6 citations · 6 across the 8 of their papers we have counts for
5 papers · 1 filter
Global Multi-Maturity SPX-VIX Calibration Beyond Markovian Stitching
Atithi Acharya, Yue Sun, Brandon Augustino +3
We develop a global martingale optimal transport framework for joint S&P 500 (SPX)-VIX smile calibration across multiple maturities, without the conditional independence that Marko…
Faster Algorithms for Multimarginal Optimal Transport
Brandon Augustino, Yue Sun, Atithi Acharya +4
We study constructive discrete multimarginal optimal transport (MOT) among distributions on points, where the cost tensor has entries. For additive accuracy $\v…
Quantum-Informed Portfolio Selection: An End-to-End Pipeline Validated on Trapped-Ion Hardware with Real Market Data
Romina Yalovetzky, Martin J. A. Schuetz, Zichang He +11
Portfolio diversification - a cornerstone of modern investment management - can be formulated as a Maximum Independent Set (MIS) problem on asset correlation graphs. Solving this p…
Dean-Kawasaki Equation with Biot-Savart and Keller-Segel Interactions: Existence and Large Deviations
Xiaohao Ji, Yue Sun, Zhengyan Wu
We establish the existence of probabilistically weak, renormalized kinetic solutions to the Dean--Kawasaki equation with singular interaction kernels, including those of Biot--Sava…
Quantum Speedups for Derivative Pricing Beyond Black-Scholes
Dylan Herman, Yue Sun, Jin-Peng Liu +5
This paper explores advancements in quantum algorithms for derivative pricing of exotics, a computational pipeline of fundamental importance in quantitative finance. For such cases…