arXiv research

Path-dependent PDEs model VIX and Realised Variance options.

The paper shows how shared random seeds can reduce variance in machine learning evaluations.

In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims paying off at maturity a joint function of the underlying and its realised volatilit…

Enhanced GARCH model uses autoencoder for volatility forecasting.

We provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling allows us to transfer these results into small-time, large-time and tail asymptotics for diffusions, as well as for option prices and realised vari…

The paper shows geometric realisation over specific groups and knots.

We develop a new purely combinatorial approach to N. Steenrod's problem on realisation of cycles. We prove that every n-dimensional homology class of every topological space can be realised with some multiplicity by an image of a finite-fold covering over the manifold M^n, where M^n is the isospectral manifold of real …

Motivated by the importance of symplectic isotropic realisations in the study of Poisson manifolds, this paper investigates the local and global theory of contact isotropic realisations of Jacobi manifolds, which are those of minimal dimension. These arise naturally when considering multiplicity-free actions in contact…

The paper proves a theorem about fixed points and relates it to the Nielsen realisation problem.

The study explores which sets of integers can be realized as the degrees of maps between manifolds.

Study Coxeter groups over fusion rings and their geometric realisations.

We prove Nielsen realisation for finite subgroups of the groups of untwisted outer automorphisms of RAAGs in the following sense: given any graph $Γ$, and any finite group $G\leqslant \mathrm{U}^0(A_Γ) \leqslant \mathrm{Out}^0(A_Γ)$, we find a non-positively curved cube complex with fundamental group $A_Γ$ on which $G$…

The paper constructs infinitely many stably diffeomorphic but non-homotopy equivalent manifolds.

Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger [2012] for twice continuously differentiable deterministic functions of a multivariate martingale. They are initially characterised as solutions to a second-order system of PDEs, then those pay-…

The paper removes a condition for the Nielsen realisation problem using equivariant Poincaré duality.

Study on constraints for topological and smooth realizations of line arrangements and configurations.

Just as $\Cstar$ principal bundles provide a geometric realisation of two-dimensional integral cohomology; gerbes or sheaves of groupoids, provide a geometric realisation of three dimensional integral cohomology through their Dixmier-Douady class. I consider an alternative, related, geometric realisation of three dimen…

We develop a general multivariate aggregation property which encompasses the distinct versions of the property that were introduced by Neuberger [2012] and Bondarenko [2014] independently. This way, we classify new types of model-free realised characteristics for which risk premia may be estimated without bias. We focu…

In the recent years, banks have sold structured products such as worst-of options, Everest and Himalayas, resulting in a short correlation exposure. They have hence become interested in offsetting part of this exposure, namely buying back correlation. Two ways have been proposed for such a strategy : either pure correl…

We present small-time implied volatility asymptotics for Realised Variance (RV) and VIX options for a number of (rough) stochastic volatility models via large deviations principle. We provide numerical results along with efficient and robust numerical recipes to compute the rate function; the backbone of our theoretica…

We generalise the Karrass-Pietrowski-Solitar and the Nielsen realisation theorems from the setting of free groups to that of free products. As a result, we obtain a fixed point theorem for finite groups of outer automorphisms acting on the relative free splitting complex of Handel--Mosher and on the outer space of a fr…

We present classification results for exceptional Legendrian realisations of torus knots. These are the first results of that kind for non-trivial topological knot types. Enumeration results of Ding-Li-Zhang concerning tight contact structures on certain Seifert fibred manifolds with boundary allow us to place upper bo…

We study dismantling properties of the arc, disc and sphere graphs. We prove that any finite subgroup H of the mapping class group of a surface with punctures, the handlebody group, or Out(F_n) fixes a filling (resp. simple) clique in the appropriate graph. We deduce realisation theorems, in particular the Nielsen Real…

Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating the square root of the expected realised variance which cannot be computed by direct Monte Carlo methods. Least squares Monte Carlo methods…

A space is created to realize a specific cohomology module, showing PL structure but not smoothability.

