Related papers: Smiles in delta
We prove uniform versions of two classical results in analytic number theory. The first is an asymptotic for the number of points of a complete lattice $\Lambda \subseteq \mathbb{R}^d$ inside the $d$-sphere of radius $R$. In contrast to…
We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European…
We present a proof of embedded desingularization for closed subschemes which does not make use of Hilbert-Samuel function and avoids Hironaka's notion of normal flatness. This proof, already sketched in [A course on constructive…
We investigate when plane-wave memory admits standard outgoing free data beyond the idealized sandwich-wave approximation. For a Brinkmann plane wave with profile $A(U)$, the commonly used condition $A(U)|_{U\to\infty}=0$ is not sufficient…
For a Belyi function $\beta:\mathbb C\mathbb P^1\rightarrow \mathbb C\mathbb P^1$ ramified only over the points $-1,1,\infty$, a corresponding ``dessin d'enfant'' $\mathcal D_{\beta}$ is defined as the set $\beta^{-1}([-1,1])$ considered as…
We focus on the classification of positive solutions to $(-\Delta)^s u=\frac{x_n^{\alpha}}{u^\gamma}$ in the half space with $\gamma>0$, subject to the Dirichlet condition. We show that when $-2s<\alpha<(\gamma-1)s$, all positive solutions…
We study absolute zeta functions from the view point of a canonical normalization. We introduce the absolute Hurwitz zeta function for the normalization. In particular, we show that the theory of multiple gamma and sine functions gives good…
A motivating question in this paper is whether a sensible investment strategy may systematically contain long positions in out-of-the-money European calls with short expiry. Here we consider a very simple trading strategy for calls. The…
Families of DFAs (FDFAs) are a computational model recognizing $\omega$-regular languages. They were introduced in the quest of finding a Myhill-Nerode theorem for $\omega$-regular languages, and obtaining learning algorithms. FDFAs have…
In string theory it is known that abelian isometries in the sigma model lead to target space duality. We generalize this duality to backgrounds with non--abelian isometries. The procedure we follow consists of gauging the isometries of the…
One can build an operatorial model for freeness by considering either the right-handed or the left-handed representation of algebras of operators acting on the free product of the underlying pointed Hilbert spaces. Considering both at the…
We present a Hilbert space geometric approach to the problem of characterizing the positive bivariate trigonometric polynomials that can be represented as the square of a two variable polynomial possessing a certain stability requirement,…
We consider a stochastic volatility model which captures relevant stylized facts of financial series, including the multi-scaling of moments. The volatility evolves according to a generalized Ornstein-Uhlenbeck processes with super-linear…
We give a necessary and sufficient smoothness condition for the scheme parameterizing the n-dimensional representations of a finitely generated associative algebra over an algebraically closed field of characteristic zero. In particular,…
We argue that there exists a new class of completely smooth 1/8-BPS, three-charge bound state configurations that depend upon arbitrary functions of two variables. These configurations are locally 1/2-BPS objects in that if they form an…
We study the shapes of the implied volatility when the underlying distribution has an atom at zero and analyse the impact of a mass at zero on at-the-money implied volatility and the overall level of the smile. We further show that the…
We study the point of transition between complete and incomplete financial models thanks to Dirichlet Forms methods. We apply recent techniques, developped by Bouleau, to hedging procedures in order to perturbate parameters and stochastic…
We study the biharmonic equation $\Delta^2 u =u^{-\alpha}$, $0<\alpha<1$, in a smooth and bounded domain $\Omega\subset\RR^n$, $n\geq 2$, subject to Dirichlet boundary conditions. Under some suitable assumptions on $\o$ related to the…
A new theory for pricing options of a stock is presented. It is based on the assumption that while successive variations in return are uncorrelated, the frequency with which a stock is traded depends on the value of the return. The solution…
For discrete spectrum of 1D second-order differential/difference operators (with or without potential (killing), with the maximal/minimal domain), a pair of unified dual criteria are presented in terms of two explicit measures and the…