Related papers: Generalised arbitrage-free SVI volatility surfaces
This paper investigates the elastic scattering by unbounded deterministic and random rough surfaces, which both are assumed to be graphs of Lipschitz continuous functions. For the deterministic case, an a priori bound explicitly dependent…
Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage…
Equations relating the pressure at a horizontal seabed, the free-surface profile and the surface-pressure are derived for two-dimensional irrotational steady water waves with arbitrary pressure at the free surface. Special cases include…
Flexibility-rigidity index (FRI) has been developed as a robust, accurate and efficient method for macromolecular thermal fluctuation analysis and B-factor prediction. The performance of FRI depends on its formulations of rigidity index and…
An arbitrary Lagrangian--Eulerian (ALE) finite element method for arbitrarily curved and deforming two-dimensional materials and interfaces is presented here. An ALE theory is developed by endowing the surface with a mesh whose in-plane…
One of the possible approaches to the construction of massive higher spin interactions is to use their gauge invariant description based on the introduction of the appropriate set of Stueckelberg fields. Recently, the general properties of…
We present a deep learning framework for pricing options based on market-implied volatility surfaces. Using end-of-day S\&P 500 index options quotes from 2018-2023, we construct arbitrage-free volatility surfaces and generate training data…
The weighted triangulation algebras associated to triangulation quivers and their socle deformations were recently introduced and studied in [15]-[20] and [2]. These algebras, based on surface triangulations and originated from the theory…
The traditional way of estimating the gravitational field from observed motions of test objects is based on the virial relation between their kinetic and potential energy. We find a more efficient method. It is based on the natural…
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. We derive a c\`adl\`ag nonlinear…
This work introduces the framed curvature flow, a generalization of both the curve shortening flow and the vortex filament equation. Here, the magnitude of the velocity vector is still determined by the curvature, but its direction is given…
In this continuum theory, we propose a mathematical framework to study the mechanical interplay of bulk-surfaces materials undergoing deformation and phase segregation. To this end, we devise a principle of virtual powers with a…
We extend the approach of Carr, Itkin and Muravey, 2021 for getting semi-analytical prices of barrier options for the time-dependent Heston model with time-dependent barriers by applying it to the so-called $\lambda$-SABR stochastic…
Quadratic Lagrangians are introduced adding surface terms to a free particle Lagrangian. Geodesic equations are used in the context of the Hamilton-Jacobi formulation of constrained sysytem. Manifold structure induced by the quadratic…
We consider a collection of derivatives that depend on the price of an underlying asset at expiration or maturity. The absence of arbitrage is equivalent to the existence of a risk-neutral probability distribution on the price; in…
In this paper we provide a quantitative analysis to the concept of arbitrage, that allows to deal with model uncertainty without imposing the no-arbitrage condition. In markets that admit ``small arbitrage", we can still make sense of the…
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…
We give a brief introduction to the Gauge Theory of Arbitrage. Treating a calculation of Net Present Values (NPV) and currencies exchanges as a parallel transport in some fibre bundle, we give geometrical interpretation of the interest…
While value iteration (VI) is a standard solution approach to simple stochastic games (SSGs), it suffered from the lack of a stopping criterion. Recently, several solutions have appeared, among them also "optimistic" VI (OVI). However, OVI…
Let $S$ be a parametric surface in $\proj{3}$ given as the image of $\phi: \proj{1} \times \proj{1} \to \proj{3}$. This paper will show that the use of syzygies in the form of a combination of moving planes and moving quadrics provides a…