Related papers: Analytic Calibration in Andreasen-Huge SABR Model
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
In-play football forecasting models have struggled to match the accuracy of betting exchange prices, which aggregate information from many market participants. We close this gap by combining two extensions to a Weibull accelerated failure…
Our recent formulation of the analytic and variational Slater-Roothaan (SR) method, which uses Gaussian basis sets to variationally express the molecular orbitals, electron density and the one body effective potential of density functional…
SOFR derivatives market remains illiquid and incomplete so it is not amenable to classical risk-neutral term structure models which are based on the assumption of perfect liquidity and completeness. This paper develops a statistical SOFR…
We investigate the problem of pricing derivatives under a fractional stochastic volatility model. We obtain an approximate expression of the derivative price where the stochastic volatility can be composed of deterministic functions of time…
Analytic and numeric approximations are studied in detail for a hydrodynamic parameterization of single-particle spectra and two-particle correlation functions in high energy hadron-proton and heavy ion reactions. Two very different sets of…
Hawkes processes were first introduced to obtain microscopic models for the rough volatility observed in asset prices. Scaling limits of such processes leads to the rough-Heston model that describes the macroscopic behavior. Blanc et al.…
We study the three-dimensional two-band Anderson model of localization and compare our results to experimental results for amorphous metallic alloys (AMA). Using the transfer-matrix method, we identify and characterize the metal-insulator…
The novelty of the current work is precisely to propose a statistical procedure to combine estimates of the modal parameters provided by any set of Operational Modal Analysis (OMA) algorithms so as to avoid preference for a particular one…
Analytical complexity of quantum wavefunction whose argument is extended into the complex plane provides an important information about the potentiality of manifesting complex quantum dynamics such as time-irreversibility, dissipation and…
Radiotherapy is sensitive to executional and preparational uncertainties that propagate to uncertainty in dose and plan quality indicators like dose-volume histograms (DVHs). Current approaches to quantify and mitigate such uncertainties…
We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions. We obtain…
A multi-factor extension of the Hobson and Rogers (HR) model, incorporating a quadratic variance function (QHR model), is proposed and analysed. The QHR model allows for greater flexibility in defining the moving average filter while…
We introduce a perturbative formalism to solve the backward-looking futures pricing problem. The formalism is based on a time-ordered exponential series which allows to derive the functional form of the integral kernel associated to the…
Any discussion on exchange rate movements and forecasting should include explanatory variables from both the current account and the capital account of the balance of payments. In this paper, we include such factors to forecast the value of…
We consider approximate pricing formulas for European options based on approximating the logarithmic return's density of the underlying by a linear combination of rescaled Hermite polynomials. The resulting models, that can be seen as…
Accelerated failure time (AFT) models are used widely in medical research, though to a much lesser extent than proportional hazards models. In an AFT model, the effect of covariates act to accelerate or decelerate the time to event of…
The accuracy of least squares calibration using option premiums and particle filtering of price data to find model parameters is determined. Derivative models using exponential L\'evy processes are calibrated using regularized weighted…
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic…
We present the results of several parametrizations to two different ensemble of data on $pp$ total cross sections $\sigma_{tot}^{pp}$ at the highest center-of-mass energies (including cosmic-ray information). The results are statistically…