3 papers
q-fin.PR2025
Empirical Models of the Time Evolution of SPX Option Prices
Alessio Brini, David A. Hsieh, Patrick Kuiper +2
The key objective of this paper is to develop an empirical model for pricing SPX options that can be simulated over future paths of the SPX. To accomplish this, we formulate and ri…
stat.ML2024
Distributionally Robust Optimization as a Scalable Framework to Characterize Extreme Value Distributions
Patrick Kuiper, Ali Hasan, Wenhao Yang +4
The goal of this paper is to develop distributionally robust optimization (DRO) estimators, specifically for multidimensional Extreme Value Theory (EVT) statistics. EVT supports us…
cs.LG2024
Generative Learning for Simulation of Vehicle Faults
Patrick Kuiper, Sirui Lin, Jose Blanchet +1
We develop a novel generative model to simulate vehicle health and forecast faults, conditioned on practical operational considerations. The model, trained on data from the US Army…