We study cash-flow forecasting for derivatives used in liquidity management and clarify its relation to risk-neutral valuation and replication. While it is well known that expectations under different measures (e.g., $\mathbb{P}$ vs. $\mathbb{Q}$) can yield different undiscounted cash-flows, further inconsistencies arise when payment times are stochastic. We show that using discounting sensitivities (funding-curve hedge ratios) instead of "expected cash-flows" aligns forecasting with the self-financing replication strategy and avoids measure-mixing/aggregation issues. We then illustrate how a standard valuation model delivers pathwise funding requirements and propose a simple liquidity valuation adjustment to capture settlement lags and related timing frictions. The note provides implementation hints (American Monte Carlo with adjoint differentiation) and clarifies when "expected cash-flows" are informative and when sensitivities should be used instead.

Mathematical models, calibrated to data, have become ubiquitous to make key decision processes in modern quantitative finance. In this work, we propose a novel framework for data-driven model selection by integrating a classical quantitative setup with a generative modelling approach. Leveraging the properties of the signature, a well-known path-transform from stochastic analysis that recently emerged as leading machine learning technology for learning time-series data, we develop the Sig-SDE model. Sig-SDE provides a new perspective on neural SDEs and can be calibrated to exotic financial products that depend, in a non-linear way, on the whole trajectory of asset prices. Furthermore, we our approach enables to consistently calibrate under the pricing measure $\mathbb Q$ and real-world measure $\mathbb P$. Finally, we demonstrate the ability of Sig-SDE to simulate future possible market scenarios needed for computing risk profiles or hedging strategies. Importantly, this new model is underpinned by rigorous mathematical analysis, that under appropriate conditions provides theoretical guarantees for convergence of the presented algorithms.

Electrospray ion-beam deposition (ES-IBD) is a versatile tool to study structure and reactivity of molecules from small metal clusters to large protein assemblies. It brings molecules gently into the gas phase where they can be accurately manipulated and purified, followed by controlled deposition onto various substrates. In combination with imaging techniques, direct structural information of well-defined molecules can be obtained, which is essential to test and interpret results from indirect mass spectrometry techniques. To date, ion-beam deposition experiments are limited to a small number of custom instruments worldwide, and there are no commercial alternatives. Here we present a module that adds ion-beam deposition capabilities to a popular commercial MS platform (Thermo Scientific$^{\mathrm{TM}}$ Q Exactive$^{\mathrm{TM}}$ UHMR). This combination significantly reduces the overhead associated with custom instruments, while benefiting from established high performance and reliability. We present current performance characteristics including beam intensity, landing-energy control, and deposition spot size for a broad range of molecules. In combination with atomic force microscopy (AFM) and transmission electron microscopy (TEM), we distinguish near-native from unfolded proteins and show retention of native shape of protein assemblies after dehydration and deposition. Further, we use an enzymatic assay to quantify activity of an non-covalent protein complex after deposition an a dry surface. Together, these results indicate a great potential of ES-IBD for applications in structural biology, but also outline the challenges that need to be solved for it to reach its full potential.

Questions of noise stability play an important role in hardness of approximation in computer science as well as in the theory of voting. In many applications, the goal is to find an optimizer of noise stability among all possible partitions of $\mathbb{R}^n$ for $n \geq 1$ to $k$ parts with given Gaussian measures $μ_1,\ldots,μ_k$. We call a partition $ε$-optimal, if its noise stability is optimal up to an additive $ε$. In this paper, we give an explicit, computable function $n(ε)$ such that an $ε$-optimal partition exists in $\mathbb{R}^{n(ε)}$. This result has implications for the computability of certain problems in non-interactive simulation, which are addressed in a subsequent work.

This essay recounts my personal journey towards a deeper understanding of the mathematical foundations of algorithmic music composition. I do not spend much time on specific mathematical algorithms used by composers; rather, I focus on general issues such as fundamental limits and possibilities, by analogy with metalogic, metamathematics, and computability theory. I discuss implications from these foundations for the future of algorithmic composition.

Tsallis' non-extensive entropy is extended to incorporate the dependence on affinities between the microstates of a system. At the core of our construction of the extended entropy ($\mathcal{H}$) is the concept of the effective number of dissimilar states, termed the effective diversity ($\mathitΔ$). It is a unique integrated measure derived from the probability distribution among states and the affinities between states. The effective diversity is related to the extended entropy through the Boltzmann's-equation-like relation, $\mathcal{H}=\ln_{q}\mathitΔ$, in terms of the Tsallis' $q$-logarithm. A new principle called the Nesting Principle is established, stating that the effective diversity remains invariant under an arbitrary grouping of the constituent states. It is shown that this invariance property holds only for $q=2$; however, the invariance is recovered for general $q$ in the zero-affinity limit (i.e. the Tsallis and Boltzmann-Gibbs case). Using the affinity-based extended Tsallis entropy, the microcanonical and the canonical ensembles are constructed in the presence of general between-state affinities. It is shown that the classic postulate of equal a priori probabilities no longer holds but is modified by affinity-dependent terms. As an illustration, a two-level system is investigated by the extended canonical method, which manifests that the thermal behaviours of the thermodynamic quantities at equilibrium are affected by the between-state affinity. Furthermore, some applications and implications of the affinity-based extended diversity/entropy for information theory and biodiversity theory are addressed in appendices.

