Related papers: Higher-order ATM asymptotics for the CGMY model vi…

We derive normal approximation results for a class of stabilizing functionals of binomial or Poisson point process, that are not necessarily expressible as sums of certain score functions. Our approach is based on a flexible notion of the…

Dynamic pricing in high-dimensional markets poses fundamental challenges of scalability, uncertainty, and interpretability. Existing low-rank bandit formulations learn efficiently but rely on latent features that obscure how individual…

We develop series expansions in powers of $q^{-1}$ and $q^{-1/2}$ of solutions of the equation $\psi(z) = q$, where $\psi(z)$ is the Laplace exponent of a hyperexponential L\'{e}vy process. As a direct consequence we derive analytic…

We find an expression for the joint Laplace transform of the law of $(T_{[x,+\infty[},X_{T_{[x,+\infty[}})$ for a L\'evy process $X$, where $T_{[x,+\infty[}$ is the first hitting time of $[x,+\infty[$ by $X$. When $X$ is an $\alpha$-stable…

L\'evy processes are widely used in financial mathematics to model return data. Price processes are then defined as a corresponding geometric L\'evy process, implying the fact that returns are independent. In this paper we propose an…

In this paper we perform a global analysis of the constraints on the inflationary parameters in the presence of dynamical dark energy models from the current observations, including the three-year Wilkinson Microwave Anisotropy Probe…

Let $\Lambda$ be a lattice in ${\bf R}^d$ with positive co-volume. Among $\Lambda$-periodic $N$-point configurations, we consider the minimal renormalized Riesz $s$-energy $\mathcal{E}_{s,\Lambda}(N)$. While the dominant term in the…

We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion…

In this paper, we study the asymptotic behaviors of implied volatility of an affine jump-diffusion model. Let log stock price under risk-neutral measure follow an affine jump-diffusion model, we show that an explicit form of moment…

Let $G$ be a connected reductive group over the complex numbers and let $T\subset G$ be a maximal torus. For any $t\in T$ of finite order and any irreducible representation $V(\lambda)$ of $G$ of highest weight $\lambda$, we determine the…

The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY L\'{e}vy process. This allows, for the approximation, exact computation of first passage times to barrier levels via Laplace transform…

We contrast the transport properties (dc resistivity, Seebeck coefficient), optical conductivity, spectral functions, dynamical magnetic susceptibility, and the NMR $1/T_1$ spin-lattice relaxation rate of the repulsive and attractive…

Let $^{(r,s)}X_t$ be the L\'evy process $X_t$ with the $r$ largest jumps and $s$ smallest jumps up till time $t$ deleted and let $^{(r)}\tilde X_t$ be $X_t$ with the $r$ largest jumps in modulus up till time $t$ deleted. We show that…

We study a first passage time of a L\'evy process over a positive constant level. In the spectrally negative case we give conditions for absolutely continuity of the distributions of the first passage times. The tail asymptotics of their…

The subject of robust estimation in time series is widely discussed in literature. One of the approaches is to use GM-estimation. This method incorporates a broad class of nonparametric estimators which under suitable conditions includes…

We show that in a large class of stochastic volatility models with additional skew-functions (local-stochastic volatility models) the tails of the cumulative distribution of the log-returns behave as exp(-c|y|), where c is a positive…

The geometric L\'evy model (GLM) is a natural generalisation of the geometric Brownian motion model (GBM) used in the derivation of the Black-Scholes formula. The theory of such models simplifies considerably if one takes a pricing kernel…

We invert the Black-Scholes formula. We consider the cases low strike, large strike, short maturity and large maturity. We give explicitly the first 5 terms of the expansions. A method to compute all the terms by induction is also given. At…

When an explicit expression for a probability distribution function $F(x)$ can not be found, asymptotic properties of the tail probability function $\bar{F}(x)=1-F(x)$ are very valuable, since they provide approximations or bounds for…

We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Levy-type martingale subject to default. This class of models allows for local volatility, local default intensity, and a locally dependent…