相关论文: Smile Asymptotics II: Models with Known Moment Gen…

We consider a new approach in the definition of two-dimensional heavy-tailed distributions. Namely, we introduce the classes of two-dimensional long-tailed, of twodimensional dominatedly varying and of two-dimensional consistently varying…

We derive the tail inequalities between two random variables starting from inequalities between its moment, or more generally between its Lebesgue-Riesz norms, which holds true on certain sets of parameters. We consider some applications…

Let F be a distribution function with negative mean and regularly varying right tail. Under a mild smoothness condition we derive higher order asymptotic expansions for the tail distribution of the maxima of the random walk generated by F.…

We propose a refined version of the existing conjectural asymptotic formula for the moments of the family of quadratic Dirichlet L-functions over rational function fields. Our prediction is motivated by two natural conjectures that provide…

We derive subexponential tail asymptotics for the distribution of the maximum of a compound renewal process with linear component and of a L\'evy process, both with negative drift, over random time horizon $\tau$ that does not depend on the…

In this paper we study the short-time behavior of the at-the-money implied volatility for European and arithmetic Asian call options with fixed strike price. The asset price is assumed to follow the Bachelier model with a general stochastic…

Multivariate regular variation plays a role assessing tail risk in diverse applications such as finance, telecommunications, insurance and environmental science. The classical theory, being based on an asymptotic model, sometimes leads to…

The large variety of functions encountered in nonparametric statistics, calls for methods that are flexible enough to achieve optimal or near-optimal performance over a wide variety of functional classes, such as Besov balls, as well as…

Outer measures can be used for statistical inference in place of probability measures to bring flexibility in terms of model specification. The corresponding statistical procedures such as Bayesian inference, estimators or hypothesis…

We consider a stochastic volatility model with L\'evy jumps for a log-return process $Z=(Z_{t})_{t\geq 0}$ of the form $Z=U+X$, where $U=(U_{t})_{t\geq 0}$ is a classical stochastic volatility process and $X=(X_{t})_{t\geq 0}$ is an…

We provide general conditions ensuring that the value functions of some nonlinear stopping problems with finite horizon converge to the value functions of the corresponding problems with infinite horizon. Our result can be formulated as…

We develop a new probabilistic and geometric method to obtain several sharp results pertaining to the upper tail behavior of continuum Gibbs measures on infinite ensembles of random continuous curves, also known as line ensembles,…

We find the logarithmic $L_2$-small ball asymptotics for a class of zero mean Gaussian fields with covariances having the structure of "tensor product". The main condition imposed on marginal covariances is slow growth at the origin of…

The global stability of laminar axisymmetric low-density jets is investigated in the low Mach number approximation. The linear modal dynamics is found to be characterised by two features: a stable arc branch of eigenmodes and an isolated…

We consider a stochastic volatility asset price model in which the volatility is the absolute value of a continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting a Karhunen-Lo\`{e}ve expansion for the…

The main purpose of this chapter is to present some theoretical aspects of parametric estimation of L\'evy processes based on high-frequency sampling, with a focus on infinite activity pure-jump models. Asymptotics for several classes of…

We propose a non-parametric extension with leverage functions to the Andersen commodity curve model. We calibrate this model to market data for WTI and NG including option skew at the standard maturities. While the model can be calibrated…

We study when, where, and why 978 Holocaust survivors smile in video testimonies. We create an automatic smile detection model from facial features with an F1 of 85% and annotate detected smiles under two established taxonomies of smiling.…

The signature of a path \gamma is a sequence whose n-th term is the order-n iterated integrals of \gamma. It arises from solving multidimensional linear differential equations driven by \gamma. We are interested in relating the path…

Language models are increasingly capable and are being rapidly deployed on a population-level scale. As a result, the safety of these models is increasingly high-stakes. Fortunately, advances in alignment have significantly reduced the…