3 papers
cs.LG2026
Filtered Conformal Ellipsoids for Graph-Native Time Series
Yannick Limmer
Joint prediction sets for multivariate time series should control a single event while adapting to cross-coordinate dependence. We study filtered conformal ellipsoids: a frozen sta…
q-fin.CP2026
PIVOT: Bridging Black-Scholes Implied-Volatility and Price Objectives via Differentiable Jäckel Operator
Raeid Saqur, Yannick Limmer, Anastasis Kratsios +2
Modern option-learning systems operate in two coordinates: price space, where markets quote and no-arbitrage constraints are most naturally enforced, and implied volatility (IV) sp…
q-fin.CP2025
Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling
Hans Buehler, Blanka Horvath, Yannick Limmer +1
This paper addresses the challenge of model uncertainty in quantitative finance, where decisions in portfolio allocation, derivative pricing, and risk management rely on estimating…