arXiv research

Paper refines Carr and Lee's strategy to minimize hedging errors.

Recent work of Dupire and Carr and Lee has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root for the model-independent hedging of variance options. Root's work shows that there exists a barrier from which one may define a stopping time which solves the Skorokhod embedding p…

We propose a general framework for the simultaneous modeling of equity, government bonds, corporate bonds and derivatives. Uncertainty is generated by a general affine Markov process. The setting allows for stochastic volatility, jumps, the possibility of default and correlation between different assets. We show how to…

Study on 4-manifolds with positive scalar curvature.

Paper proves rigidity for certain PDEs on compact manifolds.

Recently Carr and Wu (2004, 2005) and also Huang and Wu (2004) show that most stochastic processes used in traditional option pricing models can be cast as special cases of time-changed Lévy processes. In particular these are models which can be tailored to exhibit correlated jumps in both the log price of assets and t…

New framework improves option pricing models by addressing volatility dynamics.

Monotonicity of normalized implied-volatility coordinates under no-arbitrage

Calabi-Yau theorem extended to Vaisman manifolds.

Study describes lcK structures on Vaisman-type manifolds with holomorphic Lee vector field.

We prove that a compact lcK manifold with holomorphic Lee vector field is Vaisman provided that either the Lee field has constant norm or the metric is Gauduchon (i.e., the Lee field is divergence-free). We also give examples of compact lcK manifolds with holomorphic Lee vector field which are not Vaisman.

The study examines Lee metrics on groups and their properties.

The thesis examines stochastic calculus in option pricing with logistic models and numerical methods.

Reconstructs Riemannian geometry from diffusion properties.

New theorem on Lee classes for LCK manifolds with potential.

We compute the value of a variance swap when the underlying is modeled as a Markov process time changed by a Lévy subordinator. In this framework, the underlying may exhibit jumps with a state-dependent Lévy measure, local stochastic volatility and have a local stochastic default intensity. Moreover, the Lévy subordina…

Synthetic proof of Gannon-Lee theorem for spacetimes.

RNN beats Lee-Carter in forecasting mortality rates.

Paper uses neural networks to calibrate Lee-Carter models for multiple populations.

Proves Gannon-Lee theorem for $C^1$ spacetimes.

The paper proves monotonicity formulas for solutions in Carnot groups, resembling well-known formulas for standard Laplacian and heat equations.

Holomorphic tensors on Vaisman manifolds are invariant under the Lee field.

Lobb observed in [arXiv:1103.1412] that each equivariant sl(N) Khovanov-Rozansky homology over C[a] admits a standard decomposition of a simple form. In the present paper, we derive a formula for the corresponding Lee-Gornik spectral sequence in terms of this decomposition. Based on this formula, we give a simple alter…

Study on Lee classes of complex surfaces, proving connectedness and bounds.

This note is devoted to partial study of recurrent equation $dω=β\wedge ω$, based on linear algebra of exterior forms. Such equation was considered by Lee, for non-degenerate 2-form. In this note we approach general case, when $ω$ is arbitrary. Particularly, we extend results obtained by Lee, on odd-forms.

Study examines Weyl structures on Riemannian manifolds with vanishing Lee form.

We discuss a remarkable formula discovered by Jerison and Lee to classify constant scalar curvature pseudohermitian structures on the sphere. We show that the formula is valid in the wider context of Einstein pseudohermitian manifolds. As an application we prove a uniqueness result that generalizes the theorem of Jeris…

The Lee-Gauduchon cone is a convex cone of cohomology classes for complex manifolds.

In this paper, we extend the classical Ho-Lee binomial term structure model to the case of time-dependent parameters and, as a result, resolve a drawback associated with the model. This is achieved with the introduction of a more flexible no-arbitrage condition in contrast to the one assumed in the Ho-Lee model.

We introduce an algorithm for the pricing of finite expiry American options driven by Lévy processes. The idea is to tweak Carr's `Canadisation' method, cf. Carr [9] (see also Bouchard et al [5]), in such a way that the adjusted algorithm is viable for any Lévy process whose law at an independent, exponentially distrib…

We show that the page at which the Lee spectral sequence collapses gives a bound on the unknotting number, u(K). In particular, for knots with u(K)<3, we show that the Lee spectral sequence must collapse at the E_2 page. An immediate corollary is that the Knight Move Conjecture is true when u(K)<3.

Calculates knot $X$-torsion order using spectral sequences.

We give a simple proof of Lee's result from [Adv. Math. 179 (2005) 554-586; arXiv:math.GT/0210213], that the dimension of the Lee variant of the Khovanov homology of a c-component link is 2^c, regardless of the number of crossings. Our method of proof is entirely local and hence we can state a Lee-type theorem for tang…

New link homology theories for $\mathbb{RP}^3$ yield distinct invariants.

Riemannian metric matching learns the geometry of high-dimensional datasets using neural networks.

Developed a new homology theory for graph chromatic polynomials.

In this paper a multi-factor generalization of Ho-Lee model is proposed. In sharp contrast to the classical Ho-Lee, this generalization allows for those movements other than parallel shifts, while it still is described by a recombining tree, and is stationary to be compatible with principal component analysis. Based on…

New link invariants derived from Lee's classes show divisibility by certain elements.

Study shows torsion order bounds band-unlinking number for knot cobordisms.

We illustrate how to compute local risk minimization (LRM) of call options for exponential Lévy models. We have previously obtained a representation of LRM for call options; here we transform it into a form that allows use of the fast Fourier transform method suggested by Carr & Madan. In particular, we consider Merton…

Consider a sample of $n$ points taken i.i.d from a submanifold $Σ$ of Euclidean space. We show that there is a way to estimate the Ricci curvature of $Σ$ with respect to the induced metric from the sample. Our method is grounded in the notions of Carré du Champ for diffusion semi-groups, the theory of Empirical process…

The exterior derivative $d θ$ of the Lee form $θ$ of almost Hermitian manifolds is studied. If $ω$ is the Kähler two-form, it is proved that the $\mathbb{R}ω$-component of $dθ$ is always zero. expressions for the other components, in $[λ_0^{1,1}]$ and in $[[ λ^{2,0} ]]$, of $dθ$ are also obtained. They are given in ter…

Extends Local Variance Gamma model with geometric Brownian motion and piecewise linear local variance.

Characterizes braid types and estimates twist coefficients.

Paper proves uniqueness of Einstein metrics on balls.

Researchers determine quantum filtration structure of torus links.

We study two kinds of transformation groups of a compact locally conformally Kahler (l.c.K.) manifold. First we study compact l.c.K. manifolds with parallel Lee form by means of the existence of a holomorphic l.c.K. flow. Next, we introduce the Lee-Cauchy-Riemann (LCR) transformations as a class of diffeomorphisms pres…

The paper develops a new framework for pricing and hedging liquidity in crypto markets.