In this paper, we present a new method for calculating the limit of early exercise boundary at expiry. We price American style of general derivative using a formula expressed as a sum of the value of European style of derivative and so called American premium. We use the latter expression to calculate an analytic formu…
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48 results for “Derived limits”
A derivation of the Black-Scholes option pricing model using a central limit theorem argumentq-fin.GN
Derives Black-Scholes model using central limit theorem.
problem Deriving the Black-Scholes formula for European options.
method Central limit theorem argument for undergraduate understanding.
result Elementary derivation accessible to undergraduates.
Paper derives CLT for Bayesian neural networks trained with variational inference.
problem Analyzing the fluctuation behavior of Bayesian neural networks trained with different variational inference schemes.
method Rigorous derivation of CLT for three variational inference schemes: idealized, Bayes-by-Backprop, and Minimal VI.
result Minimal VI scheme has larger variances but is more computationally efficient.
Study derives a limit functional for Willmore graphs with curvature penalization.
problem Optimizing Willmore graphs with curvature constraints.
method Interpreting penalization as Lagrange multiplier, deriving -limit.
result Derives a new limit functional for Willmore graphs.
New minimal surfaces derived from helicoids.
problem Existence of minimal surfaces with specific symmetries.
method Balance equations and nodal limit analysis.
result Existence of new screw motion invariant minimal surfaces.
Derives Black-Scholes model without stochastic calculus or PDEs.
problem Deriving the Black-Scholes model without advanced math.
method Continuum limit of Binomial tree approach.
result Derives Black-Scholes model and exchange-option generalization.
Reconstruct cohomology and homology from compact subsets and nerves.
problem Reconstructing cohomology and homology from compact subsets and nerves.
method Using Bousfield-Kan/Araki-Yoshimura type spectral sequences and corrected derived limits.
result Corrected derived limits coincide with usual ones when topology is discrete.
Paper derives sub-Riemannian versions of Kastler-Kalau-Walze and Dabrowski-Sitarz-Zalecki theorems for twisted BCV spaces.
problem Deriving sub-Riemannian versions of the Kastler-Kalau-Walze and Dabrowski-Sitarz-Zalecki theorems for twisted BCV spaces.
method Derives sub-Riemannian versions of the Kastler-Kalau-Walze and Dabrowski-Sitarz-Zalecki theorems for the twisted BCV spaces.
result Computes Connes conformal invariants for the twisted product and sub-Riemannian limits of these invariants for the twisted BCV spaces.
Order positions are key variables in algorithmic trading. This paper studies the limiting behavior of order positions and related queues in a limit order book. In addition to the fluid and diffusion limits for the processes, fluctuations of order positions and related queues around their fluid limits are analyzed. As a…
Non-Euclidean, or incompatible elasticity is an elastic theory for pre-stressed materials, which is based on a modeling of the elastic body as a Riemannian manifold. In this paper we derive a dimensionally-reduced model of the so-called membrane limit of a thin incompatible body. By generalizing classical dimension red…
High-dimensional scaling limits and fluctuations of online least-squares SGD with smooth covariancemath.PR
Derives scaling limits and fluctuations for SGD in high dimensions.
problem Understanding SGD behavior in high-dimensional settings with varying noise levels.
method Interacting particle system approach, treating SGD iterates as such, with covariance structure considered.
result Precise three-step phase transition observed in SGD behavior: ballistic, diffusive, then random.
Derives mean field game equations from microscopic agent dynamics.
problem Modeling behavior of large interacting agents in games.
method Derives mean field game PDEs from deterministic agent dynamics using Nash equilibria and dynamic programming.
result Derives mean field game limits and scales from agent-based financial market model.
In this paper, we compute the adiabatic limit of the scalar curvature and prove several vanishing theorems, we also derive a Kastler-Kalau-Walze type theorem for the noncommutative residue in the case of foliations.
Adaptive kernels from neural networks improve model performance.
problem Improving neural network performance through adaptive kernels.
method Deriving adaptive kernels from infinite-width neural networks using feature learning and gradient flow training.
result Adaptive kernels achieve lower test loss compared to traditional kernels.
Proves limitations of higher-order optimization for convex problems.
problem Limitations of higher-order optimization methods for convex problems.
method Proves polynomial dependence on approximation guarantee and higher-order smoothness parameters.
result Nesterov's accelerated cubic regularization method is nearly tight.
Paper defines conditions for limit sets of Anosov representations to be smooth submanifolds.
problem Understanding the smoothness of limit sets of Anosov representations.
method Established conditions for limit sets to be differentiable submanifolds and calculated optimal Holder constants.
result Limit sets of projective Anosov representations are differentiable submanifolds with Holder continuous derivatives.
