3 papers
math.OC2026
Implicit Regularization of Large Neural Networks via Mean-Field Formulation
Beatrice Acciaio, Jakob Heiss, Gudmund Pammer +1
We propose a mathematical framework to explain implicit regularization from early stopping during the training of overparametrized neural networks. In the mean-field limit, the par…
q-fin.MF2019
Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures
Beatrice Acciaio, Julien Guyon
It has often been stated that, within the class of continuous stochastic volatility models calibrated to vanillas, the price of a VIX future is maximized by the Dupire local volati…
q-fin.MF2016
Model-independent pricing with insider information: a Skorokhod embedding approach
Beatrice Acciaio, Alexander M. G. Cox, Martin Huesmann
In this paper, we consider the pricing and hedging of a financial derivative for an insider trader, in a model-independent setting. In particular, we suppose that the insider wants…