Related papers: A General Asymptotic Implied Volatility for Stocha…

For strictly entropic Riemann shock solutions of strictly hyperbolic systems of balance laws, we prove that exponential spectral stability implies large-time asymptotic orbital stability. As a preparation, we also prove similar results for…

We compute a sharp small-time estimate for the price of a basket call under a bi-variate SABR model with both $\beta$ parameters equal to $1$ and three correlation parameters, which extends the work of Bayer,Friz&Laurence [BFL14] for the…

We derive an implicit description of the image of a semialgebraic set under a birational map, provided that the denominators of the map are positive on the set. For statistical models which are globally rationally identifiable, this yields…

The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic expansion is around the Black-Scholes…

We extend the study of [7, 18] to stochastic target problems with general market impacts. Namely, we consider a general abstract model which can be associated to a fully nonlinear parabolic equation. Unlike [7, 18], the equation is not…

In this paper, we obtain asymptotic formulas with error estimates for the implied volatility associated with a European call pricing function. We show that these formulas imply Lee's moment formulas for the implied volatility and the…

We consider the asymptotic expansion of the functional series \[S_{\mu,\gamma}(a;\lambda)=\sum_{n=1}^\infty \frac{n^\gamma e^{-\lambda n^2/a^2}}{(n^2+a^2)^\mu}\] for real values of the parameters $\gamma$, $\lambda>0$ and $\mu\geq0$ as…

We consider the spherical integral of real symmetric or Hermitian matrices when the rank of one matrix is one. We prove the existence of the full asymptotic expansions of these spherical integrals and derive the first and the second term in…

We derived here in a systematic way, and for a large class of scaling regimes, asymptotic models for the propagation of internal waves at the interface between two layers of immiscible fluids of different densities, under the rigid lid…

We obtain asymptotic estimates for the $\ell^p$-operator norm of spherical averaging operators associated to certain geometric group actions. The motivating example is the case of Gromov hyperbolic groups, for which we obtain asymptotically…

We establish two-term spectral asymptotics for the operator of linear elasticity with mixed boundary conditions on a smooth compact Riemannian manifold of arbitrary dimension. We illustrate our results by explicit examples in dimension two…

We provide abstract, general and highly uniform rates of asymptotic regularity for a generalized stochastic Halpern-style iteration, which incorporates a second mapping in the style of a Krasnoselskii-Mann iteration. This iteration is…

In this paper we study random representations of fundamental groups of surfaces into special unitary groups. The random model we use is based on a symplectic form on moduli space due to Atiyah, Bott, and Goldman. Let $\Sigma_{g}$ denote a…

We study the heat kernel for a Laplace type partial differential operator acting on smooth sections of a complex vector bundle with the structure group $G\times U(1)$ over a Riemannian manifold $M$ without boundary. The total connection on…

We consider a class of assets whose risk-neutral pricing dynamics are described by an exponential L\'evy-type process subject to default. The class of processes we consider features locally-dependent drift, diffusion and default-intensity…

This article is the second of two in which we develop a geometric framework for analysing silent and anisotropic big bang singularities. In the present article, we record geometric conclusions obtained by combining the geometric framework…

For the calibration of the parameters in static and dynamic SABR stochastic volatility models, we propose the application of the GPU technology to the Simulated Annealing global optimization algorithm and to the Monte Carlo simulation. This…

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,…

By means of an updated renormalization method, we construct asymptotic expansions for unstable manifolds of hyperbolic fixed points in the double-well map and the dissipative H\'enon map, both of which exhibit the strong homoclinic chaos.…

We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently typical multi-dimensional FX vanilla markets, while retaining the (semi)-analytical tractability typical of affine models…