Measuring foliations at infinity of quasi-Fuchsian manifolds, proving filling pairs and showing realisation.

News embeddings improve volatility forecasts.

We show that the sum of the Morse indices of the Willmore spheres realising the width of Willmore type sweep-outs is bounded by the number of the parameters of the min-max. As an application, we deduce that among the true Willmore spheres realising the min-max sphere eversion, at most one of them one has index 1, while…

We introduce the notion of a special complex manifold: a complex manifold (M,J) with a flat torsionfree connection \nabla such that (\nabla J) is symmetric. A special symplectic manifold is then defined as a special complex manifold together with a \nabla-parallel symplectic form ω. This generalises Freed's definition …

We realise the first and second Grushin distributions as symmetry reductions of the 3-dimensional Heisenberg distribution and 4-dimensional Engel distribution respectively. Similarly, we realise the Martinet distribution as an alternative symmetry reduction of the Engel distribution. These reductions allow us to derive…

The paper studies elliptic operators on manifolds with boundary.

Let $G$ be a connected, linear, real reductive Lie group with compact centre. Let $K<G$ be maximal compact. For a tempered representation $π$ of $G$, we realise the restriction $π|_K$ as the $K$-equivariant index of a Dirac operator on a homogeneous space of the form $G/H$, for a Cartan subgroup $H<G$. (The result in f…

Let $X$ be a smooth, compact, oriented $4$-manifold. Building upon work of Li-Liu, Ruberman, Nakamura and Konno, we consider a families version of Seiberg-Witten theory and obtain obstructions to the existence of certain group actions on $X$ by diffeomorphisms. The obstructions show that certain group actions on $H^2(X…

Generalizes existence of bending laminations for Kleinian groups.

Intermediate logic of all convex polyhedra is axiomatized.

We completely classify Legendrian realisations of the Hopf link, up to coarse equivalence, in the 3-sphere with any contact structure.

New neural network solves Nirenberg problem for curvature on sphere.

New obstructions show some 4-manifold homeomorphisms are pseudo-isotopic but not isotopic.

A Fuchsian polyhedron in hyperbolic space is a polyhedral surface invariant under the action of a Fuchsian group of isometries (i.e. a group of isometries leaving globally invariant a totally geodesic surface, on which it acts cocompactly). The induced metric on a convex Fuchsian polyhedron is isometric to a hyperbolic…

Unlike in hyperbolic geometry, the monodromy ideal triangulation of a hyperbolic once-punctured torus bundle $M_f$ has no natural geometric realisation in Cauchy-Riemann (CR) space. By introducing a new type of $3$--cell, we construct a different cell decomposition $\mathcal{D}_f$ of $M_f$ that is always realisable in …

A common assumption of political economy is that profit rates across firms or sectors tend to uniformity, and often models are formulated in which this tendency is assumed to have been realised. But in reality this tendency is never realised and the distribution of firm profits is not degenerate but skewed to the right…

The study examines the realizability of a 4-manifold invariant for homeomorphisms.

In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits. By relying on the theory of progressive enlargement of filtrations, we explicitly show that no kind of arbitrage profit can ever be realised strictly…

We develop a new Monte Carlo variance reduction method to estimate the expectation of two commonly encountered path-dependent functionals: first-passage times and occupation times of sets. The method is based on a recursive approximation of the first-passage time probability and expected occupation time of sets of a Le…

Researchers describe horofunctions in noncompact Hermitian symmetric spaces.

We study spaces of realisations of linkages (weighted graphs) whose underlying graph is a series parallel graph. In particular, we describe an algorithm for determining whether or not such spaces are connected.

We give explicit examples of degree 3 cohomology classes not Poincare dual to submanifolds, and discuss the realisability of homology classes by submanifolds with Spin-C normal bundles.

The paper characterizes new invariant spin$^r$ spinors on projective spaces.