arXiv research

Model captures SPX and VIX volatility surfaces and skew-stickiness ratio.

A new volatility model calibrates SPX & VIX smiles with 6 parameters.

The paper studies Fourier-Laplace transforms in polynomial OU volatility models for option pricing.

Determined the balanced cone of a specific geometric space.

In this paper we give a construction of Lagrangian torus fibration for Fermat type quintic \cy hypersurfaces via the method of gradient flow. We also compute the monodromy of the expected special Lagrangian torus fibration and discuss structures of singular fibers.

Neural nets approximate Ricci flat metrics for Calabi-Yau manifolds.

Quantum K-theory of quintic 3-fold conjectured with non-polynomial coefficients.

We use tropical curves and toric degeneration techniques to construct closed embedded Lagrangian rational homology spheres in a lot of Calabi-Yau threefolds. We apply this construction to the tropical curves obtained from the 2875 lines on the quintic Calabi-Yau threefold. Each admissible tropical curve gives a Lagrang…

In this article we construct Lagrangian torus fibrations for general quintic \cy hypersurfaces near the large complex limit and their mirror manifolds using gradient flow method. Then we prove the Strominger-Yau-Zaslow mirror conjecture for this class of \cy manifolds in symplectic category.

This paper focuses on a topological version on the Strominger-Yau-Zaslow mirror symmetry conjecture. Roughly put, the SYZ conjecture suggests that mirror pairs of Calabi-Yau manifolds are related by the existence of dual special Lagrangian torus fibrations. We explore this conjecture without reference to the special La…

The paper proves K-stability of special Gushel-Mukai manifolds.

We compute the Chen-Ruan orbifold cohomology ring of the Batyrev mirror orbifold of a smooth quintic hypersurface in 4-dimensional projective space. We identify the obstruction bundle for this example by using the Riemann bilinear relations for periods. We outline a general method of computing the Chen-Ruan ring for Ca…

Proves resurgent nature of a series solution to deformed Painlevé I equation.

We study a geometry associated with rank 3 distributions in dimension 8, whose symbol algebra is constant and has a simple Lie algebra sp(3,R) as Tanaka prolongation. We restrict our considerations to only those distributions that are defined in terms of a systems of ODEs of the form $\dot{z}_{ij}=\frac{\partial^2 f(\d…

Algorithm computes eigenvalues and eigenforms on Calabi-Yau threefolds.

The $7$-dimensional link $K$ of a weighted homogeneous hypersurface on the round $9$-sphere in $\mathbb{C}^5$ has a nontrivial null Sasakian structure which is contact Calabi-Yau, in many cases. It admits a canonical co-closed $\rm G_2$-structure $\varphi$ induced by the Calabi-Yau $3$-orbifold basic geometry. We disti…

A polynomial curve of degree 5, $α$, is a helix, if and only if both $||α^'||$ and $||α^'\wedge α^{''}||$ are polynomial functions.

In this paper we investigate the properties of series of vacua in the string theory landscape. In particular, we study minima to the flux potential in type IIB compactifications on the mirror quintic. Using geometric transitions, we embed its one dimensional complex structure moduli space in that of another Calabi-Yau …

We study log canonical thresholds on quartic threefolds, quintic fourfolds, and double spaces. As an application, we show that they have a Kaehler-Einstein metric if they are general.

This paper provides the technical details of gradient flow construction and related problems, which are essential for our construction of Lagrangian torus fibrations for Calabi-Yau hypersurfaces.

We study the variety of Poisson structures and compute Poisson cohomology for two families of Fano threefolds - smooth cubic threefolds and the del Pezzo quintic threefold. Along the way we reobtain by a different method earlier results of Loray, Pereira and Touzet in the special case we are considering.

This thesis explores algebraic cycles and moduli spaces over real numbers.

