相关论文: Unifying the BGM and SABR Models: A short Ride in …

The variety of consistent "gauging" deformations of supergravity theories in four dimensions depends on the choice of Lagrangian formulation. One important goal is to get the most general deformations without making hidden assumptions.…

We embed the supersymmetric standard model of hybrid inflation based on the next-to-minimal superpotential term $\lambda NH_uH_d$ supplemented by an inflaton term $\kappa \phi N^2$, into an extra-dimensional framework, in which all the…

We formulate a forward inflation index model with multi-factor volatility structure featuring a parametric form that allows calibration to correlations between indices of different tenors observed in the market. Assuming the nominal…

The Harper map is one of the simplest chaotic systems exhibiting reconnection of invariant manifolds. The method of asymptotics beyond all orders (ABAO) is used to construct unstable/stable manifolds of the Harper map. By enlarging the…

In this paper, we study a family of stochastic volatility processes; this family features a mean reversion term for the volatility and a double CEV-like exponent that generalizes SABR and Heston's models. We derive approximated closed form…

We consider N=2 supergravity in four dimensions, coupled to an arbitrary number of vector- and hypermultiplets, where abelian isometries of the quaternionic hyperscalar target manifold are gauged. Using a static and spherically or…

We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates are non-negative, and the basic requirement from mathematical…

We are interested in evolution phenomena on star-like networks composed of several branches which vary considerably in physical properties. The initial boundary value problem for singularly perturbed hyperbolic differential equation on a…

We investigate the pricing of financial options under the 2-hypergeometric stochastic volatility model. This is an analytically tractable model that reproduces the volatility smile and skew effects observed in empirical market data. Using a…

In calculations of the elementary scalar spectra of spontaneously broken gauge theories there is a number of subtleties which, though often unnecessary to deal with in the order-of-magnitude type of calculations, have to be taken into…

We develop generalized no-scale supergravity models of inflation, and then study the corresponding cosmological predictions as well as the formation of primordial black holes (PBHs) and scalar-induced gravitational waves (SIGWs). With a new…

We analyze a generalized framework of smooth F-term hybrid inflation (smFHI) consistent with gauge coupling unification within the Minimal Supersymmetric Standard Model (MSSM). The embedding of the model in two specific Supergravity…

HYGARCH model is basically used to model long-range dependence in volatility. We propose Markov switch smooth-transition HYGARCH model, where the volatility in each state is a time-dependent convex combination of GARCH and FIGARCH. This…

We propose to study a smooth variant of the $\mu$-hybrid inflation model and a non-minimal Higgs model of inflation with quartic non-minimal coupling between the Higgs field and gravity within the context of a realistic GUT gauge group…

In the first part of the paper we introduce some geometric tools needed to describe slow-fast Hamiltonian systems on smooth manifolds. We start with a smooth Poisson bundle $p: M\to B$ of a regular (i.e. of constant rank) Poisson manifold…

The evolution equations of Einstein's theory and of Maxwell's theory---the latter used as a simple model to illustrate the former--- are written in gauge covariant first order symmetric hyperbolic form with only physically natural…

We study Gabor frames in the case when the window function is of hyperbolic secant type, i.e., $g(x) = (e^{ax}+e^{-bx})^{-1}$, ${\rm Re}\,a, {\rm Re}\,b>0$. A criterion for half-irregular sampling is obtained: for a separated…

A simple method is proposed to estimate the instantaneous correlations between state variables in a hybrid system from the empirical correlations between observable market quantities such as spot rate, stock price and implied volatility.…

A variant of hybrid inflation which is applicable in a wide class of supersymmetric grand unified models and reproduces the observed temperature perturbations of cosmic background radiation with natural values of the parameters is…

We study the properties of the principal symbol of the 3+1 equations of motion in Teleparallel Equivalent of General Relativity (TEGR) and assess the conditions for hyperbolicity. We use the Hamiltonian formulation based on the vectorial,…