Related papers: Closed form asymptotics for local volatility model…
Dyson equation for the real two-time commutator retarded one-magnon Green function of the ferromagnetically polarized XX chain is suggested following the Plakida-Tserkovnikov algorithm. Starting from this result a low-temperature integral…
We develop a method to control discrete-time systems with constant but initially unknown parameters from linear temporal logic (LTL) specifications. We introduce the notions of (non-deterministic) parametric and adaptive transition systems…
A third-order approximation for close-to-the-money European option prices under an infinite-variation CGMY L\'{e}vy model is derived, and is then extended to a model with an additional independent Brownian component. The asymptotic regime…
Dirac-Frenkel variational method with Davydov D2 trial wavefunction is extended by introducing a thermalization algorithm and applied to simulate dynamics of a general open quantum system. The algorithm allows to control temperature…
In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural…
In this work, we investigate warm inflationary models in the context of a general scalar-tensor theory of gravity which is coupled to radiation through a dissipation term. We first derive the potential of exponential and hyperbolic tangent…
We present a study of the short-maturity asymptotics for VIX and European option prices in local-stochastic volatility models with compound Poisson jumps. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are considered. The…
This work presents a tensorial approach to constructing data-driven reduced-order models corresponding to semi-discrete partial differential equations with canonical Hamiltonian structure. By expressing parameter-varying operators with…
To disentangle the complex non-stationary dependence structure of precipitation extremes over the entire contiguous U.S., we propose a flexible local approach based on factor copula models. Our sub-asymptotic spatial modeling framework…
Closure modeling - the statistical modeling of missing dynamics in the natural sciences and engineering - is a growing and active area of research. Existing methods for closure modeling are often computationally prohibitive, lack…
We give sharp conditions for the large time asymptotic simplification of aggregation-diffusion equations with linear diffusion. As soon as the interaction potential is bounded and its first and second derivatives decay fast enough at…
We provide closed-form pricing formulas for a wide variety of path-independent options, in the exponential L\'evy model driven by the Normal inverse Gaussian process. The results are obtained in both the symmetric and asymmetric model, and…
This note is concerned with a diluted version of the perceptron model. We establish a replica symmetric formula at high temperature, which is achieved by studying the asymptotic behavior of a given spin magnetization. Our main task will be…
This paper addresses the challenges of pricing exotic options and structured products, which traditional models often fail to handle due to their inability to capture real-world market phenomena like fat-tailed distributions and volatility…
We analyze the dynamics of models of warm inflation with general dissipative effects. We consider phenomenological terms both for the inflaton decay rate and for viscous effects within matter. We provide a classification of the asymptotic…
We consider a finite element method with symmetric stabilisation for the discretisation of the transient convection--diffusion equation. For the time-discretisation we consider either the second order backwards differentiation formula or…
This study introduces a recursive method for computing asymptotic solutions of the Laplace equation in corner domains with the homogeneous Dirichlet boundary condition on one side and the Robin boundary condition with a power-law…
We develop the theory of a new type of asymptotic expansions for functions of two variables the coefficients of which contain functions of one of the variables as well as functions of the quotient of these two variables. These combined…
We develop the theory of a new type of asymptotic expansions for functions of two variables the coefficients of which contain functions of one of the variables as well as functions of the quotient of these two variables. These combined…
In this paper we study the pricing of exchange options when underlying assets have stochastic volatility and stochastic correlation. An approximation using a closed-form approximation based on a Taylor expansion of the conditional price is…