arXiv research

In this small note we use results derived in Berestycki et al. to correct the celebrated formulae of Hagan et al. We derive explicitly the correct zero order term in the expansion of the implied volatility in time to maturity. The new term is consistent as $β\to 1$. Furthermore, numerical simulations show that it reduc…

Some expansion methods have been proposed for approximately pricing options which has no exact closed formula. Benhamou et al. (2010) presents the smart expansion method that directly expands the expectation value of payoff function with respect to the volatility of volatility, then uses it to price options in the stoc…

Formula derived for mass of almost Kähler manifolds, extending previous results.

We prove a simple, explicit formula for the mass of any asymptotically locally Euclidean (ALE) Kähler manifold, assuming only the sort of weak fall-off conditions required for the mass to actually be well-defined. For ALE scalar-flat Kähler manifolds, the mass turns out to be a topological invariant, depending only on …

We prove a Kuranishi-type theorem for deformations of complex structures on ALE Kähler surfaces. This is used to prove that for any scalar-flat Kähler ALE surface, all small deformations of complex structure also admit scalar-flat Kähler ALE metrics. A local moduli space of scalar-flat Kähler ALE metrics is then constr…

In this article, we give a survey of our construction of a local moduli space of scalar-flat Kähler ALE metrics in complex dimension $2$. We also prove an explicit formula for the dimension of this moduli space on a scalar-flat Kähler ALE surface which deforms to the minimal resolution of $\mathbb{C}^2/Γ$, where $Γ$ is…

We derive the implied volatility estimation formula in European power call options pricing, where the payoff functions are in the form of $V=(S^α_T-K)^{+}$ and $V=(S^α_T-K^α)^{+}$ ($α>0$)respectively. Using quadratic Taylor approximations, We develop the computing formula of implied volatility in European power call op…

There are three main components to this article: (i) A formula for the eta invariant of the signature complex for any finite subgroup of ${\rm{SO}}(4)$ acting freely on $S^3$ is given. An application of this is a non-existence result for Ricci-flat ALE metrics on certain spaces. (ii) A formula for the orbifold correcti…

Let $M$ be a smooth manifold and $G$ a compact connected Lie group acting on $M$ by isometries. In this paper, we study the equivariant cohomology of ${\bf X}=T^\ast M$, and relate it to the cohomology of the Marsden-Weinstein reduced space via certain residue formulae. In case that $\bf X$ is a compact symplectic mani…

We derive formulas for Alexander polynomials of spiral knots.

We found a unified formula for description of the household incomes of all society classes, for instance, of those of the European Union in year 2007. This formula is a stationary solution of the threshold Fokker-Planck equation (derived from the threshold nonlinear Langevin one). The formula is more general than the w…

The paper uses moment matching method for pricing spread options under Lévy models.

Using a Levy process we generalize formulas in Bo et al.(2010) for the Esscher transform parameters for the log-normal distribution which ensure the martingale condition holds for the discounted foreign exchange rate. Using these values of the parameters we find a risk-neural measure and provide new formulas for the di…

We found a unified formula for description of the household incomes of all society classes, for instance, for the European Union in years 2005-2010. The formula is more general than well known that of Yakovenko et al. because, it satisfactorily describes not only the household incomes of low- and medium-income society …

We compare the invariants of flat vector bundles defined by Atiyah et al. and Jones et al. and prove that, up to weak homotopy, they induce the same map, denoted by $e$, from the $0$-connective algebraic $K$-theory space of the complex numbers to the homotopy fiber of the Chern character. We examine homotopy properties…

We study random knots and links in R^3 using the Petaluma model, which is based on the petal projections developed by Adams et al. (2012). In this model we obtain a formula for the distribution of the linking number of a random two-component link. We also obtain formulas for the expectations and the higher moments of t…

Study on self-similar sets on Riemannian manifolds with new separation conditions.

Recently, a lot of effort has been paid to the efficient computation of Kriging predictors when observations are assimilated sequentially. In particular, Kriging update formulae enabling significant computational savings were derived in Barnes and Watson (1992), Gao et al. (1996), and Emery (2009). Taking advantage of …

We prove that a certain class of ALE spaces always has a Kahler conformal compactification, and moreover provide explicit formulas for the conformal factor and the Kahler potential of said compactification. We then apply this to give a new and simple construction of the canonical Bochner-Kähler metric on certain weight…

Estimates inverse temperature of Ising models with a single sample.

This paper proves geodesic curvature measures are bounded for curves near cross cap singularities.

