arXiv research

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

It is proved that the members of the Riccati hierarchy, the so-called Riccati chain equations, can be considered as particular cases of projective Riccati equations, which greatly simplifies the study of the Riccati hierarchy. This also allows us to characterize Riccati chain equations geometrically in terms of the pro…

Study optimizes portfolio liquidation strategies with complex market impacts.

We generalize the classical Lie results on a basis of differential invariants for a one-parameter group of local transformations to the case of arbitrary number of independent and dependent variables. It is proved that if universal invariant of a one-parameter group is known then a complete set of functionally independ…

Construct geometric interpretation of Heston model using group quantization.

We establish an explicit expression for the conditional Laplace transform of the integrated Volterra Wishart process in terms of a certain resolvent of the covariance function. The core ingredient is the derivation of the conditional Laplace transform of general Gaussian processes in terms of Fredholm's determinant and…

Extend classical theory of affine processes to path-dependent setting

Expanding the rough Heston model in $H$

We use the dressing method to construct transformations of constrained Willmore surfaces in arbitrary codimension. An adaptation of the Terng--Uhlenbeck theory of dressing by simple factors to this context leads us to define Bäcklund transforms of these surfaces for which we prove Bianchi permutability. Specialising to…

The paper solves a complex financial optimization problem using a novel mathematical technique.

We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral which extends the original approach of Bru. We compare our methodology with the alternative results given by the variation of constants method, the linearization of the Matrix Riccati ODE's and the Runge-Kutta al…

We solve a family of fractional Riccati differential equations with constant (possibly complex) coefficients. These equations arise, e.g., in fractional Heston stochastic volatility models, that have received great attention in the recent financial literature thanks to their ability to reproduce a rough volatility beha…

In this paper we investigate a dynamic stochastic portfolio optimization problem involving both the expected terminal utility and intertemporal utility maximization. We solve the problem by means of a solution to a fully nonlinear evolutionary Hamilton-Jacobi-Bellman (HJB) equation. We propose the so-called Riccati met…

The paper derives formulas for pricing geometric Asian options in the Volterra-Heston model.

Affine connections linked to Riccati distributions on compact surfaces.

Paper derives Riccati equation for static spaces and proves its applications.

A new tontine design aims to protect longevity risk with non-indexed investments.

This work is dedicated to the study of the Moebius invariant class of constrained Willmore surfaces and its symmetries. We define a spectral deformation by the action of a loop of flat metric connections; Baecklund transformations, by applying a dressing action; and, in 4-space, Darboux transformations, based on the so…

New SDEs from affine and polynomial perspectives for path-dependent processes.

The aim of this paper is to construct and analyze solutions to a class of Hamilton-Jacobi-Bellman equations with range bounds on the optimal response variable. Using the Riccati transformation we derive and analyze a fully nonlinear parabolic partial differential equation for the optimal response function. We construct…

We study algebraic solutions of the Riccati equation over the field of rational functions $\mathbb C(t)$, and over the elliptic function field $\mathbb C(\wp,\wp^\prime)$.

Investigates mean-variance portfolio selection in non-Markovian markets.

This paper refines the Gaussian Sinkhorn algorithm for general multivariate models.

New theory extends LQ control to non-exponential discount scenarios.

New techniques solve Riccati equations on 3D manifolds, finding 4th order metric obstructions.

Investigates optimal investment strategies in financial markets with jumps.

This paper optimizes portfolio selection for multivariate affine and quadratic Volterra models with rough volatilities.

Paper maps Hamiltonians and line elements in manifolds.

Study solves HJB equations for time-inconsistent control problems.

A quasi-Lie scheme is a geometric structure that provides t-dependent changes of variables transforming members of an associated family of systems of first-order differential equations into members of the same family. In this note we introduce two quasi-Lie schemes for studying second-order Gambier equations in a geome…

This paper deals with the question of analytic continuation of holonomy germs of holomorphic foliations. We prove that for a quasi-minimal Riccati foliation of the complex projective plane, any holonomy germ of the foliation between complex projective lines can be analytically continued along a generic Brownian path.

In this paper we develop some group theoretical methods which are shown to be very useful for a better understanding of the properties of the Riccati equation and we discuss some of its integrability conditions from a group theoretical perspective. The nonlinear superposition principle also arises in a simple way.

A geometric construction is provided that associates to a given flat front in $\mathbb{H}^3$ a pair of minimal surfaces in $\mathbb{R}^3$ which are related by a Ribaucour transformation. This construction is generalized associating to a given frontal in $\mathbb{H}^3$ , a pair of frontals in $\mathbb{R}^3$ that are env…

Paper solves Merton's portfolio problem in a non-Markovian, non-semimartingale model.

Alternative proofs for various inequalities on Riemannian manifolds.

In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evolutionary Hamilton-Jacobi-Bellman equation which is transformed by means of the Riccati transformation. We examine the dependence of the resu…

In this paper we propose and analyze a method based on the Riccati transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation arising from the stochastic dynamic optimal allocation problem. We show how the fully nonlinear Hamilton-Jacobi-Bellman equation can be transformed into a quasi-linear paraboli…

It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and implied volatilities. However, due to the non-Markovian nature of the fractional Br…

This paper considers multi-dimensional affine processes with continuous sample paths. By analyzing the Riccati system, which is associated with affine processes via the transform formula, we fully characterize the regions of exponents in which exponential moments of a given process do not explode at any time or explode…

We determine the homogeneous Kähler diffeomorphism $FC$ which expresses the Kähler two-form on the Siegel-Jacobi ball $\mc{D}^J_n=\C^n\times \mc{D}_n$ as the sum of the Kähler two-form on $\C^n$ and the one on the Siegel ball $\mc{D}_n$. The classical motion and quantum evolution on $\mc{D}^J_n$ determined by a hermiti…

Researchers developed volume comparison theorems in Finsler spacetimes.

Study solves DREs for trading strategies using signals and past prices.

We provide existence, uniqueness and stability results for affine stochastic Volterra equations with $L^1$-kernels and jumps. Such equations arise as scaling limits of branching processes in population genetics and self-exciting Hawkes processes in mathematical finance. The strategy we adopt for the existence part is b…

We propose two methods to obtain exact solutions for the Almgren-Chriss model about optimal execution of portfolio transactions. In the first method we rewrite the Almgren-Chriss equation and find two exact solutions. In the second method, employing a general reparametrized time, we show that the Almgren-Chriss equatio…

Study on Volterra Cox-Ingersoll-Ross process, proving asymptotic independence and ergodicity.

The paper defines and studies the geometric mean for tensors and its associated Riemannian geometry.

We put forward a complete theory on moment explosion for fairly general state-spaces. This includes a characterization of the validity of the affine transform formula in terms of minimal solutions of a system of generalized Riccati differential equations. Also, we characterize the class of positive semidefinite process…

Mixed superposition rules, i.e., functions describing the general solution of a system of first-order differential equations in terms of a generic family of particular solutions of first-order systems and some constants, are studied. The main achievement is a generalization of the celebrated Lie-Scheffers Theorem, char…