Related papers: Asymptotic Implied Volatility at the Second Order …
We propose an efficient method for the numerical approximation of a general class of two dimensional semilinear parabolic problems on polygonal meshes. The proposed approach takes advantage of the properties of the serendipity version of…
In the present paper, a decomposition formula for the call price due to Al\`{o}s is transformed into a Taylor type formula containing an infinite series with stochastic terms. The new decomposition may be considered as an alternative to the…
In this paper we investigate the Burr distributions family which contains twelve members. Second order expansions of quantiles of the Burr's distributions are provided on which may be based statistical methods, in particular in extreme…
We suggest a new technique of the asymptotic heat kernel expansion for minimal higher derivative operators of a generic $2M$-th order, $F(\nabla)=(-\Box)^M+\cdots$, in the background field formalism of gauge theories and quantum gravity.…
We propose an efficient, accurate and reliable simulation scheme for the stochastic-alpha-beta-rho (SABR) model. The two challenges of the SABR simulation lie in sampling (i) integrated variance conditional on terminal volatility and (ii)…
This paper develops an asymptotic distribution theory for an endogenous instrumentation approach in quantile predictive regressions when both generated covariates and persistent predictors are used. The generated covariates are obtained…
In this paper we study the small noise asymptotic expansions for certain classes of local volatility models arising in finance. We provide explicit expressions for the involved coefficients as well as accurate estimates on the remainders.…
This paper proposes a hybrid methodology to improve the approximation of SABR (Stochastic Alpha Beta Rho) implied volatility by combining analytical structure with machine learning. The approach augments the neural-network input…
The evolution of gauge invariant second-order scalar perturbations in a general single field inflationary scenario are presented. Different second order gauge invariant expressions for the curvature are considered. We evaluate…
An asymptotically exact first-order shear deformation theory for functionally graded elastic plates is derived using the variational-asymptotic method. As an application, an analytical solution to the problem of wave propagation in a…
This paper is a continuation a previous work of the authors where parametric Gevrey asymptotics for singularly perturbed nonlinear PDEs has been studied. Here, the partial differential operators are combined with particular Moebius…
We consider the heat equation associated with a class of second order hypoelliptic H\"{o}rmander operators with constant second order term and linear drift. We describe the possible small time heat kernel expansion on the diagonal giving a…
In this paper we establish a Taylor-like expansion in the context of the rough path theory for a family of It ^{o} maps indexed by a small parameter. We treat not only the case that the roughness $p$ satisfies $[p]=2$, but also the case…
This paper concerns the asymptotic behaviour of solutions of a linear convolution Volterra summation equation with an unbounded forcing term. In particular, we suppose the kernel is summable and ascribe growth bounds to the exogenous…
In this paper, we consider the problem of estimating the covariation of two diffusion processes when observations are subject to non-synchronicity. Building on recent papers \cite{Hay-Yos03, Hay-Yos04}, we derive second-order asymptotic…
In this paper we give an asymptotic expansion including error terms for the number of cycles in homology classes for connected graphs. Mainly, we obtain formulae about the coefficients of error terms which depend on the homology classes and…
We extend a theory of first order hbar corrections to Gutzwiller's trace formula for systems with a smooth potential to systems with discrete symmetries and, as an example, apply the method to the two-dimensional hydrogen atom in a uniform…
We consider parametric inference for an ergodic and stationary diffusion process, when the data are high-frequency observations of the integral of the diffusion process. Such data are obtained via certain measurement devices, or if…
In this paper, we derive a variant of the Taylor theorem to obtain a new minimized remainder. For a given function $f$ defined on the interval $[a,b]$, this formula is derived by introducing a linear combination of $f'$ computed at $n+1$…
We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price…