Related papers: Fine-tune your smile: Correction to Hagan et al
We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied volatility which is already known, we compute the first…
Let ${\cal Z}_1(s) = \int_1^\infty |\zeta({1\over2}+ix)|^2x^{-s}{\rm d}x (\sigma = \Re s > 1)$. A result concerning analytic continuation of ${\cal Z}_1(s)$ to $\bf C$ is proved, and also a result relating the order of ${\cal Z}_1(\sigma +…
A stream of new theta relations is obtained. They follow from the general Thomae formula, which is a new result giving expressions for theta derivatives (the zero values of the lowest non-vanishing derivatives of theta functions with…
Research has shown banks match interest income and expense betas, and thereby obtain net interest income margins which are insensitive to changes in short-term interest rates. The present analysis extends this research in a number of ways.…
We consider fluctuations of error terms $\Delta(x)$ appearing in the asymptotic formula for a summatory function of coefficients of the Dirichlet series. These are quantified via $\Omega$ and $\Omega_{\pm}$ estimates. We obtain $\Omega$…
We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently typical multi-dimensional FX vanilla markets, while retaining the (semi)-analytical tractability typical of affine models…
We investigate the period function of $\sum_{n=1}^\infty\sigma_a(n)\e{nz}$, showing it can be analytically continued to $|\arg z|<\pi$ and studying its Taylor series. We use these results to give a simple proof of the Voronoi formula and to…
The optimal time for the controllability of linear hyperbolic systems in one dimensional space with one-side controls has been obtained recently for time-independent coefficients in our previous works. In this paper, we consider linear…
The research in the subfield of analytic number theory around error term of summation of sigma functions possesses a history which can be dated back to the mid-19th century when Dirichlet provided an $O(\sqrt{n})$ estimation of error term…
Cotangent sums are associated to the zeros of the Estermann zeta function. They have also proven to be of importance in the Nyman-Beurling criterion for the Riemann Hypothesis. The main result of the paper is the proof of the existence of a…
We investigate the time-dependent variance of the fidelity with which an initial narrow wavepacket is reconstructed after its dynamics is time-reversed with a perturbed Hamiltonian. In the semiclassical regime of perturbation, we show that…
We revisit the foundational Moment Formula proved by Roger Lee fifteen years ago. We show that when the underlying stock price martingale admits finite log-moments E[|log(S)|^q] for some positive q, the arbitrage-free growth in the left…
The adiabatic theorem states that an initial eigenstate of a slowly varying Hamiltonian remains close to an instantaneous eigenstate of the Hamiltonian at a later time. We show that a perfunctory application of this statement is problematic…
It is generally believed that knowing the light travel time up to the post-post-Minkowskian level (terms in $G^2$) is sufficient for modelling the most accurate experiments designed to test general relativity in a foreseeable future.…
A major drawback of the Standard Heston model is that its implied volatility surface does not produce a steep enough smile when looking at short maturities. For that reason, we introduce the Stationary Heston model where we replace the…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…
We invert the Black-Scholes formula. We consider the cases low strike, large strike, short maturity and large maturity. We give explicitly the first 5 terms of the expansions. A method to compute all the terms by induction is also given. At…
It is well know that, in the short maturity limit, the implied volatility approaches the integral harmonic mean of the local volatility with respect to log-strike, see [Berestycki et al., Asymptotics and calibration of local volatility…
We show that a special case of the Feferman-Vaught composition theorem gives rise to a natural notion of automata for finite words over an infinite alphabet, with good closure and decidability properties, as well as several logical…
A number of approaches to gravitation have much in common with the gauge theories of the standard model of particle physics. In this paper, we develop the Hamiltonian formulation of a class of gravitational theories that may be regarded as…