Related papers: SABR smiles for RFR caplets
Upcoming radio interferometers are aiming to image the sky at new levels of resolution and sensitivity, with wide-band image cubes reaching close to the Petabyte scale for SKA. Modern proximal optimization algorithms have shown a potential…
Gulisashvili et al. [Quant. Finance, 2018, 18(10), 1753-1765] provide a small-time asymptotics for the mass at zero under the uncorrelated stochastic-alpha-beta-rho (SABR) model by approximating the integrated variance with a moment-matched…
A very simple closed-form formula for Sheppard's corrections is recovered by means of the classical umbral calculus. By means of this symbolic method, a more general closed-form formula for discrete parent distributions is provided and the…
The LIBOR rate is currently scheduled for discontinuation, and the replacement advocated by regulators in the US is the Secured Overnight Financing Rate (SOFR). The change has the potential to disrupt the $200 trillion market of derivatives…
We show that the radion in a warped geometry bounded by two branes can have a potential suitable for inflation. Our construction is based upon a solution known in string theory as the linear dilaton, in which the back-reaction from a bulk…
A wide array of image recovery problems can be abstracted into the problem of minimizing a sum of composite convex functions in a Hilbert space. To solve such problems, primal-dual proximal approaches have been developed which provide…
Interest rate market models, like the LIBOR market model, have the advantage that the basic model quantities are directly observable in financial markets. Inflation market models extend this approach to inflation markets, where zero-coupon…
Lightweight parabolic mirrors for solar concentrators have been fabricated using carbon fiber reinforced polymer (CFRP) and a nanometer scale optical surface smoothing technique. The smoothing technique improved the surface roughness of the…
We reconsider the valuation of barrier options by means of binomial trees from a "forward looking" prospective rather than the more conventional "backward induction" one used by standard approaches. This reformulation allows us to write…
The aim of this work is to provide fast and accurate approximation schemes for the Monte-Carlo pricing of derivatives in the L\'evy LIBOR model of Eberlein and \"Ozkan (2005). Standard methods can be applied to solve the stochastic…
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discontinuous- semimartingale. A uniqueness…
We use the method of group contractions to relate wavelets analysis and Gabor analysis. Wavelets analysis is associated with unitary irreducible representations of the affine group while Gabor analysis is associated with unitary irreducible…
In the plane, we study the transform $R_\gamma f$ of integrating a unknown function $f$ over circles centered at a given curve $\gamma$. This is a simplified model of SAR, when the radar is not directed but has other applications, like…
Drawing insights from the triumph of relativistic over classical mechanics when velocities approach the speed of light, we explore a similar improvement to the seminal Black-Scholes (Black and Scholes (1973)) option pricing formula by…
Evaluating open-ended long-form generation is challenging because it is hard to define what clearly separates good from bad outputs. Existing methods often miss key aspects like coherence, style, or relevance, or are biased by pretraining…
We study the generalized forward-reflected-backward (GFRB) method, an extension of the forward-reflected-backward (FRB) scheme due to Malitsky and Tam, for solving monotone inclusion problems in real Hilbert spaces. We first analyze GFRB…
In the papers Carmona and Durrleman [7] and Bjerksund and Stensland [1], closed form approximations for spread call option prices were studied under the log normal models. In this paper, we give an alternative closed form formula for the…
We characterize the extendibility of the normal curvature on frontals and we give a representation formula of this type of frontals. Also we give representation formulas for wavefronts on all types of singularities and others sub classes of…
In real-world scenarios, many factors may harm face recognition performance, e.g., large pose, bad illumination,low resolution, blur and noise. To address these challenges, previous efforts usually first restore the low-quality faces to…
Graph-based semi-supervised regression (SSR) is the problem of estimating the value of a function on a weighted graph from its values (labels) on a small subset of the vertices. This paper is concerned with the consistency of SSR in the…