2 papers
math.PR2026
The Right Wing of the SABR Smile with an Absorbing Boundary: Resolution of Conjectures of Henry-Labordère
Zeyu Cao, Shaosai Huang
We determine the leading logarithmic asymptotics of the fixed-maturity right tail of the SABR model with and absorption at zero, for every correlation . If…
q-fin.PM2024
Hedge Fund Portfolio Construction Using PolyModel Theory and iTransformer
Siqiao Zhao, Zhikang Dong, Zeyu Cao +1
When constructing portfolios, a key problem is that a lot of financial time series data are sparse, making it challenging to apply machine learning methods. Polymodel theory can so…