Related papers: Cumulant Expansion and Monthly Sum Derivative
Given the first 20-100 coefficients of a typical generating function of the type that arises in many problems of statistical mechanics or enumerative combinatorics, we show that the method of differential approximants performs surprisingly…
Using Malliavin Calculus techniques, we derive closed-form expressions for the at-the-money behaviour of the forward implied volatility, its skew and its curvature, in general Markovian stochastic volatility models with continuous paths.
An operator form of asymptotic expansions for Markov chains is established. Coefficients are given explicitly. Such expansions require a certain modification of the classical spectral method. They prove to be extremely useful within the…
In this paper, we present a new method for pricing CMS derivatives. We use Mallaivin's calculus to establish a model-free connection between the price of a CMS derivative and a quadratic payoff. Then, we apply Watanabe's expansions to…
We present a closed-form solution for n-th term of a general three-term recurrence relation with arbitrary given n-dependent coefficients. The derivation and corresponding proof are based on two approaches, which we develop and describe in…
The quantum statistics of damped optical solitons is studied using cumulant-expansion techniques. The effect of absorption is described in terms of ordinary Markovian relaxation theory, by coupling the optical field to a continuum of…
Truncated sum rules have been used to calculate the fundamental limits of the nonlinear susceptibilities; and, the results have been consistent with all measured molecules. However, given that finite-state models result in inconsistencies…
This paper provides a finite sample bound for the error term in the Edgeworth expansion for a sum of independent, potentially discrete, nonlattice random vectors, using a uniform-in-$P$ version of the weaker Cram\'{e}r condition in Angst…
We discuss some aspects of approximating functions on high-dimensional data sets with additive functions or ANOVA decompositions, that is, sums of functions depending on fewer variables each. It is seen that under appropriate smoothness…
We obtain asymptotic expansions for local probabilities of partial sums for uniformly bounded independent but not necessarily identically distributed integer-valued random variables. The expansions involve products of polynomials and…
Cumulants linearize convolution of measures. We use a formula of Good to define noncommutative cumulants in a very general setting.It turns out that the essential property needed is exchangeability of random variables. Roughly speaking the…
In this paper we consider the approximation of a function by its interpolating multilinear spline and the approximation of its derivatives by the derivatives of the corresponding spline. We derive formulas for the uniform approximation…
The paper focuses on an approximation of the first passage time probability density function of a Feller stochastic process by using cumulants and a Laguerre-Gamma polynomial approximation. The feasibility of the method relies on closed…
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for…
We give a recursive formula for an expansion of a solution of a general non-autonomous polynomial differential equation. The formula is given on the algebraic level with a use of shuffle product. This approach minimizes the number of…
In this paper, we study the Edgeworth expansion for a pre-averaging estimator of quadratic variation in the framework of continuous diffusion models observed with noise. More specifically, we obtain a second order expansion for the joint…
Motivated from option and derivative pricing, this note develops Edgeworth expansions both in the Kolmogorov and Wasserstein metric for many different types of discrete time volatility models and their possible transformations. This…
We introduce a closed-form expansion for the transition density of elliptic and hypo-elliptic multivariate Stochastic Differential Equations (SDEs), over a period $\Delta\in (0,1)$, in terms of powers of $\Delta^{j/2}$, $j\ge 0$. Our…
We study asymptotic expansions in free probability. In a class of classical limit theorems Edgeworth expansion can be obtained via a general approach using sequences of "influence" functions of individual random elements described by…
In connection with recent work on smallest gaps, C. Charlier proves that the 1-point function of a suitable planar Coulomb system $\{z_j\}_1^n$, in the determinantal case with respect to an external potential $Q(z)$, admits the expansion,…