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$\gamma_5$ is notoriously difficult to define in $D$ dimensions. The traditional BMHV scheme employs a non-anticommuting $\gamma_5$. Its key advantage is mathematical consistency and the existence of all-order proofs. Its disadvantage is…
We provide a simple explicit estimator for discretely observed Barndorff-Nielsen and Shephard models, prove rigorously consistency and asymptotic normality based on the single assumption that all moments of the stationary distribution of…
We present multiplicative updates for solving hard and soft margin support vector machines (SVM) with non-negative kernels. They follow as a natural extension of the updates for non-negative matrix factorization. No additional param- eter…
In this article we find explicit formulae for spherically symmetric solutions of the multidimensional zero-pressure gas dynamics system and its adhesion approximation. The asymptotic behaviour of the explicit solutions of the adhesion…
We carry out a rigorous analysis of four-dimensional variational data assimilation ($4D$-VAR) problems for linear and semilinear parabolic partial differential equations. Continuity of the state with respect to the spatial variable is…
The implied volatility surface (IVS) is a fundamental building block in computational finance. We provide a survey of methodologies for constructing such surfaces. We also discuss various topics which can influence the successful…
This article presents results of further investigation of the problem of spurious interface fragmentation in the multiphase SPH. In order to remove arising instabilities, many authors introduced the artificial interface correction…
We present a method for computing all the symmetries of a rational ruled surface defined by a rational parametrization which works directly in parametric rational form, i.e. without computing or making use of the implicit equation of the…
For a given symmetric association scheme $\mathcal{A}$ and its eigenspace $S_j$ there exists a mapping of vertices of $\mathcal{A}$ to unit vectors of $S_j$, known as the spherical representation of $\mathcal{A}$ in $S_j$, such that the…
The varying-coefficient model is an important nonparametric statistical model that allows us to examine how the effects of covariates vary with exposure variables. When the number of covariates is big, the issue of variable selection…
A major drawback of the Standard Heston model is that its implied volatility surface does not produce a steep enough smile when looking at short maturities. For that reason, we introduce the Stationary Heston model where we replace the…
The strong coupling regime of four-dimensional N=2 supersymmetric vacua of the heterotic string is analyzed from a dual domain wall perspective. Using modular invariance, we compute a closed form for the non-perturbative corrections to the…
Consistently fitting vanilla option surfaces is an important issue when it comes to modelling in finance. Local volatility models introduced by Dupire in 1994 are widely used to price and manage the risks of structured products. However,…
In this work we consider generic losses of rank for complex valued matrix functions depending on two parameters. We give theoretical results that characterize parameter regions where these losses of rank occur. Our main results consist in…
While Variational Inequality (VI) is a well-established mathematical framework that subsumes Nash equilibrium and saddle-point problems, less is known about its extension, Quasi-Variational Inequalities (QVI). QVI allows for cases where the…
We present an empirical study examining several claims related to option prices in rough volatility literature using SPX options data. Our results show that rough volatility models with the parameter $H \in (0,1/2)$ are inconsistent with…
A five-parameter fitting formula for the line-of-sight stellar velocity distributions of steady state systems is proposed. It can faithfully reproduce velocity distributions of theoretical models ranging from nearly Gaussian profiles to…
In affine term structure models the short rate is modelled as an affine transformation of a multi-dimensional square root process. Sufficient conditions to avoid negative volatility factors are the multivariate Feller conditions. We will…
We address the question of existence of nonconstant stable stationary solution to the heat equation on a class of convex domains subject to nonlinear boundary flux involving a positive parameter. Such solutions which were known to exist in…
We concentrate on inverse scattering transformation for the Sasa-Satsuma equation with $3\times 3$ matrix spectral and nonzero boundary condition in this article. To circumvent multi valuedness of eigenvalues, we introduce a suitable…