相关论文: Unifying the BGM and SABR Models: A short Ride in …
This paper contains theory on two related topics relevant to manifolds of normally hyperbolic singularities. First, theorems on the formal and $ C^k $ normal forms for these objects are proved. Then, the theorems are applied to give…
Based on data from the European banking stress tests of 2014, 2016 and the transparency exercise of 2018 we demonstrate for the first time that the latent geometry of financial networks can be well-represented by geometry of negative…
The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the well-known problems of the Heston model, and more generally of the affine models, we define a new specification for the…
We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changing the choice of the state space. We provide…
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…
Barbour's interpretation of Mach's principle led him to postulate that gravity should be formulated as a dynamical theory of spatial conformal geometry, or in his terminology, "shapes." Recently, it was shown that the dynamics of General…
Based on It\^o semimartingale models, several studies have proposed methods for forecasting intraday volatility using high-frequency financial data. These approaches typically rely on restrictive parametric assumptions and are often…
It is proposed that a non-Abelian adjoint two-form in BF type theories transform inhomogeneously under the gauge group. The resulting restrictions on invariant actions are discussed. The auxiliary one-form which is required for maintaining…
We extend the approach of Carr, Itkin and Muravey, 2021 for getting semi-analytical prices of barrier options for the time-dependent Heston model with time-dependent barriers by applying it to the so-called $\lambda$-SABR stochastic…
The choice of approximate posterior distributions plays a central role in stochastic variational inference (SVI). One effective solution is the use of normalizing flows \cut{defined on Euclidean spaces} to construct flexible posterior…
Using a hyperbolic complex plane, we study the realization of the underlying hyperbolic symmetry as an internal symmetry that enables the unification of scalar fields of cosmological and particle physics interest. Such an unification is…
We study the analytic torsion of odd-dimensional hyperbolic orbifolds $\Gamma \backslash \mathbb{H}^{2n+1}$, depending on a representation of $\Gamma$. Our main goal is to understand the asymptotic behavior of the analytic torsion with…
Closed form formulas for swaption prices in HJM model are derived. These formulas are used for nonparametric fit of deterministic forward volatility. It is demonstrated that this formula and non-parametric fit works very well and can be…
This paper proposes a fast two-stage variational Bayesian (VB) algorithm to estimate unrestricted panel spatial autoregressive models. Using Dirichlet-Laplace priors, we are able to uncover the spatial relationships between cross-sectional…
We present a covariant multisymplectic formulation for the Einstein-Hilbert model of General Relativity. As it is described by a second-order singular Lagrangian, this is a gauge field theory with constraints. The use of the unified…
Motivated by the reported discovery of inflationary gravity waves by the BICEP2 experiment, we propose an inflationary scenario in supergravity, based on the standard superpotential used in hybrid inflation. The new model yields a…
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…
We investigate LIBOR-based derivatives using a parsimonious field theory interest rate model capable of instilling imperfect correlation between different maturities. Delta and Gamma hedge parameters are derived for LIBOR Caps against…
This series of papers is devoted to an open-ended project aimed at the solution of Hilbert's sixth problem (concerning joint axiomatization of physics and probability theory) proposed to be constructed in the framework of an all-embracing…
Signal Amplification By Reversible Exchange (SABRE) creates hyperpolarization (large spin magnetization) using a transition metal catalyst and parahydrogen, addressing the sensitivity limitations of magnetic resonance. SABRE and its…