Related papers: Asymptotic Implied Volatility at the Second Order …
We study estimation in the linear model $y=A\beta^\star+\epsilon$, in a Bayesian setting where $\beta^\star$ has an entrywise i.i.d. prior and the design $A$ is rotationally-invariant in law. In the large system limit as dimension and…
In the present paper, a stochastic Taylor expansion of some functional applied to the solution process of an It\^o or Stratonovich stochastic differential equation with a multi-dimensional driving Wiener process is given. Therefore, the…
We derive an asymptotic expansion for the distribution of a compound sum of independent random variables, all having the same light-tailed subexponential distribution. The examples of a Poisson and geometric number of summands serve as an…
Computable and sharp error bounds are derived for asymptotic expansions for linear differential equations having a simple turning point. The expansions involve Airy functions and slowly varying coefficient functions. The sharpness of the…
We present an asymptotic expansion formula of an estimator for the drift coefficient of the fractional Ornstein-Uhlenbeck process. As the machinery, we apply the general expansion scheme for Wiener functionals recently developed by the…
We combine a sieve method together with good uniformity estimates to prove a secondary term for the asymptotic estimate of $S_3\times A$ extensions over $\mathbb{Q}$ when $A$ is an odd abelian group with minimal prime divisor greater than…
We study the Borel summability of the small time expansion of the heat kernel associated to a first order perturbation of a Laplacian. An explicit formula for this kernel plays a central role. As a consequence, we get a Poisson formula on…
High orders of perturbation theory can be calculated by the Lipatov method, whereby they are determined by saddle-point configurations (instantons) of the corresponding functional integrals. For most field theories, the Lipatov asymptotics…
The main results of the article are short time estimates and asymptotic estimates for the first two order derivatives of the logarithmic heat kernel of a complete Riemannian manifold. We remove all curvature restrictions and also develop…
We present small-time implied volatility asymptotics for Realised Variance (RV) and VIX options for a number of (rough) stochastic volatility models via large deviations principle. We provide numerical results along with efficient and…
Some expansion methods have been proposed for approximately pricing options which has no exact closed formula. Benhamou et al. (2010) presents the smart expansion method that directly expands the expectation value of payoff function with…
The heat kernel expansion for field theory at finite temperature is constructed. It is based on the imaginary time formalism and applies to generic Klein-Gordon operators in flat space-time. Full gauge invariance is manifest at each order…
A robust implementation of a Dupire type local volatility model is an important issue for every option trading floor. Typically, this (inverse) problem is solved in a two step procedure : (i) a smooth parametrization of the implied…
A late time asymptotic perturbative analysis of curvature coupled complex scalar field models with accelerated cosmological expansion is carried out on the level of formal power series expansions. For this, algebraic analogues of the…
We develop a method to compute the slow-roll expansion for the Hubble parameter in inflationary models in a flat Friedmann-Lema\^itre-Robertson-Walker spacetime that is applicable to a wide class of potentials including monomial,…
We derive the asymptotic expansion of the heat kernel for a Laplace operator acting on deformed spheres. We calculate the coefficients of the heat kernel expansion on two- and three-dimensional deformed spheres as functions of deformation…
The quasi-likelihood estimator and the Bayesian type estimator of the volatility parameter are in general asymptotically mixed normal. In case the limit is normal, the asymptotic expansion was derived in Yoshida (1997) as an application of…
The non-parametric estimation of covariance lies at the heart of functional data analysis, whether for curve or surface-valued data. The case of a two-dimensional domain poses both statistical and computational challenges, which are…
In the present paper, we study a model of a thermoelastic string that is initially heated. We classify all the possible asymptotic states when time tends to infinity of such a model. Actually, we show that whatever the initial data is, a…
In [Precise Asymptotics for Robust Stochastic Volatility Models; Ann. Appl. Probab. 2021] we introduce a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and…