Related papers: High-frequency dynamics of the implied volatility …
Implied volatilities form a well-known structure of smile or surface which accommodates the Bachelier model and observed market prices of interest rate options. For the swaptions that we study, three parameters are taken into account for…
We give a construction of the Hawkes process as a piecewise competing risks model. We argue that the most natural interpretation of the self-excitation kernel is the hazard function of a defective random variable. This establishes a link…
We consider a population of $N$ interacting neurons, represented by a multivariate Hawkes process: the firing rate of each neuron depends on the history of the connected neurons. Contrary to the mean-field framework where the interaction…
Turbulent flow over a surface with streamwise-elongated rough and smooth stripes is studied by means of direct numerical simulation (DNS) in a periodic plane open channel with fully resolved roughness. The goal is to understand how the mean…
It is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model, like the Heston model (SVI method) or the SABR model (SABR…
We characterize a Hawkes point process with kernel proportional to the probability density function of Mittag-Leffler random variables. This kernel decays as a power law with exponent $\beta +1 \in (1,2]$. Several analytical results can be…
High-precision photometric observations have revealed ubiquitous stochastic low-frequency photometric variability in early type stars. It has been suggested that this variability arises due to either subsurface convection or internal…
This study investigates the short-term asymptotic behavior of the implied volatility surface (IVS), with a particular focus on the at-the-money (ATM) skew and curvature, which are key determinants of the IVS shape and whose are widely…
Several asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small-maturity regime), providing a better understanding of the shapes of the volatility surface…
We consider a numerical approach for a covariant generalised Navier-Stokes equation on general surfaces and study the influence of varying Gaussian curvature on anomalous vortex-network active turbulence. This regime is characterised by…
Spatial heteroskedasticity refers to stochastically changing variances and covariances in space. Such features have been observed in, for example, air pollution and vegetation data. We study how volatility modulated moving averages can…
Pattern dynamics on curved surfaces are ubiquitous. Although the effect of surface topography on pattern dynamics has gained much interest, there is a limited understanding of the roles of surface geometry and topology in pattern dynamics.…
The development of substrates with a switchable wettability is on a fast pace. The limit of switching frequencies and contact angle differences between substrate states are steadily pushed further. We investigate the behavior of a droplet…
Recent experiments by Kantsler et. al. (2007) have shown that the relaxational dynamics of a vesicle in external elongation flow is accompanied by the formation of wrinkles on a membrane. Motivated by these experiments we present a theory…
Turbulent kinetic energy (TKE) is a measure for unsteady loads and important regarding the design of e.g. propellers or energy-saving devices. While simulations are often done for a double-body, using a symmetry condition, experiments and…
The original investigation of Lamb (1932, {\S}349) for the effect of viscosity on monochromatic surface waves is extended to account for second-order Stokes surface waves on deep water in the presence of surface tension. This extension is…
In horizontally shaken granular material different types of pattern formation have been reported. We want to deal with the convection instability which has been observed in experiments and which recently has been investigated numerically.…
The multivariate Hawkes process is a past-dependent point process used to model the relationship of event occurrences between different phenomena.Although the Hawkes process was originally introduced to describe excitation effects, which…
A simple generalization of the Swift-Hohenberg equation is proposed as a model for the pattern-forming dynamics of a two-dimensional field with two unstable length scales. The equation is used to study the dynamics of surface waves in a…
The mechanisms governing the low-frequency unsteadiness in the shock wave/turbulent boundary layer interaction at Mach 2 are considered. The investigation is conducted based on the numerical database issued from large-eddy simulations…