Related papers: Explosion in the quasi-Gaussian HJM model
Penalized likelihood and quasi-likelihood methods dominate inference in high-dimensional linear mixed-effects models. Sampling-based Bayesian inference is less explored due to the computational bottlenecks introduced by the random effects…
A simple, semi-analytical model is proposed for non-relativistic Coulomb explosion of a uniformly charged spheroid. This model allows us to derive the time-dependent particle energy distributions. Simple expressions are also given for the…
The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY L\'{e}vy process. This allows, for the approximation, exact computation of first passage times to barrier levels via Laplace transform…
Real time excitations in the broken symmetry phase of the classical Abelian Higgs model are investigated numerically in the unitary gauge. Spectral equations of state of its constituent quasi-particles are extracted. Characteristic…
Point vortex models are presented for the generalized Euler equations, which are characterized by a fractional Laplacian relation between the active scalar and the streamfunction. Special focus is given to the case of the surface…
We investigate extreme value statistics (EVS) of general discrete time and continuous space symmetric jump processes. We first show that for unbounded jump processes, the semi-infinite propagator $G_0(x,n)$, defined as the probability for a…
A heat kernel approach is proposed for the development of a general, flexible, and mathematically tractable asset pricing framework in finite time. The pricing kernel, giving rise to the price system in an incomplete market, is modelled by…
A significant fraction of supernovae show signatures of dense circumstellar material (CSM). While multiple scenarios for creating a dense CSM exist, mass eruption due to injection of energy at the base of the outer envelope is a likely…
We consider assets for which price $X_t$ and squared volatility $Y_t$ are jointly driven by Heston joint stochastic differential equations (SDEs). When the parameters of these SDEs are estimated from $N$ sub-sampled data $(X_{nT}, Y_{nT})$,…
In this paper we prove the existence of quasistatic evolutions for a cohesive fracture on a prescribed crack surface, in small-strain antiplane elasticity. The main feature of the model is that the density of the energy dissipated in the…
We introduce a Vasicek-type short rate model which has two additional parameters representing memory effect. This model presents better results in yield curve fitting than the classical Vasicek model. We derive closed-form expressions for…
We propose a general, very fast method to quickly approximate the solution of a parabolic Partial Differential Equation (PDEs) with explicit formulas. Our method also provides equaly fast approximations of the derivatives of the solution,…
This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geometric Brownian motion model in which the coefficients…
For settling the problem with rotating turbulence modelling, a quasi-dynamic one-equation subgrid-scale (SGS) model is proposed in this paper. Considering the key role of the joint cascade of kinetic energy and helicity in rotating…
Observations and theory suggest that core-collapse supernovae can span a range of explosion energies, and when sub-energetic, the shockwave initiating the explosion can decelerate to speeds comparable to the escape speed of the progenitor.…
We model the term structure of the forward default intensity and the default density by using L\'evy random fields, which allow us to consider the credit derivatives with an after-default recovery payment. As applications, we study the…
In energy markets, joint historical and implied calibration is of paramount importance for practitioners, yet notoriously challenging due to the need to align historical correlations of futures contracts with implied volatility smiles from…
Quasi-periodic eruptions (QPEs) are a recently discovered class of highly variable X-ray bursts originating in galactic nuclei. These high-amplitude bursts exhibit periodicity ranging from tens of minutes to several days. QPEs are also…
In this report, the temperature distribution in the critical state of hard superconductors is investigated in the quasi-stationary approximation. It is shown that the temperature profile can be essentially inhomogeneous in the sample, which…
We present a study of the short maturity asymptotics for Asian options in a jump-diffusion model with a local volatility component, where the jumps are modeled as a compound Poisson process. The analysis for out-of-the-money Asian options…