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Building AI systems, including Facial Expression Recognition (FER), involves two critical aspects: data and model design. Both components significantly influence bias and fairness in FER tasks. Issues related to bias and fairness in FER…
We consider a regression model with errors that are a.s. negative. Thus the regression function is not the expected value of the observations but the right endpoint of their support. We develop two goodness-of-fit tests for the hypotheses…
For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials…
We suggest an intermediate currency approach that allows us to price options on all FX markets simultaneously under the same risk-neutral measure which ensures consistency of FX option prices across all markets. In particular, it is…
We construct irreducible modules for twisted toroidal Lie algebras and extended affine Lie algebras. This is done by combining the representation theory of untwisted toroidal algebras with the technique of thin coverings of modules. We…
Machine learning models are increasingly deployed for critical decision-making tasks, making it important to verify that they do not contain gender or racial biases picked up from training data. Typical approaches to achieve fairness…
The goal of this paper is to clarify when a semilinear stochastic partial differential equation driven by L\'evy processes admits an affine realization. Our results are accompanied by several examples arising in natural sciences and…
In this paper, we re-examine certain integrable modules of Chari-Presslely for an (untwisted) affine Lie algebra $\hat{\g}$ by exploiting basic formal variable techniques. We define and study two categories ${\mathcal{E}}$ and…
We consider asset price models whose dynamics are described by linear functions of the (time extended) signature of a primary underlying process, which can range from a (market-inferred) Brownian motion to a general multidimensional…
This paper provides a discrete time LIBOR analog, which can be used for arbitrage-free discretization of Levy LIBOR models or discrete approximation of continuous time LIBOR market models. Using the work of Eberlein and Oezkan as an…
Classical (It\^o diffusions) stochastic volatility models are not able to capture the steepness of small-maturity implied volatility smiles. Jumps, in particular exponential L\'evy and affine models, which exhibit small-maturity exploding…
In the Black-Scholes model, the absence of arbitrages imposes necessary constraints on the slope of the implied variance in terms of log-moneyness, asymptotically for large log-moneyness. The constraints are used for example in the SVI…
In this article we present a non-linear dynamic programming algorithm for the computation of forward rates within the maximum smoothness framework. The algorithm implements the forward rate positivity constraint for a one-parametric family…
We introduce a new class of possibly infinite dimensional Lie algebras and study their structural properties. Examples of this new class of Lie algebras are finite dimensional simple Lie algebras containing a nonzero split torus, affine and…
Probabilistic linear solvers (PLSs) return probability distributions that quantify uncertainty due to limited computation in the solution of linear systems. The literature has traditionally distinguished between Bayesian PLSs, which…
We use induction from parabolic subalgebras with infinite-dimensional Levi factor to construct new families of irreducible representations for arbitrary Affine Kac-Moody algebra. Our first construction defines a functor from the category of…
A proof of freeness of the commutator subgroup of the fundamental group of a smooth irreducible affine curve over a countable algebraically closed field of nonzero characteristic. A description of the abelianizations of the fundamental…
We construct maximal green sequences of maximal length for any affine quiver of type $A$. We determine which sets of modules (equivalently $c$-vectors) can occur in such sequences and, among these, which are given by a linear stability…
The manipulation of LIBOR by a group of banks became one of the major blows to the remaining confidence in financial industry. Yet, despite an enormous amount of popular literature on the subject, rigorous time-series studies are few. In my…
In this paper, a class of multivariate matrix-exponential affine mixtures with matrix-exponential marginals is proposed. The class is shown to possess various attractive properties such as closure under size-biased Esscher transform, order…