The paper connects PSO and CBO methods using stochastic modeling and mean-field limits.
problem Global optimization problems with particle swarm optimization and consensus based optimization.
method Stochastic differential equations and mean-field approximation to derive macroscopic hydrodynamic equations.
result Derives mean-field approximation for PSO and links it to CBO methods.
Study small-time CLTs for stochastic Volterra equations with various kernels.
problem Understanding the behavior of stochastic Volterra equations with different kernels.
method Proved convergence of finite-dimensional distributions, functional CLT, and limit theorems for smooth transformations.
result Derived asymptotic pricing formulae for digital calls in rough volatility models.
Paper derives second order approximations for limit order books.
problem Modeling fluctuations in price and volume processes.
method Second order approximation of infinite dimensional limit order book dynamics.
result Confidence intervals for optimal portfolio liquidation models.
The paper introduces a new method to detect rough volatility and market states using fractional derivatives.
problem Testing self-similarity in fractional processes from a single observed trajectory is difficult under long-range dependence.
method The paper introduces a regime-adaptive KS/GL--KS framework based on the discrete Grünwald--Letnikov (GL) fractional derivative.
result The method detects rough volatility and persistent, anti-persistent, or efficient market states in financial applications.
In this paper, we prove a limit set intersection theorem in relatively hyperbolic groups. Our approach is based on a study of dynamical quasiconvexity of relatively quasiconvex subgroups. Using dynamical quasiconvexity, many well-known results on limit sets of geometrically finite Kleinian groups are derived in general…
The paper models and analyzes the dynamics of a limit order book using Hawkes processes.
problem Modeling the complex dynamics of a limit order book driven by market price and volume.
method Derives a scaling limit for an infinite dimensional model driven by Hawkes processes.
result The dynamics converge to a coupled SDE-ODE system, with specific limiting processes and intensities.
Developed moment estimators for affine stochastic volatility models.
problem Estimating parameters of affine stochastic volatility models.
method Introduced recursive equations for moments and proposed moment estimators.
result Established a central limit theorem and derived asymptotic covariance matrix.
Testing independence is of significant interest in many important areas of large-scale inference. Using extreme-value form statistics to test against sparse alternatives and using quadratic form statistics to test against dense alternatives are two important testing procedures for high-dimensional independence. However…
In the bordered Floer theory, gluing thickened torus of positive meridional Dehn twist to the boundary of a knot complement result in the knot complement of increased framing. For a fixed knot K, we construct a direct system of positively framed knot complements and study the direct limit. We also study the morphism sp…
Paper proves CLTs for Q-learning with asynchronous updates.
problem Establishing convergence rates for Q-learning algorithms.
method Polyak-Ruppert averaging, non-asymptotic and functional CLTs.
result Convergence rates in Wasserstein distance for Q-learning.
Characterizes when differential forms have weak exterior derivatives based on limiting behavior of integration over simplices.
problem Characterizing differential forms with weak exterior derivatives.
method Uses integration over simplices to characterize the limiting behavior of differential forms.
result Proves a direct analogue of the Bourgain-Brezis-Mironescu characterization for differential forms.
Unified framework for strain-gradient plasticity from dislocations.
problem Deriving strain-gradient plasticity from edge-dislocations.
method Γ-limit derivation in a continuum framework with smooth frame fields and dislocation circulation.
result Unified strain-gradient model with new geometric rigidity estimates.
Derived geometry can be defined as the universal way to adjoin finite homotopical limits to a given category of manifolds compatibly with products and glueing. The point of this paper is to show that a construction closely resembling existing approaches to derived geometry in fact produces a geometry with this universa…
The paper analyzes fill probabilities in limit order books with varying price levels.
problem Determining the likelihood of limit orders being executed in a limit order book.
method Developed a state-dependent stochastic framework to model limit order book dynamics.
result Derived semi-analytical expressions for fill probabilities and mid-price changes.
New phases identified in neural scaling laws with compute limits.
problem Understanding neural scaling laws under compute constraints.
method Solved neural scaling model with stochastic gradient descent, derived loss curves, analyzed model-parameter-count phases.
result Identified 4 phases (+3 subphases) in data-complexity/target-complexity phase-plane, derived exponents.
