We discuss several aspects of Mellin transform, including distributional Mellin transform and inversion of multiple Mellin-Barnes integrals in and its connection to residue expansion or evaluation of Laplace integrals. These mathematical concepts are demonstrated on several option-pricing models. This in…
On-device research index
arXiv research
A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
168,695 papers · 148 categories
Trend · papers per month
48 results for “Mellin space”
The paper calculates option prices using Mellin transform for stochastic volatility models.
problem Calculating prices for path-dependent options under stochastic volatility.
method Asymptotic approach and Mellin transform for deriving closed-form formulas.
result Derives closed-form formulas for option prices with first-order approximation.
Researchers use Mellin-Barnes integrals to study trinomial equations and their braids.
problem Analyzing the roots of trinomial algebraic equations.
method Global analytic continuation and Mellin-Barnes integral representations.
result Precise description of the Galois group of trinomial equations.
Analytical pricing formulas and Greeks are obtained for European and American basket put options using Mellin transforms. We assume assets are driven by geometric Brownian motion which exhibit correlation and pay a continuous dividend rate. A novel approach to numerical Mellin inversion is achieved via the fast Fourier…
New findings suggest Barron space doesn't defy curse of dimensionality for certain types of smoothness.
problem Understanding the curse of dimensionality in neural networks with different smoothness notions.
method Defined ADZ spaces via Mellin transform to encapsulate nonclassical smoothness, compared to classical smoothness.
result Evidence provided that Barron space doesn't defy curse of dimensionality for certain smoothness types.
Closed-form formulas for path-independent options in a specific Lévy model.
problem Valuation of path-independent options in the exponential NIG model.
method Closed-form pricing formulas derived using a factorized representation in Mellin space and complex analysis.
result Valid closed-form formulas with quickly convergent series for various options.
New -functions for 3-manifolds connect to Witten invariants and relate to generalized Bernoulli polynomials.
problem Understanding -functions for 3-manifolds and their invariants.
method Using Mellin transforms and asymptotic techniques, proving entire functions and their values.
result Linear relations between -function values at negative integers, generalizing known zeta functions.
In this paper, we show that the price of an European call option, whose underlying asset price is driven by the space-time fractional diffusion, can be expressed in terms of rapidly convergent double-series. The series formula can be obtained from the Mellin-Barnes representation of the option price with help of residu…
We provide analytical tools for pricing power options with exotic features (capped or log payoffs, gap options ...) in the framework of exponential Lévy models driven by one-sided stable or tempered stable processes. Pricing formulas take the form of fast converging series of powers of the log-forward moneyness and of …
Construct geometric interpretation of Heston model using group quantization.
problem Geometric interpretation of Heston model
method Lifted local Lie groupoid formulation
result Geometric interpretation of Heston pricing operator and Riccati equations
We consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behavior of the slope for infinite activity exponential Lévy models including a Brownian component. As auxiliary results, we obtain asymptotic expansions of short maturity at-the-money digit…
Exponential Lévy processes have been used for modelling financial derivatives because of their ability to exhibit many empirical features of markets. Using their multidimensional analogue, a general analytic pricing formula is obtained, allowing for the direct valuation of multi-asset options on $n \in \z^+$ risky asse…
Regularization and analytic option pricing under -stable distribution of arbitrary asymmetryq-fin.PR
We consider a non-Gaussian option pricing model, into which the underlying log-price is assumed to be driven by an -stable distribution. We remove the a priori divergence of the model by introducing a Mellin regularization for the Lévy propagator. Using distributional and tools, we derive an analytic …
We establish several closed pricing formula for various path-independent payoffs, under an exponential Lévy model driven by the Variance Gamma process. These formulas take the form of quickly convergent series and are obtained via tools from Mellin transform theory as well as from multidimensional complex analysis. Par…
The article studies mapping properties of Radon transform and backprojection on a unit ball.
problem Polyhomogeneous mapping properties of Radon transform and backprojection operator on the unit ball.
method Constructs a double b-fibration to desingularize the point-hyperplane relation, provides formulas and sharper estimates.
result Sharper estimates on polyhomogeneous mapping properties of Radon transform and backprojection compared to classic estimates.
