6 papers
VIX and European options with jumps in the short-maturity regime
Desen Guo, Dan Pirjol, Xiaoyu Wang +1
We present a study of the short-maturity asymptotics for VIX and European option prices in local-stochastic volatility models with compound Poisson jumps. Both out-of-the-money (OT…
Sampling non-log-concave densities via Hessian-free high-resolution dynamics
Xiaoyu Wang, Yingli Wang, Lingjiong Zhu
We study the problem of sampling from a target distribution on , where can be non-convex, via the Hessian-free high-resolution (HFHR) dyna…
Regime-Switching Langevin Monte Carlo Algorithms
Xiaoyu Wang, Yingli Wang, Lingjiong Zhu
Langevin Monte Carlo (LMC) algorithms are popular Markov Chain Monte Carlo (MCMC) methods to sample a target probability distribution, which arises in many applications in machine…
Non-Reversible Langevin Algorithms for Constrained Sampling
Hengrong Du, Qi Feng, Changwei Tu +2
We consider the constrained sampling problem where the goal is to sample from a target distribution on a constrained domain. We propose skew-reflected non-reversible Langevin dynam…
Generalized EXTRA stochastic gradient Langevin dynamics
Mert Gurbuzbalaban, Mohammad Rafiqul Islam, Xiaoyu Wang +1
Langevin algorithms are popular Markov Chain Monte Carlo methods for Bayesian learning, particularly when the aim is to sample from the posterior distribution of a parametric model…
Short-maturity options on realized variance in local-stochastic volatility models
Dan Pirjol, Xiaoyu Wang, Lingjiong Zhu
We derive the short-maturity asymptotics for prices of options on realized variance in local-stochastic volatility models. We consider separately the short-maturity asymptotics for…