Related papers: Fourier-Laplace transforms in polynomial Ornstein-…
There are a number of situations where, when computing prices of financial derivatives using quasi-Monte Carlo (QMC), it turns out to be beneficial to apply an orthogonal transform to the standard normal input variables. Sometimes those…
Sudden changes in environmental conditions can lead to evolutionary shifts not only in the optimal trait value, but also in the diffusion variance under the Ornstein-Uhlenbeck (OU) model. While several methods have been developed to detect…
The accurate valuation of financial derivatives plays a pivotal role in the finance industry. Although closed formulas for pricing are available for certain models and option types, exemplified by the European Call and Put options in the…
We give two algebro-geometric inspired approaches to fast algorithms for Fourier transforms in algebraic signal processing theory based on polynomial algebras in several variables. One is based on module induction and one is based on a…
Volatility modelling has become a significant area of research within Financial Mathematics. Wiener process driven stochastic volatility models have become popular due their consistency with theoretical arguments and empirical observations.…
This paper is devoted to the study of general (Laurent) polynomial modifications of moment functionals on the unit circle, i.e., associated with hermitian Toeplitz matrices. We present a new approach which allows us to study polynomial…
We study Fourier and Laplace transforms for Fourier hyperfunctions with values in a complex locally convex Hausdorff space. Since any hyperfunction with values in a wide class of locally convex Hausdorff spaces can be extended to a Fourier…
Joint calibration to SPX and VIX market data is a delicate task that requires sophisticated modeling and incurs significant computational costs. The latter is especially true when pricing of volatility derivatives hinges on nested Monte…
We discuss approaches to computing eigenfunctions of the Ornstein--Uhlenbeck (OU) operator in more than two dimensions. While the spectrum of the OU operator and theoretical properties of its eigenfunctions have been well characterized in…
This paper examines the empirical failure of uncovered interest parity (UIP) and proposes a structural explanation based on a mean-reverting risk premium. We define a realized premium as the deviation between observed exchange rate returns…
This dissertation develops and justifies a novel method for deriving approximate formulas to estimate two parameters in stochastic volatility diffusion models with exponentially-affine characteristic functions and single- or two-factor…
In quantitative finance, modeling the volatility structure of underlying assets is vital to pricing options. Rough stochastic volatility models, such as the rough Bergomi model [Bayer, Friz, Gatheral, Quantitative Finance 16(6), 887-904,…
Two-way relationships between transformations and quadratic forms on Wiener spaces are investigated with the help of change of variables formulas on Wiener spaces. Further the evaluation of Laplace transforms of quadratic forms via Riccati…
The Perk--Schultz model may be expressed in terms of the solution of the Yang--Baxter equation associated with the fundamental representation of the untwisted affine extension of the general linear quantum superalgebra $U_q[sl(m|n)]$, with…
Using the shift-operator technique, a compact formula for the Fourier transform of a product of two Slater-type orbitals located on different atomic centers is derived. The result is valid for arbitrary quantum numbers and was found to be…
In this paper we consider a pairs trading financial market with the spread of risky assets defined by the Ornstein-Uhlenbeck (OU) process. We implement an optimal strategy for power utility functions for investment/consumption problem.…
We use the classical Fourier analysis to introduce analytic families of weighted differential operators on the unit sphere. These operators are polynomial functions of the usual Beltrami-Laplace operator. New inversion formulas are obtained…
A new transform-based approach is presented that can be used to solve mixed boundary value problems for Laplace's equation in non-convex and other planar domains, specifically the so-called Lipschitz domains. This work complements Crowdy…
The rBergomi model under the physical measure consists of modeling the log-variance as a truncated Brownian semi-stationary process. Then, a deterministic change of measure is applied. The rBergomi model is able to reproduce observed market…
Riemann's non-differentiable function is one of the most famous examples of continuous but nowhere differentiable functions, but it has also been shown to be relevant from a physical point of view. Indeed, it satisfies the Frisch-Parisi…