Related papers: Smiles in delta
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 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 examine the percolation model on $\mathbb{Z}^d$ by an approach involving lattice animals and their surface-area-to-volume ratio. For $\beta \in [0,2(d-1))$, let $f(\beta)$ be the asymptotic exponential rate in the number of edges of the…
We study classical solutions in the SU(2) Einstein-Yang-Mills-Higgs theory. The spherically symmetric ans\"atze for all fields are given and the equations of motion are derived as a system of ordinary differential equations. The asymptotics…
The equations of a planar elastica under pressure can be rewritten in a useful form by parametrising the variables in terms of the local orientation angle, $\theta$, instead of the arc length. This ``$\theta$-formulation'' lends itself to a…
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization schemes of which asymptotic conditional…
We consider risk-neutral returns and show how their tail asymptotics translate directly to asymptotics of the implied volatility smile, thereby sharpening Roger Lee's celebrated moment formula. The theory of regular variation provides the…
The eigenfunctions of the Laplacian are a natural basis of functions for many tasks in computational mathematics. On the circle and sphere, the eigenfunctions are given by complex periodic exponentials and spherical harmonics, respectively,…
In this work, we consider the proportion of smooth (free of large prime factors) values of a binary form $F(X_1,X_2)\in\Z[X_1,X_2]$. In a particular case, we give an asymptotic equivalent for this proportion which depends on $F$. This is…
A decidability proof for bisimulation equivalence of first-order grammars (finite sets of labelled rules for rewriting roots of first-order terms) is presented. The equivalence generalizes the DPDA (deterministic pushdown automata)…
We revisit the foundational Moment Formula proved by Roger Lee fifteen years ago. We show that when the underlying stock price martingale admits finite log-moments E[|log(S)|^q] for some positive q, the arbitrage-free growth in the left…
A detailed analysis of the stability of equilibriums and bifurcations of the two-dimensional autonomous competitive Lotka-Volterra dynamical system is performed. Necessary and sufficient conditions are determined for equilibriums (without…
This paper intends to give a mathematical explanation for results on the zeta-function of some families of varieties recently obtained in the context of Mirror Symmetry. In doing so, we obtain concrete and explicit examples for some results…
We are developing a framework for multiscale computation which enables models at a ``microscopic'' level of description, for example Lattice Boltzmann, Monte Carlo or Molecular Dynamics simulators, to perform modelling tasks at…
This paper introduces the study of occurrence of symmetries in binary differential equations (BDEs). These are implicit differential equations given by the zeros of a quadratic 1-form, $a(x,y)dy^2 + b(x,y)dxdy + c(x,y)dx^2 = 0,$ for $a, b,…
For stationary, homogeneous Markov processes (viz., L\'{e}vy processes, including Brownian motion) in dimension $d\geq 3$, we establish an exact formula for the average number of $(d-1)$-dimensional facets that can be defined by $d$ points…
Let $\alpha\in \mathbb{R}\setminus\mathbb{Q}$ and $\beta\in \mathbb{R}$ be given. Suppose that $a_1,\ldots,a_s$ are distinct positive integers that do not contain a reduced residue system modulo $p^2$ for any prime $p$. We prove that there…
Using the large deviation principle (LDP) for a re-scaled fractional Brownian motion $B^H_t$ where the rate function is defined via the reproducing kernel Hilbert space, we compute small-time asymptotics for a correlated fractional…
A criterion for the existence of a plane model with two non-smooth Galois points for algebraic curves is presented, which is a generalization of Fukasawa's criterion for two smooth Galois points. Owing to this generalized criterion,…
We address two mathematical aspects of the Bir\'o--N\'eda dynamical model, recently applied in the statistical analysis of several and varied complex phenomena. First, we show that a given implicit assumption ceases to be valid outside the…