Related papers: Explicit Caplet Implied Volatilities for Quadratic…
We formulate and analyze an inverse problem using derivatives prices to obtain an implied filtering density on volatility's hidden state. Stochastic volatility is the unobserved state in a hidden Markov model (HMM) and can be tracked using…
The representation of cloud processes in weather and climate models is crucial for their feedback on atmospheric flows. Since there is no general macroscopic theory of clouds, the parameterization of clouds in corresponding simulation…
Estimating the structures at high or low quantiles has become an important subject and attracted increasing attention across numerous fields. However, due to data sparsity at tails, it usually is a challenging task to obtain reliable…
This work develops the asymptotic properties (weak consistency and Gaussianity), in the high-frequency limit, of approximate maximum likelihood estimators for the spectral parameters of Gaussian and isotropic spherical random fields. The…
We consider a fictitious domain formulation for fluid-structure interaction problems based on a distributed Lagrange multiplier to couple the fluid and solid behaviors. How to deal with the coupling term is crucial since the construction of…
This paper describes a method for extracting rapidly varying, superimposed amplitude- and frequency-modulated signal components. The method is based upon the continuous wavelet transform (CWT) and uses a new wavelet which is a modification…
We amend and extend the Chiarella model of financial markets to deal with arbitrary long-term value drifts in a consistent way. This allows us to improve upon existing calibration schemes, opening the possibility of calibrating individual…
Recent experimental studies on the instability appearance of capillary jets have revealed the capabilities of linear spatiotemporal instability analysis to predict the parametrical map where steady jetting or dripping takes place. In this…
We derive a closed-form, analytical expression for the spectrum of long-wavelength density perturbations in inflationary models with two (or more) inflaton degrees of freedom that is valid in the slow-roll approximation. We illustrate…
We investigate invariant random fields on the sphere using a new type of spherical wavelets, called needlets. These are compactly supported in frequency and enjoy excellent localization properties in real space, with quasi-exponentially…
Implied volatilities form a well-known structure of smile or surface which accommodates the Bachelier model and observed market prices of interest rate options. For the swaptions that we study, three parameters are taken into account for…
We derive an asymptotic formula for entropy rate of a hidden Markov chain around a "weak Black Hole". We also discuss applications of the asymptotic formula to the asymptotic behaviors of certain channels.
Several asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small-maturity regime), providing a better understanding of the shapes of the volatility surface…
For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials…
We consider a microstructure model for a financial asset, allowing for price discreteness and for a diffusive behavior at large sampling scale. This model, introduced by Delattre and Jacod, consists in the observation at the high frequency…
We show a continuity result for the Weyl pseudometric on subshifts which are generated by model sets. This fact is then used for multiple constructions of subshifts that exhibit different behavior regarding entropy, amorphic complexity and…
In this paper we develop an asymptotic theory for steadily travelling gravity-capillary waves under the small-surface tension limit. In an accompanying work [Shelton et al. (2021), J. Fluid Mech., vol 922] it was demonstrated that solutions…
Assuming that a formal approximation of multiple waves has been obtained by matched asymptotic methods, we derive a {\em Spatial Shadowing lemma} to construct exact solutions near the formal approximation. In Part I, we consider a general…
In this short note, using our geometric method introduced in a previous paper \cite{phl} and initiated by \cite{ave}, we derive an asymptotic swaption implied volatility at the first-order for a general stochastic volatility Libor Market…
Extropy and its properties are explored to quantify the uncertainty. In this paper, we obtain alternative expressions for cumulative residual extropy and negative cumulative extropy. We obtain simple estimators of cumulative (residual)…