相关论文: Unifying the BGM and SABR Models: A short Ride in …
We propose a fast and accurate numerical method for pricing European swaptions in multi-factor Gaussian term structure models. Our method can be used to accelerate the calibration of such models to the volatility surface. The pricing of an…
We derive the short-maturity asymptotics for European and VIX option prices in local-stochastic volatility models where the volatility follows a continuous-path Markov process. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics…
We present a fully pseudo-spectral scheme to solve axisymmetric hyperbolic equations of second order. With the Chebyshev polynomials as basis functions, the numerical grid is based on the Lobbato (for two spatial directions) and Radau (for…
Hypergraphs provide a natural framework for modeling higher-order interactions, yet their theoretical underpinnings in semi-supervised learning remain limited. We provide an asymptotic consistency analysis of variational learning on random…
We present a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices. Our main tool is the theory of regularity structures,…
We derive geometric formulas for the mass of asymptotically hyperbolic manifolds using coordinate horospheres. As an application, we obtain a new rigidity result of hyperbolic space: if a complete asymptotically hyperbolic manifold has…
We examine whether model-based spot volatility estimators extracted from traded options data enhance the predictive power of the Heterogeneous Autoregressive (HAR) model for realized volatility. Specifically, we infer spot volatility under…
For a compact, oriented, hyperbolic $n$-manifold $(M,g)$, realised as $M= \Gamma \backslash \mathbb{H}^{n}$ where $\Gamma$ is a torsion-free cocompact subgroup of $SO(n,1)$, we establish and study a relationship between differential…
We derive analytic formulae which link $\alpha$, $\nu$ and $\rho$ parameters in Andreasen-Huge style SABR model to the ATM price and option prices at four strikes close to ATM. Based on these formulae we give a characterisation for the SABR…
We go a step further in the search for a consistent and realistic supergravity model of large-field inflation by building a class of models with the following features: during slow-roll, all the scalar fields other than the inflaton are…
Gaussian graphical models have been used to study intrinsic dependence among several variables, but the Gaussianity assumption may be restrictive in many applications. A nonparanormal graphical model is a semiparametric generalization for…
We present a function-valued stochastic volatility model designed to capture the continuous-time evolution of forward curves in fixed-income or commodity markets. The dynamics of the (logarithmic) forward curves are defined by a…
We propose a generic calibration framework to both vanilla and no-touch options for a large class of continuous semi-martingale models. The method builds upon the forward partial integro-differential equation (PIDE) derived in Hambly et al.…
We study the asymptotic behavior of Hitchin's hyperk\"ahler metric on the moduli space of rank two irregular Higgs bundles over $\mathbb{C}P^1$. Along a generic curve, we prove that the Hitchin metric is asymptotic to the semiflat metric at…
We apply the technique of localization for vertex algebras to the Segal-Sugawara construction of an ``internal'' action of the Virasoro algebra on affine Kac-Moody algebras. The result is a lifting of twisted differential operators from the…
We construct a Lagrangian formulation of \Nf supersymmetric mechanics with hyper-K\"{a}hler sigma models in a bosonic sector in the non-Abelian background gauge field. The resulting action includes a wide class of \Nf supersymmetric…
We study the effect of supergravity corrections due to a linear and a bilinear term in the K\"ahler potential, in the context of a supersymmetric hybrid inflation model. By appropriate choice of the parameters associated to these terms, we…
This paper offers a new approach for estimating and forecasting the volatility of financial time series. No assumption is made about the parametric form of the processes. On the contrary, we only suppose that the volatility can be…
Complex models in physics, biology, economics, and engineering are often sloppy, meaning that the model parameters are not well determined by the model predictions for collective behavior. Many parameter combinations can vary over decades…
We study the possibility of using the $LiteBIRD$ satellite $B$-mode survey to constrain models of inflation producing specific features in CMB angular power spectra. We explore a particular model example, i.e. spectator axion-SU(2) gauge…