5 papers · 1 filter
Variance-Optimal Hedging in the Rough Hawkes--Heston Model
Yingli Wang, Xiaoyu Wang
We study variance-optimal stock hedging and the convergence of approximate strategies in the rough Hawkes--Heston model. Starting from the model's affine conditional transform and…
Improved Analysis for Hessian-free High-resolution Monte Carlo Sampling
Wujun Lv, Xiaoyu Wang, Yingli Wang +1
Hessian-free high-resolution (HFHR) dynamics augments underdamped Langevin dynamics (ULD) with reversible position diffusion for sampling problems that arise in machine learning. W…
Variance Reduction for Stochastic Gradient Generalized Non-reversible Langevin Monte Carlo Algorithms
Bingye Ni, Xiaoyu Wang, Yingli Wang +1
We study the leading-order fluctuation of stochastic gradient Euler-Maruyama estimators for generalized non-reversible Langevin dynamics. Under structural assumptions tailored to t…
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…