New result on Levi-flat hypersurfaces' normal bundles without positive curvature.
problem Understanding Levi-flat hypersurfaces' normal bundles and their curvature properties.
method Analyzing the normal bundle of Levi-flat real hypersurfaces in complex manifolds.
result The normal bundle to the Levi foliation does not admit a Hermitian metric with positive curvature.
Study on null-projectability of Levi-Civita connections in neutral metrics.
problem Characterizing projectability of Levi-Civita connections along null parallel distributions.
method Analyzing projectability of torsion-free connections along foliations on manifolds, focusing on neutral metric signatures and mid-dimensional distributions.
result Extension of Patterson and Walker's Riemann extension metrics to null parallel distributions of any dimension.
Extends foliation results to singular cases.
problem Understanding foliations near singular leaves.
method Proves semi-local Levi-Malcev theorem for holonomy Lie algebroid.
result Formal semi-local triviality for all 2-connected and a wide class of 1-connected leaves.
We discuss the geometry of warped foliations. After examining the Levi-Civita connection, we describe the formulae for sectional, Ricci and scalar curvatures. In the final part of this note, we present some examples.
Develops new approach to recover CR structures from their Levi foliations.
problem Recovering CR structures from their Levi foliations for nonregular symbols.
method Reduction to dynamical Legendrian contact structure on leaf space.
result New geometric interpretation of CR prolongation conditions.
We use adiabatic limits to study foliated manifolds. The Bott connection naturally shows up as the adiabatic limit of Levi-Civita connections. As an application, we then construct certain natural elliptic operators associated to the foliation and present a direct geometric proof of a vanshing theorem of Connes[Co], whi…
We study curvature restrictions of Levi-flat real hypersurfaces in complex projective planes, whose existence is in question. We focus on its totally real Ricci curvature, the Ricci curvature of the real hypersurface in the direction of the Reeb vector field, and show that it cannot be greater than -4 along a Levi-flat…
Study of degenerate contrast functions on Lie groupoids and their geometric structures.
problem Understanding geometric structures on Lie groupoids with degenerate metrics.
method Using Lie groupoids and algebroids, analyze contrast functions and degenerate two-forms.
result Reduction of degenerate two-forms to pseudometric structures under regular conditions.
A Lipschitz hypersurface is a hypersurface which locally is the graph of a Lipschitz function. A Lipschitz (or C^1) hypersurface is said to be Levi-flat if it is locally foliated by complex manifolds of complex dimension (n-1). We shall prove that there exist no Lipschitz Levi-flat hypersurfaces in CP^n with n >= 3. Ou…
Proof shows cones minimize certain geometric functionals.
problem Minimizing cones over spheres in geometric functionals.
method Proof by foliation analysis of cone leaves.
result Cone minimizes functionals for SkimesSl. Egorov's theorem for transversally elliptic operators, acting on sections of a vector bundle over a compact foliated manifold, is proved. This theorem relates the quantum evolution of transverse pseudodifferential operators determined by a first order transversally elliptic operator with the (classical) evolution of it…
We study Riemannian foliations whose transverse Levi-Civita connection ∇ has special holonomy. In particular, we focus on the case where Hol(∇) is contained either in SU(n) or in Sp(n). We prove a Weitzenbock formula involving complex basic forms on Kähler foliations and we apply this formula for pointing…
A primary goal in this paper is to study the question that asks when a real analytic submanifold M in Cn+1 bounds a real analytic (up to M) Levi-flat hypersurface M^ near p∈M such that M^ is foliated by a family of complex hypersurfaces moving along the normal direction of M at …
Study reveals finite-size effects and sensitivity to random numbers in Levy-Levy-Solomon model.
problem Finite-size effects and sensitivity to random numbers in Levy-Levy-Solomon model.
method Simulations and analysis of Levy-Levy-Solomon model with different random number generators and stopping criteria.
result Low-quality pseudo random number generators significantly impact simulation results.
These lectures notes aim at introducing Lévy processes in an informal and intuitive way, accessible to non-specialists in the field. In the first part, we focus on the theory of Lévy processes. We analyze a `toy' example of a Lévy process, viz. a Lévy jump-diffusion, which yet offers significant insight into the distri…
The problem of an arbitrary truncated Levy flight description using the method of cumulant approach has been solved. The set of cumulants of the truncated Levy distribution given the assumption of arbitrary truncation has been found. The influence of truncation shape on the truncated Levy flight properties in the Gauss…
Develops information geometry for Lévy processes in finance.
problem Understanding the statistical properties of Lévy processes for financial modeling.
method Deriving α-divergences from Lévy triplets, identifying Fisher information matrix and α-connection. result Identifies statistical implications and differential-geometric structures of Lévy processes.
