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

In this paper, by introducing a new operation in the vector space of analytic functions, the author presents a method for derivating the well-known formulas: $\zeta(1-k)=-\frac{B_k}{k}$ and $\zeta(1-n,a)=-\frac{B_n(a)}{n}$ , where $\zeta$,…

Let $\sigma_t(x)$ denote the implied volatility at maturity $t$ for a strike $K=S_0 e^{xt}$, where $x\in\bbR$ and $S_0$ is the current value of the underlying. We show that $\sigma_t(x)$ has a uniform (in $x$) limit as maturity $t$ tends to…

We improve the Berezin-Li-Yau inequality in dimension two by adding a positive correction term to its right-hand side. It is also shown that the asymptotical behaviour of the correction term is almost optimal. This improves a previous…

We establish asymptotic formulas for sums of reciprocals of primes in arithmetic progressions, generalizing recent results on multiple Mertens evaluations by Tenenbaum, Qi, and Hu. Specifically, for any fixed constant $K>0$, we derive…

We introduce a new class of local volatility models. Within this framework, we obtain expressions for both (i) the price of any European option and (ii) the induced implied volatility smile. As an illustration of our framework, we perform…

We establish rigorous \emph{a posteriori} error bounds for a space-time finite element method of arbitrary order discretising linear wave problems in second order formulation. The method combines standard finite elements in space and…

The use of proper ``time'' to describe classical ``spacetimes'' which contain both Euclidean and Lorentzian regions permits the introduction of smooth (generalized) orthonormal frames. This remarkable fact permits one to describe both a…

In the current literature, the analytical tractability of discrete time option pricing models is guaranteed only for rather specific types of models and pricing kernels. We propose a very general and fully analytical option pricing…

We demonstrate that the soft supersymmetry-breaking terms in a N=1 theory can be linked by simple renormalisation group invariant relations which are valid to all orders of perturbation theory. In the special case of finite N=1 theories,…

The compact fourth-order finite-difference scheme for solving the 1d wave equation is studied. New error bounds of the fractional order $\mathcal{O}(h^{4(\lambda-1)/5})$ are proved in the mesh energy norm in terms of data, for two initial…

We prove the following higher-order Szego theorems: if a measure on the unit circle has absolutely continuous part $w(\theta)$ and Verblunsky coefficients $\alpha$ with square-summable variation, then for any positive integer $m$, $\int…

We introduce a modified version of P. Jones's $\beta$-numbers for Carnot groups which we call {\it stratified $\beta$-numbers}. We show that an analogue of Jones's traveling salesman theorem on 1-rectifiability of sets holds for any Carnot…

We propose a new definition for the error threshold of a population evolving through mutation and selection. We compute the correction term due to the finiteness of the population by estimating the lifetime of master sequences. Our…

This paper shows how, in a quasi metric space, an inexact proximal algorithm with a generalized perturbation term appears to be a nice tool for Behavioral Sciences (Psychology, Economics, Management, Game theory,...). More precisely, the…

In this paper, we study the uniform H\"older continuity of the generalized Riemann function $R_{\alpha,\beta}$ (with $\alpha>1$ and $\beta>0$) defined by \[ R_{\alpha,\beta}(x)=\sum_{n=1}^{+\infty}\frac{\sin(\pi n^\beta x)}{n^\alpha},\quad…

We derive the first exact, rigorous but practical, globally valid remainder terms for asymptotic expansions about saddles and contour endpoints of arbitrary order degeneracy derived from the method of steepest descents. The exact remainder…

It is shown that the absolute values of Riemann's zeta function and two related functions strictly decrease when the imaginary part of the argument is fixed to any number with absolute value at least 8 and the real part of the argument is…

In the framework of the generalized uncertainty principle, the position and momentum operators obey the modified commutation relation $[X,P]=i\hbar\left(1+\beta P^2\right)$ where $\beta$ is the deformation parameter. Since the validity of…

We introduce iterated beta integrals, a new class of iterated integrals on the universal abelian covering of the punctured projective line that unifies hyperlogarithms and classical beta integrals while preserving their fundamental…

There is a well developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying…