Related papers: On the Representation of General Interest Rate Mod…
We show that a large collection of statistical mechanical systems with quadratically represented Hamiltonians on the complete graph can be extended to infinite exchangeable processes. This extends a known result for the ferromagnetic…
For a multidimensional It\^o semimartingale, we consider the problem of estimating integrated volatility functionals. Jacod and Rosenbaum (2013) studied a plug-in type of estimator based on a Riemann sum approximation of the integrated…
In this paper, we focus on the estimation of historical volatility of asset prices from high-frequency data. Stochastic volatility models pose a major statistical challenge: since in reality historical volatility is not observable, its…
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time…
Let $(X_1,\ldots,X_n)$ be an i.i.d. sequence of random variables in $\mathbb{R}^d$, $d\geq 1$. We show that, for any function $\varphi :\mathbb{R}^d\rightarrow\mathbb{R}$, under regularity conditions, \[n^…
The Hermite random field has been introduced as a limit of some weighted Hermite variations of the fractional Brownian sheet. In this work we define it as a multiple integral with respect to the standard Brownian sheet and introduce Wiener…
Using the Feynman path integral representation of quantum mechanics it is possible to derive a model of an electron in a random system containing dense and weakly-coupled scatterers, see [Proc. Phys. Soc. 83, 495-496 (1964)]. The main goal…
In this work, we study early-time inflation within a class of $f(R, \phi, X)$ gravity models under a constant-roll condition. Employing a generalized potential of the form $V(\phi)^\sigma$, we derive expressions for the spectral index $n_s$…
We examine the theoretical foundations of standard methods for computing density perturbations in inflationary models. We find that: (1) the time-delay formalism (introduced by Guth and Pi, 1982) is only valid when inflation is…
The stochastic exponential $Z_t=\exp\{M_t-M_0-(1/2) <M,M>_t\}$ of a continuous local martingale $M$ is itself a continuous local martingale. We give a necessary and sufficient condition for the process $Z$ to be a true martingale in the…
A simple realization of inflation consists of adding the following operators to the Einstein-Hilbert action: (partial phi)^2, lambda phi^4, and xi phi^2 R, with xi a large non-minimal coupling. Recently there has been much discussion as to…
We prove multi-dimensional central limit theorems for the spectral moments (of arbitrary degrees) associated with random matrices with real-valued i.i.d. entries, satisfying some appropriate moment conditions. Our techniques rely on a…
We establish four structural results for signature volatility models. First, we prove global existence and uniqueness of strong solutions to the signature SDE $dS_t = S_t \langle \ell, \widehat{W}_t \rangle \, dB_t$ on the weighted tensor…
This paper advances interest rate modeling in the post-LIBOR era by introducing rough stochastic volatility into the Forward Market Model (FMM). We establish a rigorous asymptotic expansion of swaption implied volatility, connecting the FMM…
We consider the joint SPX-VIX calibration within a general class of Gaussian polynomial volatility models in which the volatility of the SPX is assumed to be a polynomial function of a Gaussian Volterra process defined as a stochastic…
We consider Volterra Gaussian processes on [0,T], where T>0 is a fixed time horizon. These are processes of type X_t=\int^t_0 z_X(t,s)dW_s, t\in[0,T], where z_X is a square-integrable kernel, and W is a standard Brownian motion. An example…
This work considers a stochastic model in which the uncertainty is driven by a multidimensional Brownian motion. The market price of risk process makes the transition between real world probability measure and risk neutral probability…
This article establishes a rigorous spectral framework for the mathematical analysis of SHAP values. We show that any predictive model defined on a discrete or multi-valued input space admits a generalized Fourier expansion with respect to…
We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the…
Stochastic integration with respect to Gaussian processes, such as fractional Brownian motion (fBm) or multifractional Brownian motion (mBm), has raised strong interest in recent years, motivated in particular by applications in finance,…