Related papers: Hilbert transform, spectral filters and option pri…
Hyperspectral measurements from long range sensors can give a detailed picture of the items, materials, and chemicals in a scene but analysis can be difficult, slow, and expensive due to high spatial and spectral resolutions of…
Considering that both the entropy-based market information and the Hurst exponent are useful tools for determining whether the efficient market hypothesis holds for a given asset, we study the link between the two approaches. We thus…
We continue a series of papers devoted to construction of semi-analytic solutions for barrier options. These options are written on underlying following some simple one-factor diffusion model, but all the parameters of the model as well as…
Given a discrete group $\G$ and an orthogonal action $\gamma: \G \to O(n)$ we study $L_p$ convergence of Fourier integrals which are frequency supported on the semidirect product $\R^n \rtimes_\gamma \G$. Given a unit $u \in \R^n$ and $1 <…
A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a time-changed fractional Brownian motion. An analytic formula for pricing European foreign currency option is proposed…
In this paper, we provide a detailed analysis of the global convergence properties of an extensively studied and extremely effective fixed-point algorithm for the Kullback-Leibler approximation of spectral densities, proposed by Pavon and…
Using the spectral theorem we compute the Quantum Fourier Transform (or Vacuum Characteristic Function) $\langle \Phi, e^{itH}\Phi\rangle$ of an observable $H$ defined as a self-adjoint sum of the generators of a finite-dimensional Lie…
We analyze the errors arising from discrete readjustment of the hedging portfolio when hedging options in exponential Levy models, and establish the rate at which the expected squared error goes to zero when the readjustment frequency…
Different variants of approximate inverse iteration like the locally optimal block preconditioned conjugate gradient method became in recent years increasingly popular for the solution of the large matrix eigenvalue problems arising from…
Many interesting and fundamentally practical optimization problems, ranging from optics, to signal processing, to radar and acoustics, involve constraints on the Fourier transform of a function. It is well-known that the {\em fast Fourier…
We consider a stochastic version of the proximal point algorithm for optimization problems posed on a Hilbert space. A typical application of this is supervised learning. While the method is not new, it has not been extensively analyzed in…
Windowing a Fourier transform is a useful tool, which gives us the similarity between the signal and time frequency signal, and it allows to get sense when/where ceratin frequencies occur in the input signal, this method is introduced by…
We discuss the rigorous justification of the spatial discretization by means of Fourier spectral methods of quasilinear first-order hyperbolic systems. We provide uniform stability estimates that grant spectral convergence of the…
We consider utility maximization problem for semi-martingale models depending on a random factor $\xi$. We reduce initial maximization problem to the conditional one, given $\xi=u$, which we solve using dual approach. For HARA utilities we…
The paper investigates the rich class of Generalized Tempered Stable distribution, an alternative to Normal distribution and the $\alpha$-Stable distribution for modelling asset return and many physical and economic systems. Firstly, we…
We propose an offline-online procedure for Fourier transform based option pricing. The method supports the acceleration of such essential tasks of mathematical finance as model calibration, real-time pricing, and, more generally, risk…
We present quadrature schemes to calculate matrices, where the so-called modified Hilbert transformation is involved. These matrices occur as temporal parts of Galerkin finite element discretizations of parabolic or hyperbolic problems when…
This work establishes novel optimum mixing bounds for the Glauber dynamics on the Hard-core and Ising models. These bounds are expressed in terms of the local connective constant of the underlying graph $G$. This is a notion of effective…
Fourier series approximations of continuous but nonperiodic functions on an interval suffer the Gibbs phenomenon, which means there is a permanent oscillatory overshoot in the neighbourhoods of the endpoints. Fourier extensions circumvent…
We show that the fluctuations of the largest eigenvalue of a real symmetric or complex Hermitian Wigner matrix of size $N$ converge to the Tracy--Widom laws at a rate $O(N^{-1/3+\omega})$, as $N$ tends to infinity. For Wigner matrices this…