Related papers: Fine-tune your smile: Correction to Hagan et al
We refine a recent heuristic developed by Keating and the second author. Our improvement leads to a new integral expression for the conjectured asymptotic formula for shifted moments of the Riemann zeta-function. This expression is…
In this paper we prove an approximate formula expressed in terms of elementary functions for the implied volatility in the Heston model. The formula consists of the constant and first order terms in the large maturity expansion of the…
This note simplifies the proof of a recent result on the oscillation of the prime product in Martens Theorem, and provides a quantitative expression for the error term. In addition, the corresponding oscillation results for the finite sums…
We consider a cotangent sum related to Estermann's Zeta function. We provide an elementary and self-contained improvement of the error term in an asymptotic formula proved by V. I. Vasyunin.
This paper investigates the $\beta$-symmetry of the heterotic string theory at order $\alpha'$ in the context of open spacetime manifolds. Our analysis reveals that the parity-odd component of the effective action at this order remains…
It is shown that the normalized fluctuations of Riemann's zeta zeros around their predicted locations follow the Gaussian law. It is also shown that fluctuations of two zeros, $\gamma _{k}$ and $\gamma _{k+x},$ with $x\sim(\log k)^{\beta}$,…
We present an estimate of certain higher order corrections to the contribution of the charm triangle loop in the inclusive B -> X_s gamma decay rate, recently discussed by Voloshin. We find that these corrections are minute and hence the…
The total Hamiltonian in general relativity, which involves the first class Hamiltonian and momentum constraints, weakly vanishes. However, when the action is expanded around a classical solution as in the case of a single scalar field…
Accurately characterizing the implied volatility curves is a central challenge in option pricing and risk management. The classical SABR model by Hagan et al. has been widely adopted in practice due to its well-defined stochastic volatility…
Originating in Girard's Linear logic, Ehrhard and Regnier's Taylor expansion of $\lambda$-terms has been broadly used as a tool to approximate the terms of several variants of the $\lambda$-calculus. Many results arise from a Commutation…
In the present paper, a decomposition formula for the call price due to Al\`{o}s is transformed into a Taylor type formula containing an infinite series with stochastic terms. The new decomposition may be considered as an alternative to the…
In this paper, we derive a general asymptotic implied volatility at the first-order for any stochastic volatility model using the heat kernel expansion on a Riemann manifold endowed with an Abelian connection. This formula is particularly…
The concept of weighted $\beta\gamma$ - summability of order $\theta$ in case of fuzzy functions is introduced and classified into ordinary and absolute sense. Several inclusion relations among the sets are investigated. Also we have found…
We study the finite horizon Merton portfolio optimization problem in a general local-stochastic volatility setting. Using model coefficient expansion techniques, we derive approximations for the both the value function and the optimal…
Empirical studies show that the volatility may exhibit correlations that decay as a fractional power of the time offset. The paper presents a rigorous analysis for the case when the stationary stochastic volatility model is constructed in…
Precision tests of the Standard Model using $\beta$ decay have always relied on a careful choice of transition to minimize residual nuclear structure uncertainties. Following breakthroughs in nucleon-level radiative corrections in the last…
This article considers the error term of the primes counting function. It applies some recent results on the densities of prime numbers in short intervals to derive an improvement of the error term from subexponential size to fractional…
In this paper, we study a family of stochastic volatility processes; this family features a mean reversion term for the volatility and a double CEV-like exponent that generalizes SABR and Heston's models. We derive approximated closed form…
Using a new strategy, we extend the classical Nekhoroshev's estimates to the case of H\"older regular steep near-integrable hamiltonian systems, the stability times being polynomially long in the inverse of the size of the perturbation. We…
We consider the problem of option pricing and hedging when stock returns are correlated in time. Within a quadratic-risk minimisation scheme, we obtain a general formula, valid for weakly correlated non-Gaussian processes. We show that for…