Related papers: Closed form asymptotics for local volatility model…
Using our recently proposed covariant algebraic approach the heat kernel for a Laplace-like differential operator in low-energy approximation is studied. Neglecting all the covariant derivatives of the gauge field strength (Yang-Mills…
This paper presents closed-form analytical formulas for pricing volatility and variance derivatives with nonlinear payoffs under discrete-time observations. The analysis is based on a probabilistic approach assuming that the underlying…
We introduce a class of two-parameter discrete dispersion models, obtained by combining convolution with a factorial tilting operation, similar to exponential dispersion models which combine convolution and exponential tilting. The…
For a singularly perturbed system of reaction--diffusion equations, assuming that the 0th order solutions in regular and singular regions are all stable, we construct matched asymptotic expansions for formal solutions to any desired order…
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log returns…
Simulation of warm dense matter requires computational methods that capture both quantum and classical behavior efficiently under high-temperature, high-density conditions. Currently, density functional theory molecular dynamics is used to…
Using heat kernel methods developed by Vaillant, a local index formula is obtained for families of d-bar operators on the Teichmuller universal curve of Riemann surfaces of genus g with n punctures. The formula also holds on the moduli…
For the linearized setting of the dynamics of complex bodies we construct variational integrators and prove their convergence by making use of BV estimates on the rate fields. We allow for peculiar substructural inertia and internal…
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest…
The Hermite-Taylor method evolves all the variables and their derivatives through order $m$ in time to achieve a $2m+1$ order rate of convergence. The data required at each node of the staggered Cartesian meshes used by this method makes…
Developed turbulent motion of fluid still lacks an analytical description despite more than a century of active research. Nowadays phenomenological ideas are widely used in practical applications, such as small-scale closures for numerical…
With asymptotic method developed from weak turbulent theory, the kinetic equations for QGP are expanded in fluctuation field potential $A^T_\mu $. Considering the second-order and third-order currents, we derive the nonlinear permeability…
Using a suitable change of probability measure, we obtain a novel Poisson series representation for the arbitrage- free price process of vulnerable contingent claims in a regime-switching market driven by an underlying continuous- time…
We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…
We address the inverse problem of local volatility surface calibration from market given option prices. We integrate the ever-increasing flow of option price information into the well-accepted local volatility model of Dupire. This leads to…
The Black-Scholes framework is crucial in pricing a vast number of financial instruments that permeate the complex dynamics of world markets. Associated with this framework, we consider a second-order differential operator $L(x,…
Options with maturities below one week, hereafter "ultra-short-term" options, have seen a sharp increase in trading activity in recent years. Yet, these instruments are difficult to price jointly using classical pricing models due to the…
The SABR model is a stochastic volatility model not admitting a closed form solution. Hagan, Kumar, Leniewski and Woodward have obtained an approximate solution by means of perturbative techniques. A more precise approximation was found by…
We analyze the spatially semidiscrete piecewise linear finite element method for a nonlocal parabolic equation resulting from thermistor problem. Our approach is based on the properties of the elliptic projection defined by the bilinear…
We give an asymptotic expansion of the relative entropy between the heat kernel $q_Z(t,z,w)$ of a compact Riemannian manifold $Z$ and the normalized Riemannian volume for small values of $t$ and for a fixed element $z\in Z$. We prove that…