribution parameters from truncated samples.

Motivated by the fact that most of the information relevant to the prediction of target tokens is drawn from the source sentence $S=s_1, \ldots, s_S$, we propose truncating the target-side window used for computing self-attention by making an $N$-gram assumption. Experiments on WMT EnDe and EnFr data sets show that the…

In the paper "On Truncated Variation of Brownian Motion with Drift" (Bull. Pol. Acad. Sci. Math. 56 (2008), no.4, 267 - 281) we defined truncated variation of Brownian motion with drift, $W_t = B_t + μt, t\geq 0,$ where $(B_t)$ is a standard Brownian motion. Truncated variation differs from regular variation by neglect…

We compare the CPU effort and pricing biases of seven Fourier-based implementations. Our analyses show that truncation and discretization errors significantly increase as we move away from the Black-Scholes-Merton framework. We rank the speed and accuracy of the competing choices, showing which methods require smaller …

Optimal algorithm learns Gaussian under halfspace truncation with minimal samples.

New method for constructing truncated vine copulas.

Non-negative matrix factorization (NMF) minimizes the Euclidean distance between the data matrix and its low rank approximation, and it fails when applied to corrupted data because the loss function is sensitive to outliers. In this paper, we propose a Truncated CauchyNMF loss that handle outliers by truncating large e…

CACTI improves tabular data imputation by leveraging missingness patterns and contextual information.

The paper estimates common mean of entangled Gaussians with bounded variances.

Paper simplifies data carving inference with a parametric distribution.

Paper proposes approximate Stein classes for efficient truncated density estimation.

Paper defines new risk measures for elliptical distributions.

We study by theoretical analysis and by direct numerical simulation the dynamics of a wide class of asynchronous stochastic systems composed of many autocatalytic degrees of freedom. We describe the generic emergence of truncated power laws in the size distribution of their individual elements. The exponents $α$ of the…

We present explicit geometric decompositions of the complement of tiling links, which are alternating links whose projection graphs are uniform tilings of the 2-sphere, the Euclidean plane or the hyperbolic plane. This requires generalizing the angle structures program of Casson and Rivin for triangulations with a mixt…

Two methods improve simulation of European call options under Heston model.

We analyze exponential integrability properties of the Cox-Ingersoll-Ross (CIR) process and its Euler discretizations with various types of truncation and reflection at 0. These properties play a key role in establishing the finiteness of moments and the strong convergence of numerical approximations for a class of sto…

New DP framework using data truncation for efficient estimation.

Unified framework for mean testing under truncation bias.

A growing body of literature suggests that heavy tailed distributions represent an adequate model for the observations of log returns of stocks. Motivated by these findings, here we develop a discrete time framework for pricing of European options. Probability density functions of log returns for different periods are …

Score matching method improves density estimation for truncated data on manifolds.

Truncated backpropagation through time (TBPTT) is a popular method for learning in recurrent neural networks (RNNs) that saves computation and memory at the cost of bias by truncating backpropagation after a fixed number of lags. In practice, choosing the optimal truncation length is difficult: TBPTT will not converge …

Truncated densities are probability density functions defined on truncated domains. They share the same parametric form with their non-truncated counterparts up to a normalizing constant. Since the computation of their normalizing constants is usually infeasible, Maximum Likelihood Estimation cannot be easily applied t…

Paper tackles overestimation bias in continuous control, improving performance by 25%.

We consider an appoximation of a catenoid constructed from "odd" truncated cones that maintains minimality in a certain sense. Thorough this procedure, we obtain a discrete curve approximating a catenary by exploiting the fact that it is the function that generates a catenoid. In this investigation, the theory of the G…

Estimates domain truncation error for option pricing PDEs.

To know the statistical distribution of a variable is an important problem in management of resources. Distributions of the power law type are observed in many real systems. However power law distributions have an infinite variance and thus can not be used as a standard distribution. Normally professionals in the area …

The generalized correlation approach, which has been successfully used in statistical radio physics to describe non-Gaussian random processes, is proposed to describe stochastic financial processes. The generalized correlation approach has been used to describe a non-Gaussian random walk with independent, identically d…

Lower bound shows super-polynomial gap for estimating truncated Gaussian means.

As in standard linear regression, in truncated linear regression, we are given access to observations $(A_i, y_i)_i$ whose dependent variable equals $y_i= A_i^{\rm T} \cdot x^* + η_i$, where $x^*$ is some fixed unknown vector of interest and $η_i$ is independent noise; except we are only given an observation if its dep…

The paper analyzes and mitigates biases in scalable Gaussian Process methods.

We show that generalised geometry gives a unified description of maximally supersymmetric consistent truncations of ten- and eleven-dimensional supergravity. In all cases the reduction manifold admits a "generalised parallelisation" with a frame algebra with constant coefficients. The consistent truncation then arises …

Proposes a method to handle sparse multiway count data with false zeros using zero-truncated Poisson regression.

Adaptive Nucleus Truncation Improves Long-Form Reasoning