Related papers: The Zumbach effect under rough Heston
The evolution of a quantum system subjected to infinitely many measurements in a finite time interval is confined in a proper subspace of the Hilbert space. This phenomenon is called "quantum Zeno effect": a particle under intensive…
The leverage effect-- the correlation between an asset's return and its volatility-- has played a key role in forecasting and understanding volatility and risk. While it is a long standing consensus that leverage effects exist and improve…
The behavior displayed by a quantum system when it is perturbed by a series of von Neumann measurements along time is analyzed. Because of the similarity between this general process with giving a deck of playing cards a shuffle, here it is…
Recent LHC results concerning the mass of the Higgs boson indicate that the vacuum in our Universe may be unstable. We analyze properties of unstable vacuum states from the point of view of the quantum theory of unstable states. From the…
We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-law tails of volatility and stock returns. We also show that…
The Aschenbach effect, the increasing behavior of the angular velocity of a timelike circular orbit with its radius coordinate, is found to extensively exist in rapidly spinning black holes to a zero-angular-momentum observer. It also has…
Quantum simulation of lattice gauge theories is a promising tool for the study of many complicated problems including ones with real-time dynamics. For gauge theories, however, there is a major challenge in maintaining gauge invariance…
In a recent article the authors obtained a formula which relates explicitly the tail of risk neutral returns with the wing behavior of the Black Scholes implied volatility smile. In situations where precise tail asymptotics are unknown but…
This paper advances interest rate modeling in the post-LIBOR era by introducing rough stochastic volatility into the Forward Market Model (FMM). We establish a rigorous asymptotic expansion of swaption implied volatility, connecting the FMM…
Recently it was demonstrated, both theoretically and experimentally, how to separate a particle from its spin, or any other property, a phenomenon known as the "Quantum Cheshire Cat". We present two novel gedanken experiments, based on the…
This paper investigates the valuation of variable annuity contracts with an early surrender option under non-Markovian models. Moreover, policyholders are provided with guaranteed minimum maturity and death benefits to protect against the…
In this manuscript we analyze the weak convergence rate of a discretization scheme for the Heston model. Under mild assumptions on the smoothness of the payoff and on the Feller index of the volatility process, respectively, we establish a…
Classical Stokes' drift is the small time-averaged drift velocity of suspended non-diffusing particles in a fluid due to the presence of a wave. We consider the effect of adding diffusion to the motion of the particles, and show in…
A new simulation set-up is proposed for studying mean field dynamo action. The model combines the computational advantages of local cartesian geometry with the ability to include a shear profile that resembles the sun's differential…
A major drawback of the Standard Heston model is that its implied volatility surface does not produce a steep enough smile when looking at short maturities. For that reason, we introduce the Stationary Heston model where we replace the…
Direct numerical simulations of turbulent channels with rough walls are conducted in the transitionally rough regime. The effect that roughness produces on the overlying turbulence is studied using a modified triple decomposition of the…
In this article we look at stochastic processes with uncertain parameters, and consider different ways in which information is obtained when carrying out observations. For example we focus on the case of a the random evolution of a traded…
Previous work [Gong and Brumer, Phys. Rev. Lett., 97, 240602 (2006)] motivates this study as to how asymmetry-driven quantum ratchet effects can persist despite a corresponding fully chaotic classical phase space. A simple perspective of…
After a critical overview of the Generalized Uncertainty Principle (GUP) applied to compact objects, we propose a texture of Heisenberg uncertainty principle in curved spacetimes (CHUP). CHUP allows to write down physically motivated STUR…
Given the promising results on joint modeling of SPX/VIX smiles of the recently introduced quadratic rough Heston model, we consider a multi-asset market making problem on SPX and its derivatives, e.g. VIX futures, SPX and VIX options. The…