Related papers: Explicit no arbitrage domain for sub-SVIs via repa…
We numerically investigate the possibility of defining stabilization-free Virtual Element (VEM) discretizations of advection-diffusion problems in the advection-dominated regime. To this end, we consider a SUPG stabilized formulation of the…
We propose an affine extension of the Linear Gaussian term structure Model (LGM) such that the instantaneous covariation of the factors is given by an affine process on semidefinite positive matrices. First, we set up the model and present…
We find the precise growth of some invariant metrics near a point on the boundary of a domain where the Levi form has at least one negative eigenvalue. We also introduce a new invariant pseudometric which is convenient in this context, and…
The Support Vector Machine (SVM) is one of the most widely used classification methods. In this paper, we consider the soft-margin SVM used on data points with independent features, where the sample size $n$ and the feature dimension $p$…
In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied volatility agree algebraically, thus…
Radiance field methods (e.g. 3D Gaussian Splatting) have emerged as a powerful paradigm for novel view synthesis, yet their appearance modeling often relies on Spherical Harmonics (SH), which impose fundamental limitations. SH struggle with…
Spectral curve methods proved to be powerful techniques in the context of relativistic integrable string theories, since they allow to derive the semiclassical spectrum from the minimal knowledge of a Lax pair and a classical string…
Consider discrete time observations (X_{\ell\delta})_{1\leq \ell \leq n+1}$ of the process $X$ satisfying $dX_t= \sqrt{V_t} dB_t$, with $V_t$ a one-dimensional positive diffusion process independent of the Brownian motion $B$. For both the…
Segregated direct boundary-domain integral equations (BDIEs) based on a parametrix and associated with the Dirichlet and Neumann boundary value problems for the linear stationary diffusion partial differential equation with a variable…
Given a unirational parameterization of a surface, we present a general algorithm to determine a birational parameterization without using parameterization algorithms. Additionally, if the surface is assumed to have a birational…
This paper presents a PDE-based parameterisation framework for addressing the planar surface-to-volume (StV) problem of finding a valid description of the domain's interior given no more than a spline-based description of its boundary…
In this paper we want to exploit further the semi-discrete method appeared in Halidias and Stamatiou (2015). We are interested in the numerical solution of mean reverting CEV processes that appear in financial mathematics models and are…
We introduce a multivariate diffusion model that is able to price derivative securities featuring multiple underlying assets. Each asset volatility smile is modeled according to a density-mixture dynamical model while the same property…
We present a simple, numerically efficient but highly flexible non-parametric method to construct representations of option price surfaces which are both smooth and strictly arbitrage-free across time and strike. The method can be viewed as…
The paper demonstrates that a pure-diffusion 3/2 model is able to capture the observed upward-sloping implied volatility skew in VIX options. This observation contradicts a common perception in the literature that jumps are required for the…
Starting from the Akulov-Volkov (AV) action, we compute a finite-dimensional Lie group G of all field transformations of the form \lambda -> \lambda ' = \lambda + O(\lambda ^3) which preserve the functional structure of low-energy…
Spectral submanifolds (SSMs) have recently been shown to provide exact and unique reduced-order models for nonlinear unforced mechanical vibrations. Here we extend these results to periodically or quasiperiodically forced mechanical…
We provide explicit conditions on the distribution of risk-neutral log-returns which yield sharp asymptotic estimates on the implied volatility smile. We allow for a variety of asymptotic regimes, including both small maturity (with…
As its name suggests, sufficient dimension reduction (SDR) targets to estimate a subspace from data that contains all information sufficient to explain a dependent variable. Ample approaches exist to SDR, some of the most recent of which…
We propose a two-step framework for predicting the implied volatility surface over time without static arbitrage. In the first step, we select features to represent the surface and predict them over time. In the second step, we use the…