Related papers: Implied Volatility Surface: Construction Methodolo…
Missing data is a common problem in finance and often requires methods to fill in the gaps, or in other words, imputation. In this work, we focused on the imputation of missing implied volatilities for FX options. Prior work has used…
We develop closed-form expansions for the implied volatility of VIX options within the class of forward variance models. Our approach builds on weak-approximation techniques for VIX option prices and yields explicit implied volatility…
In this paper, the problem of robust reconfigurable intelligent surface (RIS) system design under changes in data distributions is investigated. Using the notion of invariant risk minimization (IRM), an invariant causal representation…
A new approach for simulating flows over complex geometries is developed by introducing an accurate virtual interpolation point scheme as well as a virtual local stencil approach. The present method is based on the concept of point…
It is shown that dynamics of the interface between ideal fluid and light viscous fluid is exactly integrable in the approximation of small surface slopes for two-dimensional flow. Stokes flow of viscous fluid provides a relation between…
Based on It\^o semimartingale models, several studies have proposed methods for forecasting intraday volatility using high-frequency financial data. These approaches typically rely on restrictive parametric assumptions and are often…
The immersed boundary method (IB) is an elegant way to fully couple the motion of a fluid and deformations of an immersed elastic structure. In that vein, the IB2d software allows for expedited explorations of fluid-structure interaction…
Developable surfaces are commonly observed in various applications such as architecture, product design, manufacturing, mechanical materials, and data physicalization as well as in the development of tangible interaction and deformable…
Variable projection solves structured optimization problems by completely minimizing over a subset of the variables while iterating over the remaining variables. Over the last 30 years, the technique has been widely used, with empirical and…
Non-invasive surface wave methods have become a popular alternative to traditional invasive forms of site-characterization for inferring a site's subsurface shear wave velocity (Vs) structure. The advantage of surface wave methods over…
In this paper we study short-time behavior of the at-the-money implied volatility for Inverse European options with fixed strike price. The asset price is assumed to follow a general stochastic volatility process. Using techniques of the…
Existing 3D surface representation approaches are unable to accurately classify pixels and their orientation lying on the boundary of an object. Thus resulting in coarse representations which usually require post-processing steps to extract…
Option prices encode the market's collective outlook through implied density and implied volatility. An explicit link between implied density and implied volatility translates the risk-neutrality of the former into conditions on the latter…
In financial markets, accurately measuring the risk of future fluctuations in asset prices is of paramount importance. Studies such as Carr and Madan have shown that the expected value of the quadratic variation of log prices can be…
Time-varying ISS-Lyapunov functions for impulsive systems provide a necessary and sufficient condition for ISS. This property makes them a more powerful tool for stability analysis than classical candidate ISS-Lyapunov functions providing…
We formulate and analyze an inverse problem using derivatives prices to obtain an implied filtering density on volatility's hidden state. Stochastic volatility is the unobserved state in a hidden Markov model (HMM) and can be tracked using…
The level-set method is a popular interface tracking method in two-phase flow simulations. An often-cited reason for using it is that the method naturally handles topological changes in the interface, e.g. merging drops, due to the implicit…
Eight different refinements of trapped surfaces are proposed, of three basic types, each intended as potential stability conditions. Minimal trapped surfaces are strictly minimal with respect to the dual expansion vector. Outer trapped…
Viscoelastic surface rheology plays an important role in multiphase systems. A typical example is the actin cortex which surrounds most animal cells. It shows elastic properties for short time scales and behaves viscous for longer time…
Surface incompressibility, also called inextensibility, imposes a zero-surface-divergence constraint on the velocity of a closed deformable material surface. The well-posedness of the mechanical problem under such constraint depends on an…