Study of Yang-Mills fields on 4-manifolds using modified Lévy Laplacians.
problem Connection between Yang-Mills fields and modified Lévy Laplacians on 4-manifolds.
method Analysis of modified Lévy Laplacians and their relation to Yang-Mills equations under nontrivial holonomy groups.
result Existence of a modified Lévy Laplacian related to Yang-Mills self-duality equations.
Classifies homogeneous Levi non-degenerate hypersurfaces in complex 3-space.
problem Classifying specific types of complex hypersurfaces.
method Analyzing hypersurfaces with symmetry algebra of dimension at least 6.
result All such hypersurfaces are classified.
Analyzes the Levi form on CR manifolds of any dimension.
problem Understanding the Levi form on CR manifolds of varying dimensions and codimensions.
method Analytical and geometrical study of the Levi form.
result Comprehensive insights into the Levi form on CR manifolds.
The pricing of options in exponential Levy models amounts to the computation of expectations of functionals of Levy processes. In many situations, Monte-Carlo methods are used. However, the simulation of a Levy process with infinite Levy measure generally requires either to truncate small jumps or to replace them by a …
Efficient methods for Lévy models using SINH-regular processes.
problem Efficient numerical methods for evaluating Lévy models.
method Defining SL-processes and sSL-processes, deriving properties of characteristic exponent, and showing all popular Lévy processes can be subordinated to Brownian motion.
result All crucial properties of characteristic exponent are consequences of a specific representation, and all popular Lévy processes are SL- or sSL-subordinated Brownian motion.
Paper proves existence of Lévy term structure models.
problem Existence proof for Lévy term structure models.
method Proof of existence and uniqueness for Heath-Jarrow-Morton type equation.
result Full proof of existence and uniqueness of Lévy term structure models.
Study of Lévy flights on Zoll surfaces, revealing geometric information.
problem Understanding the mean first capture time of Lévy flights on Zoll surfaces.
method Analysis of geodesic Lévy processes on Zoll surfaces, focusing on the first correction term.
result The first correction term encodes geometric information, specifically the degree of the conjugate point.
Study shows convergence rates for BSDEs approximated by compound Poisson processes.
problem Analyzing convergence rates of BSDEs driven by Lévy processes.
method Approximating Lévy processes by compound Poisson processes and studying BSDEs.
result Optimal convergence rates derived for BSDEs in L2-norm and Wasserstein distance. New method calibrates multivariate Lévy processes using neural networks.
problem Calibrating multivariate Lévy processes with less smooth densities.
method Approximate Lévy density with parametrized functional form, estimate characteristic function using numerical integration with deep neural networks.
result Deep neural networks robustly capture sharp transitions in Lévy densities.
Levy copulas are the most general concept to capture jump dependence in multivariate Levy processes. They translate the intuition and many features of the copula concept into a time series setting. A challenge faced by both, distributional and Levy copulas, is to find flexible but still applicable models for higher dim…
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…
Motivated by the pricing of lookback options in exponential Lévy models, we study the difference between the continuous and discrete supremum of Lévy processes. In particular, we extend the results of Broadie et al. (1999) to jump-diffusion models. We also derive bounds for general exponential Lévy models.
Study of bandit problem with Poisson decision times and Lévy processes.
problem Continuous-time multi-armed bandit problem with Poisson decision times.
method Gittins index policy applied to spectrally one-sided Lévy processes.
result Gittins index converges to classical Lévy bandit index.
The paper constructs CR manifolds with arbitrary Levi nondegeneracy.
problem Creating CR manifolds with specific Levi nondegeneracy properties.
method Using CR algebras from su(2) representations, studying iterated Levi forms, and local model equations. result Explicit construction and analysis of homogeneous CR manifolds with arbitrary Levi nondegeneracy.
In this note we apply the recently established Wiener-Hopf Monte Carlo (WHMC) simulation technique for Levy processes from Kuznetsov et al. [17] to path functionals, in particular first passage times, overshoots, undershoots and the last maximum before the passage time. Such functionals have many applications, for inst…
Paper calculates perpetual American put option pricing with drawdown event in Lévy market.
problem Pricing perpetual American put options with a drawdown event in a Lévy market.
method Derives explicit price using geometric Lévy process with downward jumps, optimal stopping rule, and martingale arguments.
result Optimal stopping rule is the first time asset price falls below a specific value.
