相关论文: On the valuation of arithmetic-average Asian optio…
The manuscript reviews Dirichlet Series of important multiplicative arithmetic functions. The aim is to represent these as products and ratios of Riemann zeta-functions, or, if that concise format is not found, to provide the leading…
Extracting implied information, like volatility and/or dividend, from observed option prices is a challenging task when dealing with American options, because of the computational costs needed to solve the corresponding mathematical problem…
Unrestricted mean-variance-skewness-kurtosis portfolio optimization can capture asymmetry and tail risk, but sample-moment formulations become computationally impractical when the asset universe is large: they produce dense nonconvex…
The Volterra series can be used to model a large subset of nonlinear, dynamic systems. A major drawback is the number of coefficients required model such systems. In order to reduce the number of required coefficients, Laguerre polynomials…
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log returns…
Elliptic functions are largely studied and standardized mathematical objects. The two usual approaches are due to Jacobi and Weierstrass. From a contour integral which allowed us to unify many summation formulae (Euler-MacLaurin, Poisson,…
This article introduces an algebra of functions in one variable $c$ defined by iterated integrals of two specific differential forms depending on $c$, where the product is the shuffle product. This algebra can be seen as a common…
This paper adresses the valuation of the Paris barrier options proposed by Yor, Jeanblanc-Picque, and Chesnay (Advances in Applied Probability, 29(1997), 165-184) using the Laplace transform approach. Based on suggestions by Pliska the…
We show that the meromorphic Jacobi form that counts the quarter-BPS states in N=4 string theories can be canonically decomposed as a sum of a mock Jacobi form and an Appell-Lerch sum. The quantum degeneracies of single-centered black holes…
Using properties of the Riemann zeta-function we propose two new large classes of evaluated series. Incidentally the first class represents integrals as generalized average on very nonuniform sequences. The second class contains inter alia…
In this paper, we obtain the existence, uniqueness and positivity of the solution to delayed stochastic differential equations with jumps. This equation is then applied to model the price movement of the risky asset in a financial market…
We present two new classes of orthogonal functions, log orthogonal functions (LOFs) and generalized log orthogonal functions (GLOFs), which are constructed by applying a $\log$ mapping to Laguerre polynomials. We develop basic approximation…
We conjecture a structure formula for the $\mathrm{SU}(r)$ Vafa-Witten partition function for surfaces with holomorphic 2-form. The conjecture is based on $S$-duality and a structure formula for the vertical contribution previously derived…
Laguerre spectral approximations play an important role in the development of efficient algorithms for problems in unbounded domains. In this paper, we present a comprehensive convergence rate analysis of Laguerre spectral approximations…
A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its…
Summation formulas, such as the Euler-Maclaurin expansion or Gregory's quadrature, have found many applications in mathematics, ranging from accelerating series, to evaluating fractional sums and analyzing asymptotics, among others. We show…
The purpose of this paper is to investigate the distribution of zeros of entire functions which can be represented as the Fourier transforms of certain admissible kernels. The principal results bring to light the intimate connection between…
A finite difference algorithm based on the integral Laguerre transform in time for solving a three-dimensional one-way wave equation is proposed. This allows achieving high accuracy of calculation results. In contrast to the Fourier method,…
We present closed analytical approximations for the pricing of basket options, also applicable to Asian options with discrete averaging under the Black-Scholes model with time-dependent parameters. The formulae are obtained by using a…
In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed…