4 papers
Latent Flow Matching for Arbitrage-Aware Implied Volatility Surface Generation
Oscar Brooks, Dusica Bajalica, Yating Liu +2
We propose an arbitrage-aware latent flow-matching framework for unconditional implied volatility surface generation. The method first compresses high-dimensional surfaces into a l…
SpeedCP: Fast Kernel-based Conditional Conformal Prediction
Yating Liu, Yeo Jin Jung, Zixuan Wu +2
Conformal prediction provides distribution-free prediction sets with finite-sample conditional guarantees. We build upon the RKHS-based framework of Gibbs et al. (2023), which leve…
Filtering with Confidence: When Data Augmentation Meets Conformal Prediction
Zixuan Wu, So Won Jeong, Yating Liu +2
With promising empirical performance across a wide range of applications, synthetic data augmentation appears a viable solution to data scarcity and the demands of increasingly dat…
Tensor Topic Modeling Via HOSVD
Yating Liu, Claire Donnat
By representing documents as mixtures of topics, topic modeling has allowed the successful analysis of datasets across a wide spectrum of applications ranging from ecology to genet…