From the 1 of 7 linked papers with an AI index.
7 papers
Higher-order variation and pathwise Ito calculus on manifolds
Rama Cont
We develop an intrinsic calculus for smooth functions of paths of arbitrarily low regularity on smooth manifolds and define pathwise integrals for exact differential forms along su…
A pathwise Ito formula for weakly differentiable functions
Anna Ananova, Rama Cont
We prove a version of Föllmer's pathwise Itô formula for weakly differentiable functions of continuous paths with finite quadratic variation along a sequence of partitions. For eac…
Reflected diffusion, no-flux continuity equations and confined Lagrangian flows in bounded domains
Rama Cont
The paper studies how probability densities of reflected diffusion processes in bounded domains evolve under no‑flux continuity equations and determines conditions under which a re…
Mimicking diffusion processes with differential equations
Rama Cont
The probability-flow ordinary differential equation (PF-ODE) associated with a diffusion process is widely used in score-based generative modeling as a deterministic sampler that r…
Tail-GAN: Learning to Simulate Tail Risk Scenarios
Rama Cont, Mihai Cucuringu, Renyuan Xu +1
The estimation of loss distributions for dynamic portfolios requires the simulation of scenarios representing realistic joint dynamics of their components. We propose a novel data-…
Model-free Analysis of Dynamic Trading Strategies
Anna Ananova, Rama Cont, Renyuan Xu
We introduce a model-free approach for analyzing the risk and return for a broad class of dynamic trading strategies, including pairs trading, mean-reversion trading and other stat…