Related papers: Fine-tune your smile: Correction to Hagan et al
The Cartier-Perrin theorem, which was published in 1995 and is expressed in the language of nonstandard analysis, permits, for the first time perhaps, a clear-cut mathematical definition of the volatility of a financial asset. It yields as…
We consider a class of asset pricing models, where the risk-neutral joint process of log-price and its stochastic variance is an affine process in the sense of Duffie, Filipovic and Schachermayer [2003]. First we obtain conditions for the…
We examine a new form of smooth approximation to the zero one loss in which learning is performed using a reformulation of the widely used logistic function. Our approach is based on using the posterior mean of a novel generalized…
We intimate deeper connections between the Riemann zeta and gamma functions than often reported and further derive a new formula for expressing the value of $\zeta(2n+1)$ in terms of zeta at other fractional points. This paper also…
Gulisashvili et al. [Quant. Finance, 2018, 18(10), 1753-1765] provide a small-time asymptotics for the mass at zero under the uncorrelated stochastic-alpha-beta-rho (SABR) model by approximating the integrated variance with a moment-matched…
It is well-known that, in the Bachelier model, when asset prices and volatilities are uncorrelated, the implied volatility coincides with the fair value of the volatility swap. In this paper, via classical It\^o calculus and Taylor…
We study the convergence properties of the short maturity expansion of option prices in the uncorrelated log-normal ($\beta=1$) SABR model. In this model the option time-value can be represented as an integral of the form $V(T) =…
The space-time foam formulas, quoted below in Eqs (1) and (3), express the minimal amount of quantum uncertainty to be introduced into the structure of the Einsteinian space-time in order to make that structure compatible with quantum…
Assuming the Riemann Hypothesis we study negative moments of the Riemann zeta-function and obtain asymptotic formulas in certain ranges of the shift in $\zeta(s)$. For example, integrating $|\zeta(1/2+\alpha+it)|^{-2k}$ with respect to $t$…
In the seminal paper by Dahlen et al. the authors formulate an important expression as a first-order estimate of traveltime delay. The authors left out a term which would at first glance seem nontrivial, on the basis that their intention…
Time-varying volatility is an inherent feature of most economic time-series, which causes standard correlation estimators to be inconsistent. The quadrant correlation estimator is consistent but very inefficient. We propose a novel…
In this paper, first a theorem on the partial sum of a particular series is given. Then, based on it, the origin of obvious simulation deviation from theory is explained: i) why the numerically estimated \hat\gamma (degree exponent) in…
The circular $\beta$ ensemble for $\beta =1,2$ and 4 corresponds to circular orthogonal, unitary and symplectic ensemble respectively as introduced by Dyson. The statistical state of the eigenvalues is then a determinantal point process…
We define a fragment of metric first-order temporal logic formulas that guarantees the finiteness of their table representations. We extend our fragment's definition to cover the temporal dual operators trigger and release and show that our…
In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of…
Starting from an n-by-n matrix of zeros, choose uniformly random zero entries and change them to ones, one-at-a-time, until the matrix becomes invertible. We show that with probability tending to one as n tends to infinity, this occurs at…
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a…
We derive the short-maturity asymptotics for option prices in the local volatility model in a new short-maturity limit $T\to 0$ at fixed $\rho = (r-q) T$, where $r$ is the interest rate and $q$ is the dividend yield. In cases of practical…
We present the newly improved Batalin-Fradkin-Tyutin (BFT) Hamiltonian formalism and the generalization to the Lagrangian formulation, which provide the much more simple and transparent insight to the usual BFT method, with application to…
The $\beta$-generalized quasi-geostrophic equation is studied in the range of $\alpha \in (0, 1), \beta \in (1/2, 1), 1/2 < \alpha + \beta < 3/2$. When $\alpha \in (1/2, 1), \beta \in (1/2, 1)$ such that $1 \leq \alpha + \beta < 3/2$, using…