We identify a set of "energy" functionals on the space of metrics in a given Kaehler class on a Calabi-Yau manifold, which are bounded below and minimized uniquely on the Ricci-flat metric in that class. Using these functionals, we recast the problem of numerically solving the Einstein equation as an optimization probl…

Study finds Calabi-Yau models' operator spectra match random matrix theory.

We conjecture that a non-flat $D$-real-dimensional compact Calabi-Yau manifold, such as a quintic hypersurface with D=6, or a K3 manifold with D=4, has locally length minimizing closed geodesics, and that the number of these with length less than L grows asymptotically as L^{D}. We also outline the physical arguments b…

After Bershadsky-Cecotti-Ooguri-Vafa, we introduce an invariant of Calabi-Yau threefolds, which we call the BCOV invariant and which we obtain using analytic torsion. We give an explicit formula for the BCOV invariant as a function on the compactified moduli space, when it is isomorphic to a projective line. As a corol…

We show that the Craighero-Gattazzo surface, the minimal resolution of an explicit complex quintic surface with four elliptic singularities, is simply-connected. This was conjectured by Dolgachev and Werner, who proved that its fundamental group has a trivial profinite completion. The Craighero-Gattazzo surface is the …

We prove that the quotients of the group algebra of the braid group on 3 strands by a generic quartic and quintic relation respectively, have finite rank. This is a special case of a conjecture by Broué, Malle and Rouquier for the generic Hecke algebra of an arbitrary complex reflection group. Exploring the consequence…

The purpose of this paper is to give an application of the gluing theorem for special Lagrangian submanifolds of a Calabi-Yau 3-fold. We proved a gluing theorem before to smooth a codimension-two singularity of a particular special Lagrangian submanifold. In this paper we will show that this theorem can be applied to m…

For a generic anti-canonical hypersurface in each smooth toric Fano 4-fold with rank 2 Picard group, we prove there exist three isolated rational curves in it. Moreover, for all these 4-folds except one, the contractions of generic anti-canonical hypersurfaces along the three rational curves can be deformed to smooth t…

New invariant P helps classify simply-connected 8-manifolds.

Study new invariants in complex geometry using Bott-Chern hypercohomology.

Enhanced volatility forecasting using options data and rough volatility model.

Study local volatility from rough volatility models, finding new skew rule.

The stochastic volatility model is one of volatility models which infer latent volatility of asset returns. The Bayesian inference of the stochastic volatility (SV) model is performed by the hybrid Monte Carlo (HMC) algorithm which is superior to other Markov Chain Monte Carlo methods in sampling volatility variables. …

Extends Heston model with local volatility for better fit to market volatilities.

We consider Landau-Ginzburg (LG) models with boundary conditions preserving A-type N=2 supersymmetry. We show the equivalence of a linear class of boundary conditions in the LG model to a particular class of boundary states in the corresponding CFT by an explicit computation of the open-string Witten index in the LG mo…

We consider an asset whose risk-neutral dynamics are described by a general class of local-stochastic volatility models and derive a family of asymptotic expansions for European-style option prices and implied volatilities. Our implied volatility expansions are explicit; they do not require any special functions nor do…

Symbolic regression finds two projective invariants capturing most of the Ricci-flat metric variation.

The paper classifies sextic curves on a Fano 3-fold with rational Galois covers in 3D space.

Let X be a minimal surface of general type with positive geometric genus ($b_+ > 1$) and let $K^2$ be the square of its canonical class. Building on work of Khodorovskiy and Rana, we prove that if X develops a Wahl singularity of length $\ell$ in a Q-Gorenstein degeneration, then $\ell \leq 4K^2 + 7$. This improves on …

The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with constant volatility models up to stochastic volatility. We also survey less comm…

The paper values perpetual callable American volatility options using a mean-reverting volatility model.

Develops a martingale expansion for stochastic volatility models.

The article reviews how to set stochastic volatility model parameters.

Volatility roughness studied using fractional noise-driven models.

Diamonds help compute volatility models efficiently.

Study large deviations in fractional volatility models with non-Gaussian volatility.