Related papers: Small-time, large-time and $H\to 0$ asymptotics fo…
The methodology of the Riemann-Hilbert (RH) factorisation approach for Lax-pair isospectral deformations is used to derive, in the solitonless sector, the leading-order asymptotics as $t \to \pm \infty$ $(x/t \sim \mathcal{O}(1))$ of…
We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter $H < 1/2$. This regime recently attracted a lot of attention both from the statistical and…
We study the behavior of high-dimensional robust regression estimators in the asymptotic regime where $p/n$ tends to a finite non-zero limit. More specifically, we study ridge-regularized estimators, i.e…
We introduce an affine extension of the Heston model where the instantaneous variance process contains a jump part driven by $\alpha$-stable processes with $\alpha\in(1,2]$. In this framework, we examine the implied volatility and its…
We prove two estimates for the Barban--Davenport--Halberstam type variance of a general complex sequence in arithmetic progressions. The proofs are elementary, and our estimates are capable of yielding an asymptotic for the variance when…
A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at-the-money implied volatilities follow. A limit theorem for…
We have studied zero temperature metastable states in classical $m$-vector component spin glasses in the presence of $m$-component random fields (of strength $h_{r}$) for a variety of models, including the Sherrington Kirkpatrick (SK)…
The rBergomi model under the physical measure consists of modeling the log-variance as a truncated Brownian semi-stationary process. Then, a deterministic change of measure is applied. The rBergomi model is able to reproduce observed market…
We solve a family of fractional Riccati differential equations with constant (possibly complex) coefficients. These equations arise, e.g., in fractional Heston stochastic volatility models, that have received great attention in the recent…
The HEat modulated Infinite DImensional Heston (HEIDIH) model and its numerical approximation are introduced and analyzed. This model falls into the general framework of infinite dimensional Heston stochastic volatility models of (F.E.…
The Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance, is a paradigm for a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square…
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian S\~ao Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a…
We use the vorticity formulation to study the long-time behavior of solutions to the Navier-Stokes equation on R^3. We assume that the initial vorticity is small and decays algebraically at infinity. After introducing self-similar…
We consider a large market model of defaultable assets in which the asset price processes are modelled as Heston-type stochastic volatility models with default upon hitting a lower boundary. We assume that both the asset prices and their…
Using a large dataset on major FX rates, we test the robustness of the rough fractional volatility model over different time scales, by including smoothing and measurement errors into the analysis. Our findings lead to new stylized facts in…
We study some properties of the American option price in the stochastic volatility Heston model. We first prove that, if the payoff function is convex and satisfies some regularity assumptions, then the option value function is increasing…
This paper provide a comprehensive analysis of the finite and long time behavior of continuous-time non-Markovian dynamical systems, with a focus on the forward Stochastic Volterra Integral Equations(SVIEs).We investigate the properties of…
Let $p>5$ be a fixed prime and assume that $\alpha_1,\alpha_2,\alpha_3$ are coprime to $p$. We study the asymptotic behavior of small solutions of congruences of the form $\alpha_1x_1^2+\alpha_2x_2^2+\alpha_3x_3^2\equiv 0\bmod{q}$ with…
We establish explicit quenched asymptotics for pure-jump symmetric L\'evy processes in general Poissonian potentials, which is closely related to large time asymptotic behavior of solutions to the nonlocal parabolic Anderson problem with…
We propose a generic calibration framework to both vanilla and no-touch options for a large class of continuous semi-martingale models. The method builds upon the forward partial integro-differential equation (PIDE) derived in Hambly et al.…