3 citations · 7 across the 8 of their papers we have counts for
9 papers
Latent Flow Matching for Arbitrage-Aware Implied Volatility Surface Generation
Oscar Brooks, Dusica Bajalica, Yating Liu +1
We propose an arbitrage-aware latent flow-matching framework for unconditional implied volatility surface generation. The method first compresses high-dimensional surfaces into a l…
Plug-In Classification of Drift Functions in Diffusion Processes Using Neural Networks
Yuzhen Zhao, Jiarong Fan, Yating Liu
We study supervised multiclass classification for diffusion processes, where each class is characterized by a distinct drift function and trajectories are observed at discrete time…
A statistical approach for simulating the density solution of a McKean-Vlasov equation
Marc Hoffmann, Yating Liu
We prove optimal convergence results of a stochastic particle method for computing the classical solution of a multivariate McKean-Vlasov equation, when the measure variable is in…
Particle method and quantization-based schemes for the simulation of the McKean-Vlasov equation
Yating Liu
In this paper, we study three numerical schemes for the McKean-Vlasov equation \[\begin{cases} \;dX_t=b(t, X_t, μ_t) \, dt+σ(t, X_t, μ_t) \, dB_t,\: \\ \;\forall\, t\in[0,T],\;μ_t…
Particle method for the numerical simulation of the path-dependent McKean-Vlasov equation
Armand Bernou, Yating Liu
We present the particle method for simulating the solution to the path-dependent McKean-Vlasov equation, in which both the drift and the diffusion coefficients depend on the whole…
Monotone convex order for the McKean-Vlasov processes
Yating Liu, Gilles Pagès
In this paper, we establish the monotone convex order between two -valued McKean-Vlasov processes and defined on a filte…
Functional convex order for the scaled McKean-Vlasov processes
Yating Liu, Gilles Pagès
We establish the functional convex order results for two scaled McKean-Vlasov processes and defined on a filtered probability spac…
Convergence rate of optimal quantization grids and application to empirical measure
Yating Liu, Gilles Pagès
We study the convergence rate of the optimal quantization for a probability measure sequence on converging in the Wasserstein distan…
Characterization of probability distribution convergence in Wasserstein distance by -quantization error function
Yating Liu, Gilles Pagès
We establish conditions to characterize probability measures by their -quantization error functions in both and Hilbert settings. This characterization is t…