Related papers: On the valuation of arithmetic-average Asian optio…
In this paper, we consider the relation between the simplest types of arithmetic theta series, those associated to the cycles on the moduli space $\Cal C$ of elliptic curves with CM by the ring of integers $\OK$ in an imaginary quadratic…
This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process $ S=(S_{t})_{t\geq0} $ is given by \[…
Various moments of the hadronic spectral functions have been employed in the determination of the strong coupling alpha_s from tau decays. In this work we study the behaviour of their perturbative series under different assumptions for the…
Using Maple, we compute some analytical solutions of a modified Black-Scholes equation, recently proposed, in the case of the European put option. We show that the modified Black-Scholes equation with the European put option is exactly…
We describe algorithms to compute elliptic functions and their relatives (Jacobi theta functions, modular forms, elliptic integrals, and the arithmetic-geometric mean) numerically to arbitrary precision with rigorous error bounds for…
A fundamental question in random matrix theory is to quantify the optimal rate of convergence to universal laws. We take up this problem for the Laguerre $\beta$ ensemble, characterised by the Dyson parameter $\beta$, and the Laguerre…
Machine learning algorithms are commonly specified in linear algebra (LA). LA expressions can be rewritten into more efficient forms, by taking advantage of input properties such as sparsity, as well as program properties such as common…
An elementary approach for computing the values at negative integers of the Riemann zeta function is presented. The approach is based on a new method for ordering the integers and a new method for summation of divergent series. We show that…
Matrix valued Laguerre polynomials are introduced via a matrix weight function involving several degrees of freedom using the matrix nature. Under suitable conditions on the parameters the matrix weight function satisfies matrix Pearson…
In this paper, a rapid and high accurate numerical method for pricing discrete single and double barrier knock-out call options is presented. According to the well-known Black-Scholes framework, the price of option in each monitoring date…
We introduce an algorithm for the pricing of finite expiry American options driven by L\'evy processes. The idea is to tweak Carr's `Canadisation' method, cf. Carr [9] (see also Bouchard et al [5]), in such a way that the adjusted algorithm…
We introduce a 'grading switching' for arbitrary nonassociative algebras of prime characteristic p, aimed at producing a new grading of an algebra from a given one. We take inspiration from a fundamental tool in the classification theory of…
The calibration of a local volatility models to a given set of option prices is a classical problem of mathematical finance. It was considered in multiple papers where various solutions were proposed. In this paper an extension of the…
In this paper the Buchen's pricing formulae of (higher order) asset and bond binary options are incorporated into the pricing formula of power binary options and a pricing formula of "the normal distribution standard options" with the…
Geometric Asian options are a type of options where the payoff depends on the geometric mean of the underlying asset over a certain period of time. This paper is concerned with the pricing of such options for the class of Volterra-Heston…
Option pricing models, essential in financial mathematics and risk management, have been extensively studied and recently advanced by AI methodologies. However, American option pricing remains challenging due to the complexity of…
In this Ph.D. thesis, written under the direction of D.B. Zagier and R.W. Bruggeman, we study the mock theta functions, that were introduced by Ramanujan. We show how they can be interpreted in the theory of (real-analytic) modular forms.…
We model the price of a stock via a Lang\'{e}vin equation with multi-dimensional fluctuations coupled in the price and in time. We generalize previous models in that we assume that the fluctuations conditioned on the time step are compound…
We explore order reduction techniques for solving the algebraic Riccati equation (ARE), and investigating the numerical solution of the linear-quadratic regulator problem (LQR). A classical approach is to build a surrogate low dimensional…
We construct $2^n+1$ solutions to the Yang-Baxter equation associated with the quantum affine algebras $U_q\big(A^{(1)}_{n-1}\big)$, $U_q\big(A^{(2)}_{2n}\big)$, $U_q\big(C^{(1)}_n\big)$ and $U_q\big(D^{(2)}_{n+1}\big)$. They act on the…