Related papers: A new look at the Heston characteristic function
We study asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations of the log-price process. We distinguish three cases: subcritical (also called ergodic), critical and supercritical. In…
We present a new method for proving the norm concentration inequality of sub-Gaussian variables. Our proof is based on an averaged version of the moment generating function, termed the averaged moment generating function. Our method applies…
Aspects of the theory of characteristic modes, based on their variational formulation, are presented and an explicit form of a related functional, involving only currents in a spatial domain, is derived. The new formulation leads to deeper…
In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the Heston model as the maturity approaches zero. We prove that the forward smile for out-of-the-money options explodes and…
The Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance, is a paradigm for a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square…
Bisimulation metric is a robust behavioural semantics for probabilistic processes. Given any SOS specification of probabilistic processes, we provide a method to compute for each operator of the language its respective metric…
This paper describes a new method for Symbolic Regression that allows to find mathematical expressions from a dataset. This method has a strong mathematical basis. As opposed to other methods such as Genetic Programming, this method is…
Deriving exact density functions for Gibbs point processes has been challenging due to their general intractability, stemming from the intractability of their normalising constants/partition functions. This paper offers a solution to this…
Following Douady-Hubbard and Bartholdi-Nekrashevych, we give an algebraic formulation of Thurston's characterization of rational functions. The techniques developed are applied to the analysis of the dynamics on the set of free homotopy…
We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…
We demonstrate that the counting statistics of currents in periodically driven ergodic stochastic systems can show sharp changes of some of its properties in response to continuous changes of the driving protocol. To describe this effect,…
This note studies an issue relating to essential smoothness that can arise when the theory of large deviations is applied to a certain option pricing formula in the Heston model. The note identifies a gap, based on this issue, in the proof…
We derive a higher-order asymptotic expansion of the conditional characteristic function of the increment of an It\^o semimartingale over a shrinking time interval. The spot characteristics of the It\^o semimartingale are allowed to have…
We give a new proof of Heath-Brown's full asymptotic expansion for the second moment of Dirichlet L-functions and we obtain a corresponding asymptotic expansion for a twisted first moment of Hecke-Maass L-functions.
We explore the behavior and establish new properties of the cumulative-sum process (CUSUM) and its running maximum. The study includes precise expressions for CUSUM's moment generating function and moments, fast recursive computing…
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 discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions…
We consider a family of character sums as multiplicative analogues of Kloosterman sums. Using Gauss sums, Jacobi sums and Deligne's bound for hyper-Kloosterman sums, we establish asymptotic formulae for any real (positive) moments of the…
In the context of the Instantaneous Normal Mode approach, the spectrum of the Hessian of Hamiltonian is a key quantity to describe liquids behaviour. The determination of the spectrum represents a major task for theoretical studies, and has…
We propose testing procedures for the hypothesis that a given set of discrete observations may be formulated as a particular time series of counts with a specific conditional law. The new test statistics incorporate the empirical…