Related papers: Closed form asymptotics for local volatility model…

The paper offers a unified approach to the study of three locally adaptive estimation methods in the context of univariate time series from both theoretical and empirical points of view. A general procedure for the computation of critical…

In this paper, we derive a general asymptotic implied volatility at the first-order for any stochastic volatility model using the heat kernel expansion on a Riemann manifold endowed with an Abelian connection. This formula is particularly…

We explicitly compute the local invariants (heat kernel coefficients) of a conformally deformed non-commutative $d$-torus using multiple operator integrals. We derive a recursive formula that easily produces an explicit expression for the…

Dynamic hedging of an European option under a general local volatility model with small linear transaction costs is studied. A continuous control version of Leland's strategy that asymptotically replicates the payoff is constructed. An…

Rapidly decreasing tempered stable distributions are useful models for financial applications. However, there has been no exact method for simulation available in the literature. We remedy this by introducing an exact simulation method in…

In this paper, we present a method for factor analysis of discrete data. This is accomplished by fitting a dependent Poisson model with a factor structure. To be able to analyze ordinal data, we also consider a truncated Poisson…

This paper proposes a higher-order multiscale computational method for nonlinear thermo-electric coupling problems of composite structures, which possess temperature-dependent material properties and nonlinear Joule heating. The innovative…

Cubature methods, a powerful alternative to Monte Carlo due to Kusuoka~[Adv.~Math.~Econ.~6, 69--83, 2004] and Lyons--Victoir~[Proc.~R.~Soc.\\Lond.~Ser.~A 460, 169--198, 2004], involve the solution to numerous auxiliary ordinary differential…

Structure-preserving integrators are in the focus of ongoing research because of their distinguished features of robustness and long time stability. In particular, their formulation for coupled problems that include dissipative mechanisms…

We consider how the Pad'e-Borel, Pad'e-Borel-Leroy, and conformal mapping summation methods for asymptotic series can be used to calculate the dynamical critical exponent for homogeneous and disordered Ising-like systems.

We consider discrete time models for asset prices with a stationary volatility process. We aim at estimating the multivariate density of this process at a set of consecutive time instants. A Fourier type deconvolution kernel density…

The quasi-local formulation of conserved charges through the off-shell approach is extended to cover the asymptotic symmetry generators. By introducing identically conserved currents which are appropriate for asymptotic Killing vectors, we…

We study the finite-temperature expectation values of exponential fields in the sine-Gordon model. Using finite-volume regularization, we give a low-temperature expansion of such quantities in terms of the connected diagonal matrix…

Modern density functional approximations achieve moderate accuracy at low computational cost for many electronic structure calculations. Some background is given relating the gradient expansion of density functional theory to the WKB…

A novel method of summing asymptotic series is advanced. Such series repeatedly arise when employing perturbation theory in powers of a small parameter for complicated problems of condensed matter physics, statistical physics, and various…

An infinite log-gas formalism, due to Dyson, and independently Fogler and Shklovskii, is applied to the computation of conditioned gap probabilities at the hard and soft edges of random matrix $\beta$-ensembles. The conditioning is that…

We present a detailed analysis and implementation of a splitting strategy to identify simultaneously the local-volatility surface and the jump-size distribution from quoted European prices. The underlying model consists of a jump-diffusion…

This paper investigates asymptotic estimates for the entrance probability of the discounted aggregate claim vector from a multivariate renewal risk model into some rare set. We provide asymptotic results for the entrance probability on both…

We revisit the problem of computing (robust) controlled invariant sets for discrete-time linear systems. Departing from previous approaches, we consider implicit, rather than explicit, representations for controlled invariant sets.…

This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…