Related papers: Asymptotic Implied Volatility at the Second Order …
In an incomplete model, where under an appropriate num\'eraire, the stock price process is driven by a sigma-bounded semimartingale, we investigate the behavior of the expected utility maximization problem under small perturbations of the…
We establish some asymptotic expansions for infinite weighted convolution of distributions having regular varying tails. Various applications to statistics and probability are developed.
We compute an asymptotic expansion with precision 1/n of the moments of the expected empirical spectral measure of Wigner matrices of size n with independent centered entries. We interpret this expansion as the moments of the addition of…
This paper introduces an efficient second-order method for solving the elastic net problem. Its key innovation is a computationally efficient technique for injecting curvature information in the optimization process which admits a strong…
The usage of a spot volatility estimate based on a volatility decomposition in a time-changed price-model according to the trading times is investigated. In this model clock-time volatility splits up into the product of tick-time volatility…
We present the hyperasymptotic expansions for a certain group of solutions of the heat equation. We extend this result to a more general case of linear PDEs with constant coefficients. The generalisation is based on the method of Borel…
In this paper, we establish an initial theory regarding the Second Order Asymptotical Regularization (SOAR) method for the stable approximate solution of ill-posed linear operator equations in Hilbert spaces, which are models for linear…
We present a new method to compute short-time expectation values in large collective spin systems with generic Markovian decoherence. Our method is based on a Taylor expansion of a formal solution to the equations of motion for Heisenberg…
Though simple inflationary models describe the CMB well, their corrections are often plagued by infrared effects that obstruct a reliable calculation of late-time behaviour. We adapt to cosmology tools designed to address similar issues in…
In this paper, we present an approach to enhance interpolation and approximation error estimates. Based on a previously derived first-order Taylor-like formula, we demonstrate its applicability in improving the $P_1$-interpolation error…
We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the…
We show that computing the coefficients of the Taylor expansion of the solution of the off-equilibrium dynamical equations characterizing models with quenched disorder is a very effective way to understand the long time asymptotic behavior.…
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.…
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for…
In this paper we prove that the Euler equation describing the motion of an ideal fluid in $\R^d$ is well-posed in a class of functions allowing spatial asymptotic expansions as $|x|\to\infty$ of any a priori given order. These asymptotic…
The asymptotic expansion of the heat-kernel for small values of its argument has been studied in many different cases and has been applied to 1-loop calculations in Quantum Field Theory. In this thesis we consider this asymptotic behavior…
We establish a new type of local asymptotic formula for the Green's function ${\mathcal G}_t(x,y)$ of a uniformly parabolic linear operator $\partial_t - L$ with non-constant coefficients using dilations and Taylor expansions at a point…
The thermodynamic limit of certain exponential corrections to the weak coupling expansion of two-dimensional models is investigated. The expectation values of operators contributing to the first order coefficient of the low-temperature…
We present a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices. Our main tool is the theory of regularity structures,…
We study the Taylor expansion for the solutions of differential equations driven by $p$-rough paths with $p>2$. We prove a general theorem concerning the convergence of the Taylor expansion on a nonempty interval provided that the vector…