Related papers: Fine-tune your smile: Correction to Hagan et al

We consider the problem setting of prediction with expert advice with possibly heavy-tailed losses, i.e. the only assumption on the losses is an upper bound on their second moments, denoted by $\theta$. We develop adaptive algorithms that…

We consider the fractional Heston model originally proposed by Comte, Coutin and Renault. Inspired by recent ground-breaking work on rough volatility, which showed that models with volatility driven by fractional Brownian motion with short…

We revisit a representation for the Riemann zeta function $\zeta(s)$ expressed in terms of normalised incomplete gamma functions given by the author and S. Cang in Methods Appl. Anal. {\bf 4} (1997) 449--470. Use of the uniform asymptotics…

We present an analysis of the adiabatic approximation to understand when it applies, in view of the recent criticisms and studies for the validity of the adiabatic theorem. We point out that this approximation is just the leading order of a…

We derive a universal nonperturbative bound on the distance between unitary evolutions generated by time-dependent Hamiltonians in terms of the difference of their integral actions. We apply our result to provide explicit error bounds for…

This paper deals with an improvement of the "a-priori stability bounds" on the variation of the action variables and on the stability time obtained from a given Birkhoff normal form around the elliptic equilibrium point of an Hamiltonian…

We study the behavior of clocks in 1+1 spacetime assuming the relativity principle, the principle of constancy of the speed of light and the clock hypothesis. These requirements are satisfied by a class of Finslerian theories parametrized…

Let $\sigma+i\gamma$ be a zero of the Riemann zeta function to the right of the line $\frac{1}{2}+it$. We show that this zero causes large oscillations of the error term of the prime number theorem. Our result is close to optimal both in…

In this paper, we derive closed-form formulas of first-order approximation for down-and-out barrier and floating strike lookback put option prices under a stochastic volatility model, by using an asymptotic approach. To find the explicit…

A sequence of real numbers $\{x_{n}\}_{n\in \mathbb{N}}$ is said to be $\alpha \beta$-statistically convergent of order $\gamma$ (where $0<\gamma\leq 1$) to a real number $x$ \cite{a} if for every $\delta>0,$ $$\underset{n\rightarrow…

In this paper, we derive the first and second variation formulas for the renormalized area for static Einstein spaces along a specific direction, demonstrating that the negativity of the Neumann data implies instability. Consequently, we…

Assuming the Riemann hypothesis, we obtain asymptotic formulas for $\sum_{0<\gamma<T}\zeta(\rho+\delta)\zeta(1-\rho+\overline{\delta})$ in the region $-\frac{a}{\log T} \leq \Re \delta \leq \frac{1}{2}+\frac{a}{\log T}$, $|\Im \delta|\ll…

Fractional stochastic volatility models have been widely used to capture the non-Markovian structure revealed from financial time series of realized volatility. On the other hand, empirical studies have identified scales in stock price…

We study the expectation of linear eigenvalue statistics of matrix models with any $\beta>0$, assuming that the potential $V$ is a real analytic function and that the corresponding equilibrium measure has a one-interval support. We obtain…

In this paper, we consider the portfolio optimization problem in a financial market where the underlying stochastic volatility model is driven by n-dimensional Brownian motions. At first, we derive a Hamilton-Jacobi-Bellman equation…

For any given spacetime the choice of time coordinate is undetermined. A particular choice is the absolute time associated with a preferred vector field. Using the absolute time Hamilton's equations are $- (\delta H_{c})/(\delta…

Let $A(s)$ be a general Dirichlet polynomial and $\Phi$ be a smooth function supported in $[1,2]$ with mild bounds on its derivatives. New main terms for the integral $I(\alpha,\beta)=\int_{\mathbb{R}}…

The covariance between the return of an asset and its realized volatility can be approximated as the difference between two specific implied volatilities. In this paper it is proved that in the small time-to-maturity limit the approximation…

We consider the off-policy evaluation problem in Markov decision processes with function approximation. We propose a generalization of the recently introduced \emph{emphatic temporal differences} (ETD) algorithm \citep{SuttonMW15}, which…

We consider the classical Merton problem of lifetime consumption-portfolio optimization problem with small proportional transaction costs. The first order term in the asymptotic expansion is explicitly calculated through a singular ergodic…