arXiv research

Generalizes Dolbeault cohomology computation to Levi-flat CR structures on compact Lie groups.

Complete normal forms for specific real hypersurfaces in complex space are constructed.

In our earlier articles we studied tube hypersurfaces in ${\mathbb C}^3$ that are 2-nondegenerate and uniformly Levi degenerate of rank 1. In particular, we showed that the vanishing of the CR-curvature of such a hypersurface is equivalent to the Monge equation with respect to one of the variables. In the present paper…

We study CR hypersurfaces in C^4 with constant rank Levi form and find their defining equations.

Develops new approach to recover CR structures from their Levi foliations.

We consider odd Poisson (odd symplectic) structure on supermanifolds induced by an odd symmetric rank $2$ (non-degenerate) contravariant tensor field. We describe the difference between odd Riemannian and odd symplectic structure in terms of the Cartan prolongation of the corresponding Lie algebras, and formulate an an…

Study of special hypersurfaces in complex space with unique properties.

This paper constructs an explicit {e}-structure for certain 2-nondegenerate hypersurfaces.

The paper maps two types of hyperkähler manifolds and identifies their symplectic structures.

Given a complex Hilbert space H and the von Neumann algebra L(H) of all bounded linear operators on H, we study the Grassmann manifold M of all projections in L(H) that have a fixed finite rank r. We take the Jordan-Banach triple theory approach which allows us to define a natural Levi-Civita connection on M. We identi…

In this paper, we consider real hypersurfaces $M$ in $\Bbb C^3$ (or more generally, 5-dimensional CR manifolds of hypersurface type) at uniformly Levi degenerate points, i.e. Levi degenerate points such that the rank of the Levi form is constant in a neighborhood. We also require the hypersurface to satisfy a certain s…

It is shown that that the rank of the second fundamental form (resp. the Levi form) of a $\mathcal C^2$-smooth convex hypersurface $M$ in $\Bbb R^{n+1}$ (resp. $\Bbb C^{n+1}$) does not exceed an integer constant $k<n$ near a point $p\in M,$ then through any point $q\in M$ near $p$ there exists a real (resp. complex) $(…

We give a short proof of the Gauss-Bonnet theorem for a real oriented Riemannian vector bundle $E$ of even rank over a closed compact orientable manifold $M$. This theorem reduces to the classical Gauss-Bonnet-Chern theorem in the special case when $M$ is a Riemannian manifold and $E$ is the tangent bundle of $M$ endow…

Study reveals finite-size effects and sensitivity to random numbers in Levy-Levy-Solomon model.

Given a complex Hilbert space H, we study the differential geometry of the manifold M of all projections in V:=L(H). Using the algebraic structure of V, a torsionfree affine connection $\nabla$ (that is invariant under the group of automorphisms of V) is defined on every connected component of M, which in this way beco…

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.

Study of Yang-Mills fields on 4-manifolds using modified Lévy Laplacians.

Analyzes the Levi form on CR manifolds of any dimension.

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 …

By considering the projectivized spectrum of the Jacobi operator, we introduce the concept of projective Osserman manifold in both the affine and in the pseudo-Riemannian settings. If M is an affine projective Osserman manifold, then the modified Riemannian extension metric on the cotangent bundle is both spacelike and…

Efficient methods for Lévy models using SINH-regular processes.

Paper proves existence of Lévy term structure models.

Study of Lévy flights on Zoll surfaces, revealing geometric information.

Study shows convergence rates for BSDEs approximated by compound Poisson processes.

New method calibrates multivariate Lévy processes using neural networks.

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…

The homogeneous affine surfaces have been classified by Opozda. They may be grouped into 3 families, which are not disjoint. The connections which arise as the Levi-Civita connection of a surface with a metric of constant Gauss curvature form one family; there are, however, two other families. For a surface in one of t…

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.

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…

Study of bandit problem with Poisson decision times and Lévy processes.

The paper constructs CR manifolds with arbitrary Levi nondegeneracy.

Paper calculates perpetual American put option pricing with drawdown event in Lévy market.

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…

Study determines Lévy exponent from derivative prices.

Analyzes Lévy flights on manifolds for finding small targets.

Optimizes liquidation strategies for assets with Levy process price dynamics.

The Levy Laplacian is studied on manifolds, with heat flow solutions tending to constant functionals over time.

Paper extends Lévy models with memory to better price FX double barrier options.

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…

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 …

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…

Method extends option valuation for 2D Lévy models.

Bayesian inference for Levy density with Gibbs posterior in discrete sampling.

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. …

In this paper, we study the geometry of compact complex manifolds with Levi-Civita Ricci-flat metrics and prove that compact complex surfaces admitting Levi-Civita Ricci-flat metrics are Kahler Calabi-Yau surfaces or Hopf surfaces.