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

We investigate the zeros of Epstein zeta functions associated with a positive definite quadratic form with rational coefficients in the vertical strip $ \sigma_1 < \Re s < \sigma_2 $, where $ 1/2 < \sigma_1 < \sigma_2 < 1 $. When the class…

Options with maturities below one week, hereafter "ultra-short-term" options, have seen a sharp increase in trading activity in recent years. Yet, these instruments are difficult to price jointly using classical pricing models due to the…

We introduce a notion of integration on the category of proper birational maps to a given variety $X$, with value in an associated Chow group. Applications include new birational invariants; comparison results for Chern classes and numbers…

We revisit the classical Merton consumption--investment problem when risky-asset returns are modeled by stochastic differential equations interpreted through a general $\alpha$-integral, interpolating between It\^{o}, Stratonovich, and…

We characterize the behaviour of the Rough Heston model introduced by Jaisson\&Rosenbaum \cite{JR16} in the small-time, large-time and $\alpha \to 1/2$ (i.e. $H\to 0$) limits. We show that the short-maturity smile scales in qualitatively…

We describe an algorithm for obtaining explicit expressions for lower terms for the conjectured full asymptotics of the moments of the Riemann zeta function, and give two distinct methods for obtaining numerical values of these…

Let $X$ be an arithmetic scheme (i.e., separated, of finite type over $\operatorname{Spec} \mathbb{Z}$) of Krull dimension $1$. For the associated zeta function $\zeta (X,s)$, we write down a formula for the special value at $s = n < 0$ in…

We derive a nearly optimal upper bound on the running time in the adiabatic theorem for a switching family of Hamiltonians. We assume the switching Hamiltonian is in the Gevrey class $G^\alpha$ as a function of time, and we show that the…

The article by Hawila & Berg (2023) that is going to be commented presents four relevant problems, apart from other less important ones that are also cited. First, the title is incorrect, since it leads readers to believe that the…

We combine the fixed-order evaluation of the $b\bar{b}$ sum rules with a non-relativistic effective-theory approach. The combined result for the $n$-th moment includes all terms suppressed with respect to the leading-order result by ${\cal…

The tendency to overestimate immediate utility is a common cognitive bias. As a result people behave inconsistently over time and fail to reach long-term goals. Behavioral economics tries to help affected individuals by implementing…

Within the framework of the renormalization group approach in the stochastic model of fully developed turbulence, the $\beta$-function has been calculated in the fourth order of perturbation theory for high-dimensional spaces $d \rightarrow…

We investigate post-Newtonian parameters in the tensor-vector-scalar (TeVeS) theory in a general setting while previous researches have been restricted to spherically symmetric cases. Based on the assumption that both the physical and…

We revisit the problem of pricing options with historical volatility estimators. We do this in the context of a generalized GARCH model with multiple time scales and asymmetry. It is argued that the reason for the observed volatility risk…

The angle gamma of the standard CKM unitarity triangle can be determined from B -> D K decays with a very small irreducible theoretical error, which is only due to second-order electroweak corrections. We study these contributions and…

Let $\gamma$ denote the imaginary parts of complex zeros $\rho = \beta+i\gamma$ of $\zeta(s)$. The problem of analytic continuation of the function $G(s) := \sum\limits_{\gamma > 0}\gamma^{-s}$ to the left of the line $\Re s = -1$ is…

In various papers the authors have derived asymptotics for moments of certain cotangent sums related to the Riemann Hypothesis. S. Bettin has given an upper bound for the error term in these asymptotic results. In the present paper the…

Here, we study both analytically and numerically, an integral $Z(\sigma,r)$ related to the mean value of a generalized moment of Riemann's zeta function. Analytically, we predict finite, but discontinuous values and verify the prediction…

We study techniques for deciding the computational complexity of infinite-domain constraint satisfaction problems. For certain fundamental algebraic structures Delta, we prove definability dichotomy theorems of the following form: for every…

We consider the class of self-similar Gaussian stochastic volatility models, and compute the small-time (near-maturity) asymptotics for the corresponding asset price density, the call and put pricing functions, and the implied volatilities.…