Author

Xiao-Yu Wang

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Preprint Sep 2026

Variance-Optimal Hedging in the Rough Hawkes--Heston Model

We study variance-optimal stock hedging and the convergence of approximate strategies in the rough Hawkes--Heston model. Starting from the model's affine conditional transform and the affine Volterra jump framework, we obtain semi-explicit hedges for European calls and a representation of the minimum quadratic error th...

Ying-Li Wang, Xiao-Yu Wang · 0 citations

#machine learning Preprint Sep 2026

Penalized Nonreversible Langevin for Constrained Sampling

We propose penalized nonreversible Langevin algorithms for sampling from $\pi(x)\propto e^{-f(x)}\mathbf 1_{\mathcal C}(x)$, where $\mathcal C\subset\mathbb R^d$ is a compact convex set. The algorithms combine a squared distance penalty with constant or compatible state dependent skew symmetric perturbations that prese...

Pervez Ali, Wei-Hao Dong, Xiao-Yu Wang · 0 citations

Preprint Aug 2026

Improved Analysis for Hessian-free High-resolution Monte Carlo Sampling

An explicit quantitative contraction rate is established for HFHR dynamics under a position Poincar\'e inequality, weighted Hessian and Laplacian bounds, and a compact Sobolev embedding, where the potential function is not necessarily convex.

Wu-Jun Lv, Xiao-Yu Wang, Ying-Li Wang et al. · 0 citations