In this short note, using our geometric method introduced in a previous paper \cite{phl} and initiated by \cite{ave}, we derive an asymptotic swaption implied volatility at the first-order for a general stochastic volatility Libor Market Model. This formula is useful to quickly calibrate a model to a full swaption matr…

In Figueroa-López et al. (2013), a second order approximation for at-the-money (ATM) option prices is derived for a large class of exponential Lévy models, with or without a Brownian component. The purpose of this article is twofold. First, we relax the regularity conditions imposed in Figueroa-López et al. (2013) on t…

We derived similar to Bo et al. (2010) results but in the case when the dynamics of the FX rate is driven by a general Merton jump-diffusion process. The main results of our paper are as follows: 1) formulas for the Esscher transform parameters which ensure that the martingale condition for the discounted foreign excha…

Sornette et al. claimed that the optimal supply does not agree with the average demand, by analyzing a bakery model where a daily demand fluctuates with a uniform distribution. In this note, we extend the model to general probability distributions, and obtain the formula of the optimal supply for Gaussian distribution,…

The paper bridges stochastic control and deep hedging for European call options with transaction costs.

The paper develops a new model-free formula for option initial margins.

The article prices exchange options using variance gamma-like models.

We apply Lescop's construction of $\mathbb{Z}$-equivariant perturbative invariant of knots and 3-manifolds to the explicit equivariant propagator of "AL-paths" given in arXiv:1403.8030. We obtain an invariant $\hat{Z}_n$ of certain equivalence classes of fiberwise Morse functions on a 3-manifold fibered over $S^1$, whi…

Paper derives a simplified formula for Expected Improvement using log-transformed data.

A new, computationally friendly formula for a class of risk-averse preferences.

New method analyzes volatility models for option prices, especially in rough volatility.

The main contribution of this article is a new prior distribution over directed acyclic graphs, which gives larger weight to sparse graphs. This distribution is intended for structured Bayesian networks, where the structure is given by an ordered block model. That is, the nodes of the graph are objects which fall into …

Herein, we applied statistical physics to study incomes of three (low-, medium- and high-income) society classes instead of the two (low- and medium-income)classes studied so far. In the frame of the threshold nonlinear Langevin dynamics and its threshold Fokker-Planck counterpart, we derived a unified formula for desc…

We propose and study the following Mirror Principle: certain sequences of multiplicative equivariant characteristic classes on Kontsevich's stable map moduli spaces can be computed in terms of certain hypergeometric type classes. As applications, we compute the equivariant Euler classes of obstruction bundles induced b…

AutoML improves electricity demand forecasting models.

Formula derived for spectral determinant of sphere with conical singularities.

In recent years there has been an advent of quanto options in energy markets. The structure of the payoff is rather a different type from other markets since it is written as a product of an underlying energy index and a measure of temperature. In the HJM framework, by adopting the futures energy dynamics, we use the M…

We introduce tools for inference in the multifractal random walk introduced by Bacry et al. (2001). These tools include formulas for smoothing, filtering and volatility forecasting. In addition, we present methods for computing conditional densities for one- and multi-step returns. The inference techniques presented in…

The renormalized volume of hyperbolic manifolds is a quantity motivated by the AdS/CFT correspondence of string theory and computed via a certain regularization procedure. The main aim of the present paper is to elucidate its geometrical meaning. We use another regularization procedure based on surfaces equidistant to …

We extend the Bismut-Elworthy-Li formula to non-degenerate jump diffusions and "payoff" functions depending on the process at multiple future times. In the spirit of Fournie et al [13] and Davis and Johansson [9] this can improve Monte Carlo numerics for stochastic volatility models with jumps. To this end one needs so…

Improved portfolio optimization using VaR and CVaR with NMVM models.

In life-cycle economics the Samuelson paradigm (Samuelson, 1969) states that the optimal investment is in constant proportions out of lifetime wealth composed of current savings and the present value of future income. It is well known that in the presence of credit constraints this paradigm no longer applies. Instead, …

Based on a faithful representation of the heavy tail multivariate distribution of asset returns introduced previously (Sornette et al., 1998, 1999) that we extend to the case of asymmetric return distributions, we generalize the return-risk efficient frontier concept to incorporate the dimensions of large risks embedde…

New model uses minimal data to outperform traditional hedging strategies.

New methods for handling confounding in observational studies.

In this paper, we detail the main simulation methods used in practice to measure one-year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development Result (CDR) whose variance is identical to the closed-form expression of the prediction error proposed by Wüthrich et a…

A parsimonious generalization of the Heston model is proposed where the volatility-of-volatility is assumed to be stochastic. We follow the perturbation technique of Fouque et al (2011, CUP) to derive a first order approximation of the price of options on a stock and its volatility index. This approximation is given by…