Related papers: Smile asymptotics for Bachelier implied volatility
We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock market returns exhibit multi-fractal…
Options with maturities below one week, hereafter "ultra-short-term" options, have seen a sharp increase in trading activity in recent years. Yet, these instruments are difficult to price jointly using classical pricing models due to the…
We obtain an asymptotic expansion for the tails of the random variable $\tcal=\arg\max_{u\in\mathbb{R}}(\mathcal{A}_2(u)-u^2)$ where $\mathcal{A}_2$ is the Airy$_2$ process. Using the formula of Schehr \cite{Sch} that connects the density…
We investigate the data-driven discovery of parametric representations for implied volatility slices. Using symbolic regression, we search for simple analytic formulas that approximate the total implied variance as a function of…
We consider a two dimensional reflecting random walk on the nonnegative integer quadrant. This random walk is assumed to be skip free in the direction to the boundary of the quadrant, but may have unbounded jumps in the opposite direction,…
In this paper we derive the tail asymptotics of the product of two dependent Weibull-type risks, which is of interest in various statistical and applied probability problems. Our results extend some recent findings of Schlueter and Fischer…
First, we show that implied normal volatility is intimately linked with the incomplete Gamma function. Then, we deduce an expansion on implied normal volatility in terms of the time-value of a European call option. Then, we formulate an…
We analyze the left-tail asymptotics of deformed Tracy-Widom distribution functions describing the fluctuations of the largest eigenvalue in invariant random matrix ensembles after removing each soft edge eigenvalue independently with…
Fukasawa introduced in [Fukasawa, Math Financ, 2012] two necessary conditions for no butterfly arbitrage which require that the $d_1$ and $d_2$ functions of the Black-Scholes formula have to be decreasing. In this article we characterize…
In this paper, we study the asymptotic behavior of the sum of twisted traces of self-dual or conjugate self-dual discrete automorphic representations of $\mathrm{GL}_n$ for the level aspect of principal congruence subgroups under some…
In this paper, we examine two problems on applied probability, which are directly connected with the dependence in presence of heavy tails. The first problem, is related to max-sum equivalence of the randomly weighted sums in bi-variate set…
In this paper we study the small noise asymptotic expansions for certain classes of local volatility models arising in finance. We provide explicit expressions for the involved coefficients as well as accurate estimates on the remainders.…
We show that assuming that the returns are independent when conditioned on the value of their variance (volatility), which itself varies in time randomly, then the distribution of returns is well described by the statistics of the sum of…
We derive an asymptotic expansion for the distribution of a compound sum of independent random variables, all having the same light-tailed subexponential distribution. The examples of a Poisson and geometric number of summands serve as an…
In this paper we first provide several conditional limit theorems for L\'evy processes with negative drift and regularly varying tail. Then we apply them to study the asymptotic behavior of expectations of some exponential functionals of…
We give a new proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we clarify the question of existence of 'forward implied variance' in the original…
We examine a distributional fixed-point equation related to a multi-type branching process that is key in the cluster sizes analysis of multivariate heavy-tailed Hawkes processes. Specifically, we explore the tail behavior of its solution…
In the paper, we investigate the asymptotic behaviors of the randomly weighted sums with upper tail asymptotically independent increments under new conditions without requiring moment assumptions on random weights.An application of the…
We study the asymptotic behavior of the marginal expected shortfall when the two random variables are asymptotic independent but positive associated, which is modeled by the so-called tail dependent coefficient. We construct an estimator of…
If the Euclidean norm is strongly concentrated with respect to a measure, the average distribution of an average marginal of this measure has Gaussian asymptotics that captures tail behaviour. If the marginals of the measure have…