We establish an explicit pricing formula for the class of Lévy-stable models with maximal negative asymmetry (Log-Lévy model with finite moments and stability parameter ) in the form of rapidly converging series. The series is obtained with help of Mellin transform and the residue theory in . T…
Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic modelsq-fin.PR
In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin convolution of functions, and use these formulas to characterize the asymptotic behavior of marginal distribution densities of stock price processes in mixed stochastic models. Special examples of mixed models are jump-diffusion mode…
Study X-ray transform on manifolds, desingularize, and improve mapping properties.
problem Characterize mapping properties of X-ray transform and its adjoint on manifolds with strictly convex boundary.
method Use b-fibrations, desingularize, and apply Melrose's Pushforward Theorem to analyze polyhomogeneous functions.
result Improved mapping properties of X-ray transform and its adjoint, recovering sharp results.
In this paper we study the exponential functionals of the processes with independent increments , namely and also When is a semi-martingale with absolutely continuous characteristics, we derive recurrent integral equat…
Quantum dilogarithms help define invariants of 3-manifolds.
problem Defining invariants of 3-manifolds using quantum dilogarithms.
method Associate quantum dilogarithms to local fields, construct TQFTs, and use partition functions.
result Quantum dilogarithms yield invariants related to -polynomial curves.
The paper simplifies calculus for semimartingales using multiplicative compensation.
problem Developing a formula for complex-valued semimartingales to simplify stochastic calculus.
method Multiplicative compensation for complex-valued semimartingales.
result The stochastic exponential of complex-valued semimartingales becomes a true martingale after compensation.
Paper solves quantum differential equations for projective bundles using Borel multitransforms.
problem Integration of quantum differential equations for -bundles.
method Introduced Borel -multitransforms to reconstruct solutions.
result Quantum analog of Leray-Hirsch theorem for quantum cohomology of -bundles.
Study pricing derivatives in markets with long-range dependence and jumps.
problem Deriving pricing formulas for derivatives in markets with long-range dependence and jumps.
method Developed a fractional integro-partial differential equation (PIDE) and used semigroup theory and finite-difference schemes for numerical solutions.
result Closed-form pricing formula for European options and numerical solution for general options.
Paper studies Frobenius manifolds and quantum differential equations, proving Dubrovin Conjecture for Hirzebruch surfaces.
problem Quantum differential equations and their solutions in Gromov-Witten theory.
method Introduces cyclic strata, Borel-Laplace multitransforms, and integral representations.
result Proof of Dubrovin Conjecture for Hirzebruch surfaces.
The paper calculates heat kernel and closed geodesic asymptotics for nilpotent coverings.
problem Heat kernel and closed geodesic asymptotics for nilpotent coverings.
method Finite-dimensional rational Floquet-Bloch theory, Pytlik functional, and spectral sums.
result Genuinely local, pointwise higher-order heat-kernel expansions.
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment can be obtained by solving (numerically) a simple equation. This yields a leading order expansion for the implied volatility at large strikes: (Roger Lee's moment…
Study of tangent spaces in diffeological spaces under Lie group actions.
problem Understanding tangent spaces in generalized spaces.
method Generalized tangent space construction and isomorphism proof.
result Internal tangent space isomorphic to stratified tangent space.
(1,1) non-L-space knots are foliar in 3D space.
problem Proving (1,1) non-L-space knots are foliar.
method Analyzing (1,1) non-L-space knots in and lens spaces.
result (1,1) non-L-space knots are persistently foliar.
Universal spaces for finite topological spaces simplify shape descriptions.
problem Describing shape properties of compact metric spaces.
method Inverse limits of finite spaces and Alexandroff extensions.
result Universal spaces simplify shape descriptions of compact metric spaces.
The paper extends Stone duality to topological convexity spaces.
problem Understanding the relationship between topological convexity spaces and sup-lattices.
method Extending Stone duality to topological convexity spaces using preconvexity spaces.
result An adjunction between topological convexity spaces and sup-lattices.
No Einstein hypersurfaces found in Damek-Ricci spaces.
problem Existence of Einstein hypersurfaces in symmetric spaces.
method Analyzing properties of Damek-Ricci spaces and proving no Einstein hypersurface exists.
result No Einstein hypersurfaces in Damek-Ricci spaces.