Resolving a linear combination of point sources from their band-limited Fourier data is a fundamental problem in imaging and signal processing. With the incomplete Fourier data and the inevitable noise in the measurement, there is a fundamental limit on the separation distance between point sources that can be resolved. This is the so-called resolution limit problem. Characterization of this resolution limit is still a long-standing puzzle despite the prevalent use of the classic Rayleigh limit. It is well-known that Rayleigh limit is heuristic and its drawbacks become prominent when dealing with data that is subjected to delicate processing, as is what modern computational imaging methods do. Therefore, more precise characterization of the resolution limit becomes increasingly necessary with the development of data processing methods. For this purpose, we developed a theory of "computational resolution limit" for both number detection and support recovery in one dimension in [arXiv:2003.02917[cs.IT], arXiv:1912.05430[eess.IV]]. In this paper, we extend the one-dimensional theory to multi-dimensions. More precisely, we define and quantitatively characterize the "computational resolution limit" for the number detection and support recovery problems in a general k-dimensional space. Our results indicate that there exists a phase transition phenomenon regarding to the super-resolution factor and the signal-to-noise ratio in each of the two recovery problems. Our main results are derived using a subspace projection strategy. Finally, to verify the theory, we proposed deterministic subspace projection based algorithms for the number detection and support recovery problems in dimension two and three. The numerical results confirm the phase transition phenomenon predicted by the theory.

Radio-interferometry (RI) observes the sky at unprecedented angular resolutions, enabling the study of several far-away galactic objects such as galaxies and black holes. In RI, an array of antennas probes cosmic signals coming from the observed region of the sky. The covariance matrix of the vector gathering all these antenna measurements offers, by leveraging the Van Cittert-Zernike theorem, an incomplete and noisy Fourier sensing of the image of interest. The number of noisy Fourier measurements -- or visibilities -- scales as $\mathcal O(Q^2B)$ for $Q$ antennas and $B$ short-time integration (STI) intervals. We address the challenges posed by this vast volume of data, which is anticipated to increase significantly with the advent of large antenna arrays, by proposing a compressive sensing technique applied directly at the level of the antenna measurements. First, this paper shows that beamforming -- a common technique of dephasing antenna signals -- usually used to focus some region of the sky, is equivalent to sensing a rank-one projection (ROP) of the signal covariance matrix. We build upon our recent work arXiv:2306.12698v3 [eess.IV] to propose a compressive sensing scheme relying on random beamforming, trading the $Q^2$-dependence of the data size for a smaller number $P$ ROPs. We provide image recovery guarantees for sparse image reconstruction. Secondly, the data size is made independent of $B$ by applying $M$ Bernoulli modulations of the ROP vectors obtained for the STI. The resulting sample complexities, theoretically derived in a simpler case without modulations and numerically obtained in phase transition diagrams, are shown to scale as $\mathcal O(K)$ where $K$ is the image sparsity. This illustrates the potential of the approach.

We present a general, rigorous theory of partition function zeros for lattice spin models depending on one complex parameter. First, we formulate a set of natural assumptions which are verified for a large class of spin models in a companion paper [BBCKK2, math-ph/0304007]. Under these assumptions, we derive equations whose solutions give the location of the zeros of the partition function with periodic boundary conditions, up to an error which we prove is (generically) exponentially small in the linear size of the system. For asymptotically large systems, the zeros concentrate on phase boundaries which are simple curves ending in multiple points. For models with an Ising-like plus-minus symmetry, we also establish a local version of the Lee-Yang Circle Theorem. This result allows us to control situations when in one region of the complex plane the zeros lie precisely on the unit circle, while in the complement of this region the zeros concentrate on less symmetric curves.

In this part of the series five-dimensional tangent vectors are introduced first as equivalence classes of parametrized curves and then as differential-algebraic operators that act on scalar functions. I then examine their basic algebraic properties and their parallel transport in the particular case where space-time possesses a special local symmetry. After that I give definition to five-dimensional tangent vectors associated with dimensional curve parameters and show that they can be identified with the five-vectors introduced formally in part I (math-ph/9805004). In conclusion I speak about differential forms associated with five-vectors.