arXiv research

Study models interest rates as CTMC, pricing and replicating derivatives.

We introduce a non-parametric method to recover physical probability distributions of asset returns based on their European option prices and some other sparse parametric information. Thus the main problem is similar to the one considered foir instance in the Recovery Theorem by Ross (2015), except that here we conside…

Recently, Ross showed that it is possible to recover an objective measure from a risk-neutral measure. His model assumes that there is a finite-state Markov process X that drives the economy in discrete time. Many authors extended his model to a continuous-time setting with a Markov diffusion process X with state space…

This paper develops a spectral theory of Markovian asset pricing models where the underlying economic uncertainty follows a continuous-time Markov process X with a general state space (Borel right process (BRP)) and the stochastic discount factor (SDF) is a positive semimartingale multiplicative functional of X. A key …

The purpose of this article is to describe all possible beliefs of market participants on objective measures under Markovian environments when a risk-neutral measure is given. To achieve this, we employ the Martin integral representation of Markovian pricing kernels. Then, we offer economic and financial implications o…

The abstract presents a new theorem using Ross-Witt Nyström correspondence and Berndtsson's theorem.

The Dybvig-Ingersoll-Ross (DIR) theorem states that, in arbitrage-free term structure models, long-term yields and forward rates can never fall. We present a refined version of the DIR theorem, where we identify the reciprocal of the maturity date as the maximal order that long-term rates at earlier dates can dominate …

In this note, we explain that Ross-Thomas' result on the weighted Bergman kernels on orbifolds can be directly deduced from our previous result. This result plays an important role in the companion paper to prove an orbifold version of Donaldson Theorem.

We give a formula of the Donaldson-Futaki invariants for certain type of semi test configurations, which essentially generalizes Ross-Thomas' slope theory. The positivity (resp. non-negativity) of those "a priori special" Donaldson-Futaki invariants implies K-stability (resp. K-semistability). We show its applicability…

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

In this paper a finite discrete time market with an arbitrary state space and bid-ask spreads is considered. The notion of an equivalent bid-ask martingale measure (EBAMM) is introduced and the fundamental theorem of asset pricing is proved using (EBAMM) as an equivalent condition for no-arbitrage. The Cox-Ross-Rubinst…

Defines a new process for financial modeling.

We study convergence properties of the full truncation Euler scheme for the Cox-Ingersoll-Ross process in the regime where the boundary point zero is inaccessible. Under some conditions on the model parameters (precisely, when the Feller ratio is greater than three), we establish the strong order 1/2 convergence in $L^…

A new adaptive splitting method improves accuracy for Cox-Ingersoll-Ross model.

We address some theoretical guarantees for Schatten-$p$ quasi-norm minimization ($p \in (0,1]$) in recovering low-rank matrices from compressed linear measurements. Firstly, using null space properties of the measurement operator, we provide a sufficient condition for exact recovery of low-rank matrices. This condition…

Adaptive method improves numerical solution of Cox-Ingersoll-Ross model.

New high-order approximations for CIR process using random grids.

Let $Δ\subset \mathbb{R}^n$ be an $n$-dimensional integral Delzant polytope. It is well-known that there exist the $n$-dimensional compact toric manifold $X_Δ$ and the very ample $(\mathbb{C}^\times)^n$-equivariant line bundle $L_Δ$ on $X_Δ$ associated with $Δ$. In the present paper, we give a necessary and sufficient …

We analyze exponential integrability properties of the Cox-Ingersoll-Ross (CIR) process and its Euler discretizations with various types of truncation and reflection at 0. These properties play a key role in establishing the finiteness of moments and the strong convergence of numerical approximations for a class of sto…

We show a relation between the birational superrigidity of Fano manifold and its slope stability in the sense of Ross-Thomas.

We prove a scaling limit theorem for the super-replication cost of options in a Cox--Ross--Rubinstein binomial model with transient price impact. The correct scaling turns out to keep the market depth parameter constant while resilience over fixed periods of time grows in inverse proportion with the duration between tr…

In this we paper we recast the Cox--Ingersoll--Ross model of interest rates into the chaotic representation recently introduced by Hughston and Rafailidis. Beginning with the ``squared Gaussian representation'' of the CIR model, we find a simple expression for the fundamental random variable X. By use of techniques fro…

Model predicts Bitcoin prices influenced by market attention.

New financial price model using earning yield derived from CIR process.

Extends CRR model with q-binomial random walks for asset pricing.

A new method for automatic gradient tree boosting using information theory.

Study on non-negative solutions for stochastic Volterra equations with jumps.

Spectral clustering for geometric graphs achieves strong consistency in community recovery.

We determine an explicit formula for the Laplace transform of the price of an option on a maximal interest rate when the instantaneous rate satisfies Cox-Ingersoll-Ross's model. This generalizes considerably one result of Leblanc-Scaillet.

We study the Heston-Cox-Ingersoll-Ross++ stochastic-local volatility model in the context of foreign exchange markets and propose a Monte Carlo simulation scheme which combines the full truncation Euler scheme for the stochastic volatility component and the stochastic domestic and foreign short interest rates with the …

SyncRank recovers global ranking from noisy comparisons with theoretical guarantees.

The analytical tractability of affine (short rate) models, such as the Vasicek and the Cox-Ingersoll-Ross models, has made them a popular choice for modelling the dynamics of interest rates. However, in order to account properly for the dynamics of real data, these models need to exhibit time-dependent or even stochast…

We construct a binomial tree model fitting all moments to the approximated geometric Brownian motion. Our construction generalizes the classical Cox-Ross-Rubinstein, the Jarrow-Rudd, and the Tian binomial tree models. The new binomial model is used to resolve a discontinuity problem in option pricing.

The paper analyzes sparse PCA for incomplete data and proves support recovery conditions.

Study applies financial models to predict COVID-19 pandemic.

New theorems show agents need specific internal structures to perform well under uncertainty.

Two methods improve simulation of European call options under Heston model.

We demonstrate that the primal-dual witness proof method may be used to establish variable selection consistency and $\ell_\infty$-bounds for sparse regression problems, even when the loss function and/or regularizer are nonconvex. Using this method, we derive two theorems concerning support recovery and $\ell_\infty$-…

This paper studies the critical dynamics of random surfaces, focusing on area and genus evolution.

Introduces non-Archimedean metrics for pseudoeffective classes on Kähler manifolds.

We introduce a notion of K-semistability for Sasakian manifolds. This extends to the irregular case the orbifold K-semistability of Ross-Thomas. Our main result is that a Sasakian manifold with constant scalar curvature is necessarily K-semistable. As an application, we show how one can recover the volume minimization …

Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in practice, the statistical estimation results seem to show that very often, only nearly unstable Hawkes processes are able to fit the data properl…

Being inspired by Ross' construction of unstable products of certain smooth curves, we show that the product $C\times C$ of every smooth curve $C$ of genus at least 2 is not slope semistable with respect to certain polarisations. Besides, we produce examples of Kodaira-fibred surfaces of nonzero signature, which are no…

In this paper we study the relative Chow and $K$-stability of toric manifolds in the toric sense. First, we give a criterion for relative $K$-stability and instability of toric Fano manifolds in the toric sense. The reduction of relative Chow stability on toric manifolds will be investigated using the Hibert-Mumford cr…

AMP algorithm for matrix tensor product model provides recovery conditions.

Proposes a new model to handle negative interest rates using CIR framework.

The study proves necessary conditions for robust decision-making in uncertain environments.

Derive new Euler-Ramanujan-type identities and infinite decompositions for zero mean curvature graphs in various spaces.