Related papers: General smile asymptotics with bounded maturity

A statistic can be a function of multiple samples. There is little existing work on asymptotic theory for such statistics when group membership is random. We propose a flexible framework that can handle both deterministic and random…

We exploit a result by Nerman which shows that conditional limit theorems hold when a certain monotonicity condition is satisfied. Our main result is an application to vertex degrees in random graphs, where we obtain asymptotic normality…

In [1], we calibrated a one-factor Cheyette SLV model with a local volatility that is linear in the benchmark forward rate and an uncorrelated CIR stochastic variance to 3M caplets of various maturities. While caplet smiles for many…

In observational studies with time-to-event outcomes, the g-formula can be used to estimate a treatment effect in the presence of confounding factors. However, the asymptotic distribution of the corresponding stochastic process is…

We provide explicit small-time formulae for the at-the-money implied volatility, skew and curvature in a large class of models, including rough volatility models and their multi-factor versions. Our general setup encompasses both European…

We study the dynamics of the normal implied volatility in a local volatility model, using a small-time expansion in powers of maturity T. At leading order in this expansion, the asymptotics of the normal implied volatility is similar, up to…

A convenient framework for dealing with asymptotic limit problems of probabilistic nature is provided. These problems include questions such as finding the asymptotic proportion of terms of a sequence falling inside a given interval, or the…

In [14] we found the large genus asymptotics of Hurwitz numbers for the Riemann sphere with a fixed number of general profiles and some (2,1^{d-2}) profiles. In this paper, motivated from [3], we generalize these results to Hurwitz numbers…

We study the tail behavior of the distribution of the sum of asymptotically independent risks whose marginal distributions belong to the maximal domain of attraction of the Gumbel distribution. We impose conditions on the distribution of…

In this note, we derive the characteristic function expansion for logarithm of the underlying asset price in corrected Heston model as proposed by Fouque and Lorig.

We derive the asymptotic distribution of ordinal-pattern frequencies under weak dependence conditions and investigate the long-run covariance matrix not only analytically for moving-average, Gaussian, and the novel generalized coin-tossing…

Drees and Rootz\'en (2010) have established limit theorems for a general class of empirical processes of statistics that are useful for the extreme value analysis of time series, but do not apply to statistics of sliding blocks, including…

In this paper, we introduce a new time series model having a stochastic exponential tail. This model is constructed based on the Normal Tempered Stable distribution with a time-varying parameter. The model captures the stochastic…

We consider implied volatilities in asset pricing models, where the discounted underlying is a strict local martingale under the pricing measure. Our main result gives an asymptotic expansion of the right wing of the implied volatility…

Operational risk models commonly employ maximum likelihood estimation (MLE) to fit loss data to heavy-tailed distributions. Yet several desirable properties of MLE (e.g. asymptotic normality) are generally valid only for large sample-sizes,…

A general method is presented for deriving the limiting behavior of estimators that are defined as the values of parameters optimizing an empirical criterion function. The asymptotic behavior of such estimators is typically deduced from…

If multiway cluster-robust standard errors are used routinely in applied economics, surprisingly few theoretical results justify this practice. This paper aims to fill this gap. We first prove, under nearly the same conditions as with…

Symmetry is a cornerstone of much of mathematics, and many probability distributions possess symmetries characterized by their invariance to a collection of group actions. Thus, many mathematical and statistical methods rely on such…

We study the asymptotic behaviour of uniform random maps with a prescribed face-degree sequence, in the bipartite case, as the number of faces tends to infinity. Under mild assumptions, we show that, properly rescaled, such maps converge in…

Let (X_n,Y_n), n\ge 1 be bivariate random claim sizes with common distribution function F and let N(t), t \ge 0 be a stochastic process which counts the number of claims that occur in the time interval [0,t], t\ge 0. In this paper we derive…