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We investigate the existence of affine realizations for term structure models driven by L\'evy processes. It turns out that we obtain more severe restrictions on the volatility than in the classical diffusion case without jumps. As special…
A new flamelet model is developed for sub-grid modeling and coupled with the resolved flow for turbulent combustion. The model differs from current models in critical ways. (i) Non-premixed flames, premixed flames, or multi-branched flame…
The problem of existence of solution for the Heath-Jarrow-Morton equation with linear volatility and purely jump random factor is studied. Sufficient conditions for existence and non-existence of the solution in the class of bounded fields…
In the context of multi-curve modeling we consider a two-curve setup, with one curve for discounting (OIS swap curve) and one for generating future cash flows (LIBOR for a give tenor). Within this context we present an approach for the…
We construct two new classes of topological dynamical systems; one is a factor of a one-sided shift of finite type while the second is a factor of the two-sided shift. The data is a finite graph which presents the shift of finite type, a…
Form factor bootstrap approach is applied for diagonal scattering theories. We consider the ADE theories and determine the functional equations satisfied by the minimal two-particle form factors. We also determine the parameterization of…
The structure function of a scalar $\theta({\bf x},t)$, passively advected in a two-dimensional turbulent flow ${\bf u}({\bf x},t)$, is discussed by means of the fractal dimension $\delta^{(1)}_g$ of the passive scalar graph. A relation…
The decay of a passive scalar in a three-dimensional chaotic flow is studied using high-resolution numerical simulations. The (volume-preserving) flow considered is a three-dimensional extension of the randomised alternating sine flow…
Invariant conditions for conformable fractional problems of the calculus of variations under the presence of external forces in the dynamics are studied. Depending on the type of transformations considered, different necessary conditions of…
In this note we consider a family of nonlinear (conditional) expectations that can be understood as a multidimensional diffusion with uncertain drift and certain volatility. Here, the drift is prescribed by a set-valued function that…
We derive an explicit asymptotic approximation for the implied volatilities of Call options written on bonds assuming the short-rate is described by an affine short-rate model. For specific affine short-rate models, we perform numerical…
We provide a simple method to estimate the parameters of multivariate stochastic volatility models with latent factor structures. These models are very useful as they alleviate the standard curse of dimensionality, allowing the number of…
We use a ``weakly formulated'' Sylvester equation $$A^{1/2}TM^{-1/2}-A^{-1/2}TM^{1/2}=F$$ to obtain new bounds for the rotation of spectral subspaces of a nonnegative selfadjoint operator in a Hilbert space. Our bound extends the known…
A system of two-dimensional nonlinear equations of hydrodynamics is considered. It is shown that for the this system in the general case a solution with weak discontinuity-type singularity behaves as a square root of S(x,y,t), where…
We study functional stochastic differential equations with a locally unbounded, functional drift focusing on well-posedness, stability and the strong Feller property. Following the non-functional case, we only consider integrability…
We establish strong Feller property and irreducibility for the transition semigroup associated to a class of nonlinear stochastic partial differential equations with multiplicative degenerate noise. As a by-product, we prove uniqueness of…
A one dimensional diffusion process $X=\{X_t, 0\leq t \leq T\}$, with drift $b(x)$ and diffusion coefficient $\sigma(\theta, x)=\sqrt{\theta} \sigma(x)$ known up to $\theta>0$, is supposed to switch volatility regime at some point $t^*\in…
A nonlinear algebraic equation system of two variables is numerically solved, which is derived from a nonlinear algebraic equation system of four variables, that corresponds to a mathematical model related to investment under conditions of…
This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…
We study modular forms for $\textrm{SL}_2(\mathbb{Z})$ with no negative Fourier coefficients. Let $A(k)$ be the positive integer where if the first $A(k)$ Fourier coefficients of a modular form of weight $k$ for $\textrm{SL}_2(\mathbb{Z})$…