arXiv research

A new QHR model extends HR model with a quadratic variance function.

We obtain bounds on the distribution of the maximum of a martingale with fixed marginals at finitely many intermediate times. The bounds are sharp and attained by a solution to $n$-marginal Skorokhod embedding problem in Obłój and Spoida [An iterated Azéma-Yor type embedding for finitely many marginals (2013) Preprint]…

Since Hobson's seminal paper [D. Hobson: Robust hedging of the lookback option. In: Finance Stoch. (1998)] the connection between model-independent pricing and the Skorokhod embedding problem has been a driving force in robust finance. We establish a general pricing-hedging duality for financial derivatives which are s…

We explore the robust replication of forward-start straddles given quoted (Call and Put options) market data. One approach to this problem classically follows semi-infinite linear programming arguments, and we propose a discretisation scheme to reduce its dimensionality and hence its complexity. Alternatively, one can …

Generalizes positivity conjecture to Roger--Yang skein algebras using polynomials.

We provide an explicit, finite set of generators for the Kauffman bracket arc algebra defined by Roger and Yang.

Comparative statistical properties of Parkinson, Garman-Klass, Roger-Satchell and bridge oscillation estimators are discussed. Point and interval estimations, related with mentioned estimators are considered

We provide a presentation of the Roger and Yang's Kauffman bracket arc algebra for the once-punctured torus and punctured spheres with three or fewer punctures.

Paper generalizes Hardy-Rogers maps for market equilibrium analysis in duopoly markets.

Researchers created a continuous Markov martingale that mimics Brownian motion but lacks the strong Markov property.

Study centers of generalized skein algebras, showing almost Azumaya properties.

Numerical observations on martingale couplings are confirmed under certain conditions.

Based on hyperbolic geometric considerations, Roger and Yang introduced an extension of the Kauffman bracket skein algebra that includes arcs. In particular, their skein algebra is a deformation quantization of a certain commutative curve algebra, and there is a Poisson algebra homomorphism between the curve algebra an…

This note will extend the research presented in Brown & Rogers (2009) to the case of CRRA agents. We consider the model outlined in that paper in which agents had diverse beliefs about the dividends produced by a risky asset. We now assume that the agents all have CRRA utility, with some integer coefficient of relative…

The paper analyzes financial networks with default charges and defines a model using fixpoint problems.

Paper presents skein algebras for spheres with punctures.

We point out that algebraically special Einstein fields with twisting rays exhibit the basic properties of conformal Universes considered recently by Roger Penrose.

Study resolves conjecture linking two algebraic structures on surfaces.

We derive the canonical forms of super Riemannian metrics and the local isometry groups of such metrics. For certain super metrics we also compute the simply connected covering groups of the local isometry groups and interpret these as local spin groups of the super metric. Using a generalization of a Theorem of Rogers…

The purpose of this note is to reconcile two different results concerning the model-free upper bound on the price of an American option, given a set of European option prices. Neuberger (2007, `Bounds on the American option') and Hobson and Neuberger (2016, `On the value of being American') argue that the cost of the c…

Proves conjecture linking cluster algebras and skein algebras for surfaces with punctures.

We pick up the regime switching model for asset returns introduced by Rogers and Zhang. The calibration involves various markets including implied volatility in order to gain additional predictive power. We focus on the calculation of risk measures by Fourier methods that have successfully been applied to option pricin…

We provide an extension of the explicit solution of a mixed optimal stopping-optimal stochastic control problem introduced by Henderson and Hobson. The problem examines wether the optimal investment problem on a local martingale financial market is affected by the optimal liquidation of an independent indivisible asset…

We conjecture that the stable Khovanov homology of torus knots can be described as the Koszul homology of an explicit non-regular sequence of quadratic polynomials. The corresponding Poincare series turns out to be related to the Rogers-Ramanujan identity.

The paper connects two skein algebras and characterizes their representations.

This paper examines Bachelier implied volatility at extreme strikes.

Geometrically constructs dilogarithm from Chern-Simons theory.