Study determines Lévy exponent from derivative prices.
problem Determine Lévy exponent in asset pricing models.
method Analyzes power-payoff derivatives to infer Lévy exponent structure.
result Lévy exponent can be determined from derivative prices.
Analyzes Lévy flights on manifolds for finding small targets.
problem Finding small targets using Lévy flights on various manifolds.
method Analytic description of Lévy flights on closed Riemannian manifolds, including asymptotics of expected stopping time.
result Computes the expected time for finding a small target by Lévy flight on surfaces.
Optimizes liquidation strategies for assets with Levy process price dynamics.
problem Maximizing cash received from asset sale with price impact.
method Almgren-Chriss framework, constant absolute risk aversion, Levy process approximation.
result Explicit expression for optimal liquidation trajectories.
The Levy Laplacian is studied on manifolds, with heat flow solutions tending to constant functionals over time.
problem Understanding the Levy Laplacian on manifolds and its heat flow behavior.
method Various definitions of the Levy Laplacian are proven equivalent. Heat flows of differential forms are used to construct solutions.
result Solutions of the heat equation with the Levy Laplacian tend to locally constant functionals over time.
Study on compact complex manifolds with specific metrics.
problem Geometry of compact complex manifolds with Levi-Civita Ricci-flat metrics.
method Analysis of compact complex surfaces and their properties.
result Compact complex surfaces with Levi-Civita Ricci-flat metrics are either Kahler Calabi-Yau surfaces or Hopf surfaces.
Paper extends Lévy models with memory to better price FX double barrier options.
problem Efficiently pricing double barrier options in complex FX models.
method Introduces regime-switching Lévy models with memory and a modified numerical method.
result New models and method improve accuracy of option pricing.
Sequences of Levy transformations for the Darboux system of conjugates nets in multidimensions are studied. We show that after a suitable number of Levy transformations, with at least a Levy transformation in each direction, we get closed formulae in terms of multi-Wroński determinants. These formulae are for the tange…
Study optimizes dividend strategies for risk processes with Lévy jumps.
problem Optimizing dividend payments in risk processes with Lévy jumps.
method Analyzes spectrally positive and negative Lévy processes, using scale functions.
result Periodic barrier strategy is optimal for spectrally negative Lévy processes with completely monotone Lévy density.
We construct a complete convergent normal form for a real hypersurface in $\CC{N},\,N\geq 2$ at generic Levi degeneracy. This seems to be the first convergent normal form for a Levi-degenerate hypersurface. In particular, we obtain, in the spirit of the work of Chern and Moser \cite{chern}, distinguished curves in the …
Method extends option valuation for 2D Lévy models.
problem Valuation of European options under 2-asset infinite-activity Lévy models.
method Developed numerical method extending Wang et al. (2007) for 1D to 2D, using Fourier transform for integral term and semi-Lagrangian theta-method for temporal discretization.
result Favourable second-order convergence for Normal Tempered Stable dynamics.
Bayesian inference for Levy density with Gibbs posterior in discrete sampling.
problem Inference on Levy density for financial models with jumps.
method Gibbs posterior framework using a loss function for intractable likelihood.
result Gibbs posterior achieves nearly optimal rate of convergence under certain conditions.
This brief manuscript provides an introduction to Lévy processes and their applications in finance as the random process that drives asset models. Characteristic functions and random variable generators of popular Lévy processes are presented in R.
This is a continuation of our previous paper [14]. In [14], we introduced the first Aeppli-Chern class on compact complex manifolds, and proved that the (1,1) curvature form of the Levi-Civita connection represents the first Aeppli-Chern class which is a natural link between Riemannian geometry and complex geometry. …
The paper constructs Levi flat structures using structure sheaves and differential complexes.
problem Global solvability and regularity of Levi flat structures.
method Employing formal integrability and differential complexes, the paper constructs a resolution for the structure sheaf.
result Global exactness and Sobolev regularity of the differential complex for Levi flat structures.
Universal approximation for rough paths and Lévy processes.
problem Approximating continuous functionals of càdlàg paths.
method Linear functionals of time-extended signatures.
result Universal approximation theorem for continuous functionals of càdlàg paths.