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We investigate the pricing of financial options under the 2-hypergeometric stochastic volatility model. This is an analytically tractable model that reproduces the volatility smile and skew effects observed in empirical market data. Using a…
We study the gravitational perturbations of black holes in quadratic gravity, in which the Einstein-Hilbert term is supplemented by quadratic terms in the curvature tensor. In this class of theories, the Schwarzschild solution can coexist…
Vanna-Volga is a popular method for the interpolation/extrapolation of volatility smiles. The technique is widely used in the FX markets context, due to its ability to consistently construct the entire Lognormal smile using only three…
For a wide variety of quantum potentials, including the textbook `instanton' examples of the periodic cosine and symmetric double-well potentials, the perturbative data coming from fluctuations about the vacuum saddle encodes all…
The exact and semiclassical quantum mechanics of the elliptic billiard is investigated. The classical system is integrable and exhibits a separatrix, dividing the phasespace into regions of oscillatory and rotational motion. The classical…
Multi-asset option pricing under local- and stochastic-volatility models leads naturally to high-dimensional parabolic PDEs. We develop an end-to-end quantum PDE framework for European option pricing under local-volatility Black--Scholes…
We consider a generic market model with a single stock and with random volatility. We assume that there is a number of tradable options for that stock with different strike prices. The paper states the problem of finding a pricing rule that…
We reformulate the Chern-Simons modified gravity in the metric-affine formalism, by enlarging the Pontryagin density with homothetic curvature terms which restore projective invariance without spoiling topologicity. The latter is then…
Owing to its substantial implications for black hole spectroscopy, spectral instability has attracted considerable attention in the literature. While the emergence of such instability is attributed to the non-Hermitian nature of the…
A smooth curve in the real projective plane is hyperbolic if its ovals are maximally nested. By the Helton-Vinnikov Theorem, any such curve admits a definite symmetric determinantal representation. We use polynomial homotopy continuation to…
The quantum oscillator and Kepler-Coulomb problems in $d$-dimensional spaces with constant curvature are analyzed from several viewpoints. In a deformed supersymmetric framework, the corresponding nonlinear potentials are shown to exhibit a…
This paper is concerned with an inverse random potential problem for the Schr\"odinger equation. The random potential is assumed to be a generalized Gaussian random function, whose covariance operator is a classical pseudo-differential…
In the framework of classical scale invariance, we consider quadratic gravity in the Palatini formalism and investigate the inflationary predictions of the theory. Our model corresponds to a two-field scalar-tensor theory, that involves the…
We study the ability of variational approaches based on self-consistent mean-field and beyond-mean-field methods to reproduce exact energies and electromagnetic properties of the nuclei defined within the $sd$-shell valence space using the…
We consider rough stochastic volatility models where the variance process satisfies a stochastic Volterra equation with the fractional kernel, as in the rough Bergomi and the rough Heston model. In particular, the variance process is…
The action for a class of three-dimensional dilaton-gravity theories with a cosmological constant can be recast in a Brans-Dicke type action, with its free $\omega$ parameter. These theories have static spherically symmetric black holes.…
Stochastic volatility models based on Gaussian processes, like fractional Brownian motion, are able to reproduce important stylized facts of financial markets such as rich autocorrelation structures, persistence and roughness of sample…
We study the effective dynamics of the Schwarzschild black hole interior by introducing entropic deformations derived from generalized superstatistical entropies $S_{+}$ and $S_{-}$. The resulting modified Hamiltonians $\bar{H}_{\pm}$,…
A local perturbation theory for the spectral analysis of the Schr\"odinger operator with two periodic potentials whose periods are commensurable has been constructed. It has been shown that the perturbation of the periodic 1D Hamiltonian by…
With the aim to construct a dynamical model with quantum group symmetry, the $q$-deformed Schr\"odinger equation of the harmonic oscillator on the $N$-dimensional quantum Euclidian space is investigated. After reviewing the differential…