arXiv research

New framework improves option pricing models by addressing volatility dynamics.

In their seminal work Carr and Lee (2008) show how to robustly price and replicate a variety of claims written on the quadratic variation of a risky asset under the assumption that the asset's volatility process is independent of the Brownian motion that drives the asset's price. Additionally, they propose a correlatio…

Study on 4-manifolds with positive scalar curvature.

New approach to proving Chen-Donaldson-Sun theorem with examples.

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 findings on algebraic structure of hyperbolic graph braid groups.

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

Reconstructs Riemannian geometry from diffusion properties.

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…

The paper tackles prescribing discrete Gaussian curvature on polyhedral surfaces.

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

We discuss fibered commensurability of fibrations on a hyperbolic 3-manifold, a notion introduced by Calegari, Sun and Wang. We construct manifolds with non-symmetric but commensurable fibrations on the same fibered face. We also prove that if a given manifold M does not have any hidden symmetries, then M does not admi…

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…

New insights into symplectic singularities via canonical torus actions.

New methods for computing volumes and constructing Fano fibrations.

This paper describes another extension of the Local Variance Gamma model originally proposed by P. Carr in 2008, and then further elaborated on by Carr and Nadtochiy, 2017 (CN2017), and Carr and Itkin, 2018 (CI2018). As compared with the latest version of the model developed in CI2018 and called the ELVG (the Expanded …

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

In this note, using the recent compactness results of Tian and Chen-Donaldson-Sun, we prove the K-semistable version of Yau-Tian-Donaldson correspondence for Fano manifolds.

In this work, a new approach for Sun tracking systems is presented. Due to the current system limitations regarding costs and operational problems, a new approach based on low cost, computer vision open hardware and deep learning has been developed. The preliminary tests carried out successfully in Plataforma solar de …

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…

Carr and Wu (2004), henceforth CW, developed a framework that encompasses almost all of the continuous-time models proposed in the option pricing literature. Their framework hinges on the stopping time property of the time changes. By analyzing the measurability of the time changes with respect to the underlying filtra…

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

In this paper, we obtain two rigidity results for $p$-Laplace type equation and $n$-Laplace equation with exponential nonlinearity on $n$-dimensional compact Riemannian manifolds by using of nonlinear flow and the carré du champ methods, respectively, where rigidity means that the PDE has only constant solution when a …

Computing uniformization maps for surfaces has been a challenging problem and has many practical applications. In this paper, we provide a theoretically rigorous algorithm to compute such maps via combinatorial Calabi flow for vertex scaling of polyhedral metrics on surfaces, which is an analogue of the combinatorial Y…

New method for pricing American options in time-dependent models, improving accuracy and efficiency.

In this article we calculate the n-string braid groups of certain non-contractible graphs. We use techniques from the work of A. Abrams, F. Connolly and M. Doig combined with Van Kampen's Theorem to prove these results.

We provide explicit conditions on the distribution of risk-neutral log-returns which yield sharp asymptotic estimates on the implied volatility smile. We allow for a variety of asymptotic regimes, including both small maturity (with arbitrary strike) and extreme strike (with arbitrary bounded maturity), extending previ…

The paper discusses polynomial convergence to conical Kähler-Einstein metrics.

Simply-connected shrinking Kähler-Ricci solitons are proven.

We consider commensurability of quadratic differentials on surfaces. Each commensurability class has a natural order by the covering relation. We show that each commensurability class contains a unique (orbifold) element. We also discuss the relationship between commensurability of quadratic differentials and fibered c…

A new perspective on Call option pricing reveals identical prices for certain options.

We prove that the partial $C^0$-estimate holds for metrics along Aubin's continuity method for finding Kähler-Einstein metrics, confirming a special case of a conjecture due to Tian. We use the method developed in recent work of Chen-Donaldson-Sun on the analogous problem for conical Kähler-Einstein metrics.

The paper develops algorithms for finding metrics with prescribed combinatorial curvature on polyhedral surfaces.

New proof given for a functional's minimum condition.

We study non-collapsed Gromov-Hausdorff limits of Kähler manifolds with Ricci curvature bounded below. Our main result is that each tangent cone is homeomorphic to a normal affine variety. This extends a result of Donaldson-Sun, who considered non-collapsed limits of polarized Kähler manifolds with two-sided Ricci curv…

We discuss various analytic and numerical methods that have been used to get option prices within a framework of the VG model. We show that some popular methods, for instance, Carr-Madan's FFT method could blow up for certain values of the model parameters even for an European vanilla option. Alternative methods - one …

Posing Kepler's problem of motion around a fixed "sun" requires the geometric mechanician to choose a metric and a Laplacian. The metric provides the kinetic energy. The fundamental solution to the Laplacian (with delta source at the "sun") provides the potential energy. Posing Kepler's three laws (with input from Gali…

We show that a polarized affine variety admits a Ricci flat Kähler cone metric, if and only if it is K-stable. This generalizes Chen-Donaldson-Sun's solution of the Yau-Tian-Donaldson conjecture to Kähler cones, or equivalently, Sasakian manifolds. As an application we show that the five-sphere admits infinitely many f…

CDC-FM improves generative model quality-generalization tradeoff by regularizing with geometry-aware noise.

Period maps surjective for certain gravitational instantons.

Let $N$ be a prime 3-manifold that is not a closed graph manifold. Building on a result of Hongbin Sun and using a result of Asaf Hadari we show that for every $k\in\Bbb{N}$ there exists a finite cover $\tilde{N}$ of $N$ such that $|\operatorname{Tor} H_1(\tilde{N};\Bbb{Z})|>k$.

In this paper we prove that if a point $p$ in a complete Riemannian manifold is not a cut point of any point whose distance to $p$ is $r$, then the injectivity radius of $p$ is strictly large than $r$. As a corollary we give a positive answer to a problem raised by Z. Sun and J. Wan.

Study geometric operators on Tian-Yau spaces, finding $L^2$ harmonic forms and asymptotic regularity.

New PL invariant classifies K3 surface degenerations.

We propose a patch sampling strategy based on a sequential Monte-Carlo method for high resolution image classification in the context of Multiple Instance Learning. When compared with grid sampling and uniform sampling techniques, it achieves higher generalization performance. We validate the strategy on two artificial…

Paper tackles target shift in zero-shot learning using adversarial learning.

We study a maturity randomization technique for approximating optimal control problems. The algorithm is based on a sequence of control problems with random terminal horizon which converges to the original one. This is a generalization of the so-called Canadization procedure suggested by Carr [Review of Financial Studi…