The distance function (or ) of a distance space (general metric space) is not differentiable in general. We investigate such distance spaces over , whose distance functions are differentiable like in case of Finsler spaces. These spaces have several good properties, yet they are no F…
New kernels defined for various spaces, including measures.
problem Defining kernels on non-standard spaces like measures.
method Integrally strictly positive definite and characteristic kernels on Hilbert, Banach, and metric spaces.
result Explicit classes of kernels on spaces and sets of measures.
Metric spaces uniquely split into Hilbert and non-line-split parts.
problem Understanding the structure of metric spaces.
method Proved unique decomposition into Hilbert and non-line-split parts.
result Metric spaces have a unique decomposition into a Hilbert space and a non-line-split part.
In a paper (math.DG/0403528) we obtained explicit examples of Moishezon twistor spaces of some compact self-dual four-manifolds admitting a non-trivial Killing field, and also determined their moduli space. In this note we investigate minitwistor spaces associated to these twistor spaces. We determine their structure, …
Study geometry of tetrahedra in complex hyperbolic space and Hilbert spaces.
problem Understanding geometric relationships between complex hyperbolic spaces and Hilbert spaces.
method Use a complex analog of the cosine of a vertex angle as a novel technical tool.
result Describe possible triangular faces of tetrahedra in hyperbolic space and three-dimensional subspaces in Hilbert spaces with Pick kernels.
New curvature positivity helps classify spherical spaces and complex projective spaces.
problem Classifying spherical space forms and complex projective spaces.
method Introducing a new positivity notion for curvature.
result Characterizations for spherical space forms and complex projective spaces.
Study of complete space-like self-expanders in Minkovski space.
problem Characterize complete space-like self-expanders in Minkovski space.
method Use of maximum principle of Omori-Yau type to prove rigidity theorems.
result Classification of 2-dimensional complete space-like self-expanders with constant squared norm of the second fundamental form.
The abstract discusses the linear and smooth structures of mapping spaces.
problem The structure of mapping spaces in differential geometry.
method Proving diffeomorphisms and fibre bundle properties.
result Path spaces and base point preserving mapping spaces are Fréchet spaces.
Study on convergence of transformed metric spaces as dimensions grow.
problem Conditions for convergence of transformed metric spaces.
method Clarifying conditions for convergence of transformed spaces from original sequence and vice versa.
result Spheres and projective spaces converge to Gaussian space and its quotient as dimensions increase.
Characterizes when almost smooth spaces become RCD spaces.
problem Understanding conditions for almost smooth spaces to be RCD spaces.
method Characterizations via local volume doubling and Poincaré inequality.
result Characterizes Einstein 4-orbifolds.
Stability of Wasserstein spaces under various convergence types.
problem Stability and finiteness of Wasserstein spaces over singular and non-singular spaces.
method Gromov--Hausdorff convergence and equivariant Gromov--Hausdorff convergence.
result Analogue of Perelman's stability theorem on Wasserstein spaces.
New infinite families of flat spaces found from symmetric spaces.
problem Finding new flat homogeneous spaces.
method Starting from compact symmetric spaces, constructing infinite families of compact homogeneous spaces with invariant Bismut connections.
result Infinite families of compact homogeneous spaces with vanishing Ricci tensor.
New quasi space forms solve Thurston's geometrical space form problem.
problem Solving Thurston's geometrical space form problem.
method Introducing quasi space forms as non-real space forms with specific geometric properties.
result Quasi space forms offer a metrical, local geometrical solution to Thurston's problem.
Classifies compact spaces by shape, finite spaces by weak homotopy.
problem Classifying compact Hausdorff spaces and finite topological spaces.
method Constructs a category that classifies spaces by shape and weak homotopy.
result Classifies compact spaces by shape, finite spaces by weak homotopy.
Introduces new types of homogeneous spaces and their properties.
problem Defining and understanding new types of homogeneous spaces.
method Introducing and analyzing (strongly) (-)discrete homogeneous spaces.
result Discovers relationships between new and existing homogeneous space types.
This work describes compactifications of metric spaces and vector spaces using asymmetric norms.
problem Compactifying metric spaces and vector spaces using asymmetric norms.
method Nonstandard methods, ultrapowers of the spaces at hand.
result Polyhedral compactifications of vector spaces with stratified structure.
In this paper, we present a unified study of the moduli space of tropical curves and Outer space which we link via period maps to the moduli space of tropical abelian varieties and the space of positive definite quadratic forms. Our work is a first step towards exhibiting Outer space and the space of positive definite …