Selective Forgetting in Option Calibration: An Operator-Theoretic Gauss-Newton Framework

Fuente: arXiv
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Autore principale: Özsoy, Ahmet Umur
Natura: Preprint
Pubblicazione: 2025
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author Özsoy, Ahmet Umur
author_facet Özsoy, Ahmet Umur
contents Calibration of option pricing models is routinely repeated as markets evolve, yet modern systems lack an operator for removing data from a calibrated model without full retraining. When quotes become stale, corrupted, or subject to deletion requirements, existing calibration pipelines must rebuild the entire nonlinear least-squares problem, even if only a small subset of data must be excluded. In this work, we introduce a principled framework for selective forgetting (machine unlearning) in parametric option calibration. We provide stability guarantees, perturbation bounds, and show that the proposed operators satisfy local exactness under standard regularity assumptions.
format Preprint
id arxiv_https___arxiv_org_abs_2511_14980
institution arXiv
publishDate 2025
record_format arxiv
spellingShingle Selective Forgetting in Option Calibration: An Operator-Theoretic Gauss-Newton Framework
Özsoy, Ahmet Umur
Mathematical Finance
Machine Learning
Calibration of option pricing models is routinely repeated as markets evolve, yet modern systems lack an operator for removing data from a calibrated model without full retraining. When quotes become stale, corrupted, or subject to deletion requirements, existing calibration pipelines must rebuild the entire nonlinear least-squares problem, even if only a small subset of data must be excluded. In this work, we introduce a principled framework for selective forgetting (machine unlearning) in parametric option calibration. We provide stability guarantees, perturbation bounds, and show that the proposed operators satisfy local exactness under standard regularity assumptions.
title Selective Forgetting in Option Calibration: An Operator-Theoretic Gauss-Newton Framework
topic Mathematical Finance
Machine Learning
url https://arxiv.org/abs/2511.14980