Related papers: Smiles in delta
Let $\alpha$ and $\beta$ be two Furstenberg transformations on 2-torus associated with irrational numbers $\theta_1,$ $\theta_2,$ integers $d_1, d_2$ and Lipschitz functions $f_1$ and $f_2.$ We show that $\alpha$ and $\beta$ are…
Many algorithms for determining properties of real algebraic or semi-algebraic sets rely upon the ability to compute smooth points. Existing methods to compute smooth points on semi-algebraic sets use symbolic quantifier elimination tools.…
The article deals with the class ${\mathcal F}_{\alpha }$ consisting of non-vanishing functions $f$ that are analytic and univalent in $\ID$ such that the complement $\IC\backslash f(\ID) $ is a convex set, $f(1)=\infty ,$ $f(0)=1$ and the…
Known holographic dictionaries, especially AdS/CFT, rely on symmetry matching between the bulk and the boundary. We take a step toward a holographic dictionary with no symmetry requirement and without assuming the geometry being…
We revisit open string mirror symmetry for the elliptic curve, using matrix factorizations for describing D-branes on the B-model side. We show how flat coordinates can be intrinsically defined in the Landau-Ginzburg model, and derive the…
The values at positive integers of the polyzeta functions are solutions of the polynomial equations arising from Drinfeld's associators, which have numerous applications in quantum algebra. Considered as iterated integrals they become…
Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L. Borland (Quantitative Finance, {\bf 2}, 415-431, 2002) to include…
It is known the Girsanov exponent $\mathfrak{z}_t$, being solution of Doleans-Dade equation $ \mathfrak{z_t}=1+\int_0^t\alpha(\omega,s)dB_s $ generated by Brownian motion $B_t$ and a random process $\alpha(\omega,t)$ with…
We analyze the performance of a class of manifold-learning algorithms that find their output by minimizing a quadratic form under some normalization constraints. This class consists of Locally Linear Embedding (LLE), Laplacian Eigenmap,…
We introduce a framework to study the random entire function $\zeta_\beta$ whose zeros are given by the Sine$_\beta$ process, the bulk limit of beta ensembles. We present several equivalent characterizations, including an explicit power…
We consider infinitely dimensional classes of functions and instead of the relative error setting, which was used in previous papers on the integral norm discretization, we consider the absolute error setting. We demonstrate how known…
Using a simple solvable model, i.e., Higgs--Yukawa system with an infinite number of flavors, we explicitly demonstrate how a dimensional continuation of the $\beta$ function in two dimensional MS scheme {\it fails\/} to reproduce the…
Debiased machine learning (DML) offers an attractive way to estimate treatment effects in observational settings, where identification of causal parameters requires a conditional independence or unconfoundedness assumption, since it allows…
In this paper, we construct a fully on-shell solution space for three-dimensional Einstein's gravity in asymptotically flat spacetimes using a finite coordinate transformation. This space is parametrized by four unconstrained…
Symmetry problems in harmonic analysis are formulated and solved. One of these problems is equivalent to the refined Schiffer's conjecture which was recently proved by the author. Let $k=const>0$ be fixed, $S^2$ be the unit sphere in…
An interacting Black-Scholes model for option pricing, where the usual constant interest rate r is replaced by a stochastic time dependent rate r(t) of the form r(t)=r+f(t) dW/dt, accounting for market imperfections and prices…
Discounting the influence of future events is a key paradigm in economics and it is widely used in computer-science models, such as games, Markov decision processes (MDPs), reinforcement learning, and automata. While a single game or MDP…
We analyze models of spin glasses on the two-dimensional square lattice by exploiting symmetry arguments. The replicated partition functions of the Ising and related spin glasses are shown to have many remarkable symmetry properties as…
A version of indifference valuation of a European call option is proposed that includes statistical regularities of nonstochastic randomness. Classical relations (forward contract value and Black-Scholes formula) are obtained as particular…
We show that in the decoupling limit of an F-theory compactification, the internal directions of the seven-branes must wrap a non-commutative four-cycle S. We introduce a general method for obtaining fuzzy geometric spaces via toric…