Related papers: General smile asymptotics with bounded maturity
We obtain an asymptotic normality result that reveals the precise asymptotic behavior of the maximum likelihood estimators of parameters for a very general class of linear mixed models containing cross random effects. In achieving the…
In this paper, we study the statistical properties of the moneyness scaling transformation by Leung and Sircar (2015). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the…
Following an approach originally suggested by Balland in the context of the SABR model, we derive an ODE that is satisfied by normalized volatility smiles for short maturities under a rough volatility extension of the SABR model that…
The purpose of this article is to present a general method to find limiting laws for some renormalized statistics on random permutations. The model considered here is Ewens sampling model, which generalizes uniform random permutations. We…
We discuss in detail the asymptotic distribution of sample expectiles. First, we show uniform consistency under the assumption of a finite mean. In case of a finite second moment, we show that for expectiles other then the mean, only the…
Current performance bounds for randomized iterative methods are often considered tight under per-iteration analyses, yet they are notoriously loose in practice. We derive asymptotic performance bounds that narrow this theory-practice gap,…
This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and…
We consider a stochastic volatility asset price model in which the volatility is the absolute value of a continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting a Karhunen-Lo\`{e}ve expansion for the…
The asymptotic behavior of the implied volatility associated with a general call pricing function has been extensively studied in the last decade. The main topics discussed in this paper are Lee's moment formulas for the implied volatility,…
This paper studies large sample properties of a Bayesian approach to inference about slope parameters $\gamma$ in linear regression models with a structural break. In contrast to the conventional approach to inference about $\gamma$ that…
We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochastic volatility models we give simple explicit expressions…
We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the density of time averages of the squared volatility process…
We consider the preferential attachment model. This is a growing random graph such that at each step a new vertex is added and forms $m$ connections. The neighbors of the new vertex are chosen at random with probability proportional to…
We study (asymmetric) $U$-statistics based on a stationary sequence of $m$-dependent variables; moreover, we consider constrained $U$-statistics, where the defining multiple sum only includes terms satisfying some restrictions on the gaps…
In this paper we prove an approximate formula expressed in terms of elementary functions for the implied volatility in the Heston model. The formula consists of the constant and first order terms in the large maturity expansion of the…
Gulisashvili et al. [Quant. Finance, 2018, 18(10), 1753-1765] provide a small-time asymptotics for the mass at zero under the uncorrelated stochastic-alpha-beta-rho (SABR) model by approximating the integrated variance with a moment-matched…
We present a study of the short maturity asymptotics for Asian options in a jump-diffusion model with a local volatility component, where the jumps are modeled as a compound Poisson process. The analysis for out-of-the-money Asian options…
This study develops an integrated stochastic modeling framework for pricing short and medium-maturity equity options and assessing interest-rate risk using the Heston (1993), Bates (1996), and CIR (1985) models. We calibrate the Heston…
The quasi-likelihood estimator and the Bayesian type estimator of the volatility parameter are in general asymptotically mixed normal. In case the limit is normal, the asymptotic expansion was derived in Yoshida (1997) as an application of…
We establish limit theorems that describe the asymptotic local and global geometric behaviour of random enriched trees considered up to symmetry. We apply these general results to random unlabelled weighted rooted graphs and uniform random…