Related papers: Asymptotic Implied Volatility at the Second Order …

We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at a high temporal frequency, we use limit theorems for multipower variations and…

Classical Edgeworth expansions provide asymptotic correction terms to the Central Limit Theorem (CLT) up to an order that depends on the number of moments available. In this paper, we provide subsequent correction terms beyond those given…

The perturbation technique within the framework of the asymptotic iteration method is used to obtain large-order shifted 1/N expansions, where N is the number of spatial dimensions. This method is contrary to the usual…

We generalize Taylor's theorem by introducing a stochastic formulation based on an underlying Poisson point process model. We utilize this approach to propose a novel non-linear regression framework and perform statistical inference of the…

We set up a formalism that can be used to calculate the power spectrum of the curvature perturbations produced during inflation up to arbitrary order in the slow-roll expansion, and explicitly calculate the power spectrum and spectral index…

In this article, we consider the small-time asymptotics of options on a \emph{Leveraged Exchange-Traded Fund} (LETF) when the underlying Exchange Traded Fund (ETF) exhibits both local volatility and jumps of either finite or infinite…

We examine the small expiry behaviour of European call options in stock price models of exponential L\'evy type. In most cases of interest, we are able to identify the exact small expiry asymptotics. In "complete generality" we are able to…

We present a brief overview of several approaches for calculating the local asymptotic expansion of the heat kernel for Laplace-type operators. The different methods developed in the papers of both authors some time ago are described in…

We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the density of time averages of the squared volatility process…

We compute the asymptotic for the eigenvalues of a particular class of compact operators deeply linked with the second variation of optimal control problems. We characterize this family in terms of a set of finite dimensional data and we…

We study the precise asymptotic behavior of a non-trivial solution that converges to zero, as time tends to infinity, of dissipative systems of nonlinear ordinary differential equations. The nonlinear term of the equations may not possess a…

We consider a quantum graph where the operator contains a potential. We show that this operator admits a heat kernel. Under some assumptions on the potential, this heat kernel admits an asymptotic expansion at t=0 with coefficients that…

In the option valuation literature, the shortcomings of one factor stochastic volatility models have traditionally been addressed by adding jumps to the stock price process. An alternate approach in the context of option pricing and…

We examine in this article the pricing of target volatility options in the lognormal fractional SABR model. A decomposition formula by Ito's calculus yields a theoretical replicating strategy for the target volatility option, assuming the…

Working within the framework of the covariant perturbation theory, we obtain the coincidence limit of the heat kernel of an elliptic second order differential operator that is applicable to a large class of quantum field theories. The basis…

This paper addresses the problem of finding an asymptotic solution for first and second order integro-differential equations containing an arbitrary kernel, by evaluating the corresponding inverse Laplace and Fourier transforms. The aim of…

The solutions of parabolic and hyperbolic stochastic partial differential equations (SPDEs) driven by an infinite dimensional Brownian motion, which is a martingale, are in general not semi-martingales any more and therefore do not satisfy…

Borel summable semiclassical expansions in 1D quantum mechanics are considered. These are the Borel summable expansions of fundamental solutions and of quantities constructed with their help. An expansion, called topological,is constructed…

Gulisashvili et al. [Quant. Finance, 2018, 18(10), 1753-1765] provide a small-time asymptotics for the mass at zero under the uncorrelated stochastic-alpha-beta-rho (SABR) model by approximating the integrated variance with a moment-matched…

In industrial applications it is quite common to use stochastic volatility models driven by semi-martingale Markov volatility processes. However, in order to fit exactly market volatilities, these models are usually extended by adding a…