I define higher codimensional versions of contact structures on manifolds as maximally non-integrable distributions. I call them multicontact structures. Cartan distributions on jet spaces provide canonical examples. More generally, I define higher codimensional versions of pre-contact structures as distributions on ma…

In this article we propose a generalisation of the recent work of Gatheral and Jacquier on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss extensively the notion of arbitrage freeness and Roger Lee's moment formula using the recent analysis by Roper. We further exhibit an arbit…

When formulated in twistor space, the D-instanton corrected hypermultiplet moduli space in N=2 string vacua and the Coulomb branch of rigid N=2 gauge theories on $R^3 \times S^1$ are strikingly similar and, to a large extent, dictated by consistency with wall-crossing. We elucidate this similarity by showing that these…

In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel representation for the solution of the optimal stopping problem. In particular, we …

A new classification theorem for links by the authors and Roger Fenn leads to computable link invariants. As an illustration we distinguish the left and right trefoils and recover the result of Carter et al that the 2-twist-spun trefoil is not isotopic to its orientation reverse. We sketch the proof the classification …

Given a measured lamination on a finite area hyperbolic surface we consider a natural measure Mon the real line obtained by taking the push-forward of the volume measure of the unit tangent bundle of the surface under an intersection function associated with the lamination. We show that the measure M gives summation id…

Introduces LRY skein algebras generalizing Kauffman bracket and Roger-Yang skein algebras.

We study the head and tail of the colored Jones polynomial while focusing mainly on alternating links. Various ways to compute the colored Jones polynomial for a given link give rise to combinatorial identities for those power series. We further show that the head and tail functions only depend on the reduced checkerbo…

This paper classifies discrete conformal structures on surfaces with boundary.

Multi-dimensional state-integrals of products of Faddeev's quantum dilogarithms arise frequently in Quantum Topology, quantum Teichmüller theory and complex Chern--Simons theory. Using the quasi-periodicity property of the quantum dilogarithm, we evaluate 1-dimensional state-integrals at rational points and express the…

We define an extended Bloch group and show it is isomorphic to $H_3(PSL(2,C)^δ;Z)$. Using the Rogers dilogarithm function this leads to an exact simplicial formula for the universal Cheeger-Simons class on this homology group. It also leads to an independent proof of the analytic relationship between volume and Chern-S…

Kuwert and Schätzle showed in 2001 that the Willmore flow converges to a standard round sphere, if the initial energy is small. In this situation, we prove stability estimates for the barycenter and the quadratic moment of the surface. Moreover, in codimension one we obtain stability bounds for the enclosed volume and …

Paper is based on "The cost of illiquidity and its effects on hedging", L. C. G. Rogers and Surbjeet Singh, 2010. We generalize its thesis to constant elasticity model, which own previously used Black-Schoels model as a special case. The Goal of this article is to find optimal hedging strategy of European call/put opti…

We define an extended Bloch group and show it is naturally isomorphic to H_3(PSL(2,C)^δ;Z). Using the Rogers dilogarithm function this leads to an exact simplicial formula for the universal Cheeger-Chern-Simons class on this homology group. It also leads to an independent proof of the analytic relationship between volu…

In the present paper, we describe new approaches for constructing virtual knot invariants. The main background of this paper comes from formulating and bringing together the ideas of biquandle (Kauffman and Radford) the virtual quandle (Manturov), the ideas of quaternion biquandles by Roger Fenn and Andrew Bartholomew,…

Researchers solve a 25-year-old conjecture about vector fields.

We discuss of the conceptual difficulties connected with the anticommutativity of classical fermion fields, and we argue that the "space" of all classical configurations of a model with such fields should be described as an infinite-dimensional supermanifold M. We discuss the two main approaches to supermanifolds, and …

We introduce a new cohomology theory for planar trivalent graphs with perfect matchings. The graded Euler characteristic of the cohomology is a one variable polynomial called the 2-factor polynomial that, if nonzero when evaluated at one, implies that the perfect matching is even and therefore the graph is 4-face color…

Given a Lie group acting on a manifold $M$ preserving a closed $n+1$-form $ω$, the notion of homotopy moment map for this action was introduced in Callies-Fregier-Rogers-Zambon [6], in terms of $L_{\infty}$-algebra morphisms. In this note we describe homotopy moment maps as coboundaries of a certain complex. This descr…

We prove a Gamma-convergence result for a family of bending energies defined on smooth surfaces in $\mathbb{R}^3$ equipped with a director field. The energies strongly penalize the deviation of the director from the surface unit normal and control the derivatives of the director. Such type of energies for example arise…

In this work, we propose an algorithm to price American options by directly solving the dual minimization problem introduced by Rogers. Our approach relies on approximating the set of uniformly square integrable martingales by a finite dimensional Wiener chaos expansion. Then, we use a sample average approximation tech…