Related papers: A General Asymptotic Implied Volatility for Stocha…
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,…
The local volatility model is a widely used for pricing and hedging financial derivatives. While its main appeal is its capability of reproducing any given surface of observed option prices---it provides a perfect fit---the essential…
We consider classical $O(N)$ vector models in dimension three and higher and investigate the nature of the low-temperature expansions for their multipoint spin correlations. We prove that such expansions define asymptotic series, and derive…
We generalize several recent results concerning the asymptotic expansions of Bergman kernels to the framework of geometric quantization and establish an asymptotic symplectic identification property. More precisely, we study the asymptotic…
We analyze the asymptotic behaviour of the heat kernel defined by a stochastically perturbed geodesic flow on the cotangent bundle of a Riemannian manifold for small time and small diffusion parameter. This extends WKB-type methods to a…
For a given parametric probability model, we consider the risk of the maximum likelihood estimator with respect to $\alpha$-divergence, which includes the special cases of Kullback--Leibler divergence, the Hellinger distance and $\chi^2$…
We construct estimators for the parameters of a parabolic SPDE with one spatial dimension based on discrete observations of a solution in time and space on a bounded domain. We establish central limit theorems for a high-frequency…
We study the convergence properties of the short maturity expansion of option prices in the uncorrelated log-normal ($\beta=1$) SABR model. In this model the option time-value can be represented as an integral of the form $V(T) =…
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…
The existence of a full asymptotic expansion for the heat content asymptotics of an operator of Laplace type with classical Zaremba boundary conditions on a smooth manifold is established. The first three coefficients in this asymptotic…
This paper demonstrates the efficiency of using Edgeworth and Gram-Charlier expansions in the calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion (DD-SV-LMM). Our approach brings together two research…
We study averages of multiplicative eigenvalue statistics in ensembles of orthogonal Haar distributed matrices, which can alternatively be written as Toeplitz+Hankel determinants. We obtain new asymptotics for symbols with Fisher-Hartwig…
The structure of the asymptotic symmetry in the Poincar\'e gauge theory of gravity in 2d is clarified by using the Hamiltonian formalism. The improved form of the generator of the asymptotic symmetry is found for very general asymptotic…
We consider solutions of the $2\times 2$ matrix Hamiltonian of physical systems within the context of the asymptotic iteration method. Our technique is based on transformation of the associated Hamiltonian in the form of the first order…
We investigate a question of Cooper adjacent to the Virtual Haken Conjecture. Assuming certain conjectures in number theory, we show that there exist hyperbolic rational homology 3-spheres with arbitrarily large injectivity radius. These…
In this work we study the large-time behaviour of solutions of the Heat Equation in the hyperbolic space $\mathbb{H}^d$, providing precise speeds of convergence in $L^1$ and $L^\infty$ to their asymptotic profiles by means of an adaptation…
Regularized kernel methods such as, e.g., support vector machines and least-squares support vector regression constitute an important class of standard learning algorithms in machine learning. Theoretical investigations concerning…
We treat implied volatility surface (IVS) reconstruction as a learning problem guided by two principles. First, we adopt a meta-learning view that trains across trading days to learn a procedure that maps sparse option quotes to a full IVS…
This paper systematically studies the asymptotics of Humbert's bivariate confluent hypergeometric function $\Phi_1[a,b;c;x, y]$. Specifically, we establish explicit asymptotic expansions in five distinct regimes: (i) $x\to\infty$; (ii)…
In this master thesis, we give a new proof on the pointwise asymptotic expansion for Bergman kernel of a hermitian holomorphic line bundle on the points where the curvature of the line bundle is positive and satisfy local spectral gap…