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This paper investigates the second order asymptotic expansion for tail probabilities of discounted aggregate claims in continuous-time renewal risk models with constant interest force. Concretely, two types of continuous-time renewal risk…
The properties of the high energy behavior of the scattering amplitude of massive, neutral and spinless particles in higher dimensional field theories are investigated. The axiomatic formulation of Lehmann, Symanzik and Zimmermann is…
Recent progress in the study of the contact process [2] has verified that the extinction-survival threshold $\lambda_1$ on a Galton-Watson tree is strictly positive if and only if the offspring distribution $\xi$ has an exponential tail. In…
This paper investigates short-term behaviors of implied volatility of derivatives written on indexes in equity markets when the index processes are constructed by using a ranking procedure. Even in simple market settings where stock prices…
We calculate exponential growth constants describing the asymptotic behavior of several quantities enumerating classes of orientations of arrow variables on the bonds of several types of directed lattice strip graphs $G$ of finite width and…
Continuous cellular automata (CCAs) have evolved from discrete lookup tables to continuous partial differential equation (PDE) formulations in the search for novel forms of complexity. Despite innovations in qualitative behavior, analytical…
We consider the class of self-similar Gaussian stochastic volatility models, and compute the small-time (near-maturity) asymptotics for the corresponding asset price density, the call and put pricing functions, and the implied volatilities.…
We characterize the small-time asymptotic behavior of the exit probability of a L\'evy process out of a two-sided interval and of the law of its overshoot, conditionally on the terminal value of the process. The asymptotic expansions are…
In this article we extend B. Simon's construction and results for leading order eigenvalue asymptotics to $n$-dimensional Schr\"odinger operators with non-confining potentials given by: $H^\alpha_n=-\Delta +\prod\limits_{i=1}^n…
The asymptotic behavior of the implied volatility associated with a general call pricing function has been extensively studied in the last decade. The main topics discussed in this paper are Lee's moment formulas for the implied volatility,…
ATMs enable the public to perform financial transactions. Banks try to strategically position their ATMs in order to maximize transactions and revenue. In this paper, we introduce a model which provides a score to an ATM location, which…
We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model extending the decomposition obtained by E. Al\`os in [2] for the Heston model. We realize that a new term arises when the stock…
Slow roll reconstruction is derived from the Hamilton-Jacobi formulation of inflationary dynamics. It automatically includes information from sub-leading terms in slow roll, and facilitatesthe inclusion of priors based on the duration on…
In this paper we compute some of the higher order terms in the large-t asymptotic expansion of the Airy process two-point function, extending the previous work of Adler and van Moerbeke and Widom. We prove that it is possible to represent…
We develop a method to compute the slow-roll expansion for the Hubble parameter in inflationary models in a flat Friedmann-Lema\^itre-Robertson-Walker spacetime that is applicable to a wide class of potentials including monomial,…
We prove the strong consistency and the asymptotic normality of the maximum likelihood estimator of the parameters of a general conditionally heteroscedastic model with $\alpha$-stable innovations. Then, we relax the assumptions and only…
This study investigates the short-term asymptotic behavior of the implied volatility surface (IVS), with a particular focus on the at-the-money (ATM) skew and curvature, which are key determinants of the IVS shape and whose are widely…
In this article, we consider the small-time asymptotics of options on a \emph{Leveraged Exchange-Traded Fund} (LETF) when the underlying Exchange Traded Fund (ETF) exhibits both local volatility and jumps of either finite or infinite…
In this paper, we develop a new strategy aimed at obtaining high-order asymptotic models for transport equations with highly-oscillatory solutions. The technique relies upon recent developments averaging theory for ordinary differential…
In this paper a first order analytical system of difference equations is considered. For an asymptotically stable fixed point x0 of the system a gradual approximation of the domain of attraction DA is presented in the case when the matrix…