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We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual markets shows the power-law tail of the…
We perform a detailed numerical study of the conductance $G$ through one-dimensional (1D) tight-binding wires with on-site disorder. The random configurations of the on-site energies $\epsilon$ of the tight-binding Hamiltonian are…
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 propose a new method for the estimation of a semiparametric tempered stable L\'{e}vy model. The estimation procedure combines iteratively an approximate semiparametric method of moment estimator, Truncated Realized Quadratic Variations…
We show that the pre-factors of all terms of the one-dimensional Hubbard model correlation-function asymptotic expansions have an universal form, as the corresponding critical exponents. In addition to calculating such pre-factors, our…
The most recent data release from the Atacama Cosmology Telescope (ACT) reveals a larger value of the scalar spectral tilt $n_s$, ruling out a broad class of inflationary attractors. In this paper, we consider inflationary models including…
Local expansion exponents for nonequilibrium dynamical systems, described by partial differential equations, are introduced. These exponents show whether the system phase volume expands, contracts, or is conserved in time. The ways of…
In a recent article the authors obtained a formula which relates explicitly the tail of risk neutral returns with the wing behavior of the Black Scholes implied volatility smile. In situations where precise tail asymptotics are unknown but…
The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes,…
We introduce a class of short-rate models that exhibit a ``higher for longer'' phenomenon. Specifically, the short-rate is modeled as a general time-homogeneous one-factor Markov diffusion on a finite interval. The lower endpoint is assumed…
This paper discusses the valuation of credit default swaps, where default is announced when the reference asset price has gone below certain level from the last record maximum, also known as the high-water mark or drawdown. We assume that…
In this article densities (and their derivatives) of subordinators and inverse subordinators are considered. Under minor restrictions, generally milder than the existing in the literature, using a useful modification of the saddle point…
When a learning algorithm reshapes the data distribution it trains on, the long-run behavior depends on the joint evolution of the policy, the value estimate, and the data distribution. We study finite-state actor-critic mean dynamics on…
We present a three-lane exclusion process that exhibits the same universal fluctuation pattern as generic one-dimensional Hamiltonian dynamics with short-range interactions, viz., with two sound modes in the Kardar-Parisi-Zhang (KPZ)…
We obtain an asymptotic formula for the average value of the operator product expansion coefficients of any unitary, compact two dimensional CFT with $c>1$. This formula is valid when one or more of the operators has large dimension or --…
We consider a two-level system such as a two-level atom, interacting with a cavity field mode in the rotating wave approximation, when the atomic transition frequency or the field mode frequency is periodically driven in time. We show that…
This paper presents a derivation of the explicit price for the perpetual American put option time-capped by the first drawdown epoch beyond a predefined level. We consider the market in which an asset price is described by geometric L\'evy…
For $n$ equidistant observations of a L\'evy process at time distance $\Delta_n$ we consider the problem of testing hypotheses on the volatility, the jump measure and its Blumenthal-Getoor index in a non- or semiparametric manner.…
Trawl processes belong to the class of continuous-time, strictly stationary, infinitely divisible processes; they are defined as Levy bases evaluated over deterministic trawl sets. This article presents the first nonparametric estimator of…
The period-average rate in the low frequency limit for thermally activated escape with periodic driving is derived in a closed analytical form. We define the low frequency limit as the one where there is no essential dependence on frequency…