We derive a dimensionally-reduced limit theory for an -dimensional nonlinear elastic body that is slender along dimensions. The starting point is to view an elastic body as an -dimensional Riemannian manifold together with a not necessarily isometric -immersion in -dimensional Euclidean space. The…
This paper derives explicit formulas for both the small and large time limits of the implied volatility in the minimal market model. It is shown that interest rates do impact on the implied volatility in the long run even though they are negligible in the short time limit.
We prove that any complete hyperbolic 3--manifold with finitely generated fundamental group, with a single topological end, and which embeds into $\BS^3$ is the geometric limit of a sequence of hyperbolic knot complements in $\BS^3$. In particular, we derive the existence of hyperbolic knot complements which contain ba…
Model explains financial data patterns through investor misperceptions.
problem Understanding stylized facts in financial markets.
method Derives mean field limit of agent-based financial model.
result Kinetic model replicates fat-tails, uncorrelated returns, and volatility clustering.
We propose a novel time discretization for the log-normal SABR model and derive its asymptotic properties.
problem Analyzing the log-normal SABR model's time-discretized behavior and implied volatility surface.
method We use the Euler-Maruyama scheme for time discretization and derive asymptotic properties in the limit of large number of time steps.
result We derive an exact representation of the implied volatility surface for arbitrary maturity and strike in the asymptotic regime.
Develops CLTs for Markov chain transition probabilities and policies.
problem Estimating transition probabilities and policies in controlled Markov chains.
method Non-parametric estimator for transition matrices; CLTs for value, Q-, and advantage functions; goodness-of-fit tests.
result Asymptotic normality of estimators under specific logging policies.
We consider a diffuse interface approximation for the lipid phases of rotationally symmetric two-phase bilayer membranes and rigorously derive its -limit. In particular, we prove that limit vesicles are across interfaces, which justifies a regularity assumption that is widely made in formal asymptotic and nume…
Revises mean-field theory of Santa Fe model using kinetic theory.
problem Deriving a solid mathematical foundation for the Santa Fe model.
method Systematic derivation of BBGKY hierarchy from exact master equation.
result Explicit and closed-form solutions for mean-field equations.
Ultraknots and limit knotsmath.GT
The abstract proves every knot type can be parametrized by smooth functions and studies limit knot types.
problem Understanding all knot types and their parametrizations.
method Proving every knot type can be represented by smooth functions and studying limit knot types.
result Every knot type can be parametrized by smooth functions and limit knot types exist.
Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Optionsq-fin.PR
The time average of geometric Brownian motion plays a crucial role in the pricing of Asian options in mathematical finance. In this paper we consider the asymptotics of the discrete-time average of a geometric Brownian motion sampled on uniformly spaced times in the limit of a very large number of averaging time steps.…
Conservative SPDEs emerge from fluctuating SGD dynamics in neural networks.
problem Understanding the convergence of stochastic gradient descent to SPDEs.
method Mean-field analysis and central limit theorem for SPDEs.
result Optimal convergence rates for SPDEs derived from SGD.
We study the limits of holonomy representations of complex projective structures on a compact Riemann surface in the Morgan-Shalen compactification of the character variety. We show that the dual R-trees of the quadratic differentials associated to a divergent sequence of projective structures determine the Morgan-Shal…
Gauge theory of Finance?cond-mat.stat-mech
Some problems with the recent stimulating proposal of a ``Gauge Theory of Finance'' by Ilinski and collaborators are outlined. First, the derivation of the log-normal distribution is shown equivalent both in information and mathematical content to the simpler and well-known derivation, dating back from Bachelier and Sa…
We consider the Reidemeister torsion associated with SL(2, C)-representations of a knot group. A bifurcation point in the SL(2, C)-character variety of a knot group is a character which is given by both an abelian SL(2, C)-representation and a non-abelian one. We show that there exist limits of the non-acyclic Reidemei…
In this paper, we will study the limiting behavior of the Brown-York mass of the coordinate spheres in an asymptotically flat manifold. Limiting behaviors of volumes of regions related to coordinate spheres are also obtained, including a discussion on the isoperimetric mass introduced by Huisken \cite{Huisken}. We will…
Paper proves rigidity estimates for hyperbolic shells and applies them to \(Γ\)-limit theory.
problem Rigidity of hyperbolic shells and their \(Γ\)-limit behavior.
method Nonlinear rigidity estimates for \(H^1\) deformations and hyperbolic shells with clamped lateral boundary.
result Derives the optimal exponent \(h^{-4/3}\) for hyperbolic shells.
We investigate the behavior of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is presumed to oscillate and damp in a quantum spatial-periodic harmonic oscillator potential well. Complicated non-linear relations including inter-band positive correlatio…