arXiv research

The Schwartz-Smith model parameters are estimated using Kalman Filter with additional constraints.

The paper proves estimates for Hodge Laplacians on Lie groups.

PDSim simulates and estimates commodity futures prices using polynomial diffusion models.

Schwartz functions smoothly extend to real projective spaces.

The paper develops a method for stochastic differential equations on manifolds using Schwartz morphisms and diffusion generators.

Study asymptotics of extension and orthogonal Bergman kernels for high tensor powers of positive line bundles.

Two sweeps of the Brennan-Schwartz algorithm solve American options under negative rates.

The paper constructs Ricci-flat Kähler manifolds with specific decay properties.

A new two-step LSMC method improves game option pricing accuracy.

Survey recent constructions of cyclic cocycles for Lie groups.

The paper explores global index formulas for one-dimensional holomorphic foliations.

Resolving Schwartz's quadratic meander number conjecture

Describes representations of modular group into SL(3,R)/SO(3).

We define the spaces of Schwartz functions, tempered functions and tempered distributions on manifolds definable in polynomially bounded o-minimal structures. We show that all the classical properties that these spaces have in the Nash category, as first studied in Fokko du Cloux's work, also hold in this generalized s…

In the paper "Pappus's theorem and the modular group", R. Schwartz constructed a 2-dimensional family of faithful representations $ρ_Θ$ of the modular group $\mathrm{PSL}(2,\mathbb{Z})$ into the group $\mathscr{G}$ of projective symmetries of the projective plane via Pappus Theorem. The image of the unique index 2 subg…

We prove a conjecture of R. Schwartz about the type of some complex hyperbolic triangle groups.

Paper optimizes neural networks for Bermudan option pricing with faster convergence and risk management tools.

We discuss `hd-compactifications' of $\SL(2,\bbK)$ for $\bbK=\bbC$ or $\bbR.$ These are compact manifolds with boundary on which both the Schwartz and the Harish-Chandra Schwartz spaces are shown to be relatively standard spaces of conormal functions relative to the boundary. Closure under convolution and other module …

A beta function for double layers is defined and analyzed.

We construct an algebra of smooth functions over the tangent groupoid associated to any Lie groupoid. This algebra is a field of algebras over the closed interval [0, 1] which fiber at zero is the algebra of Schwartz functions over the Lie algebroid, whereas any fiber out of zero is the convolution algebra of the initi…

We deduce a recent theorem by R. Schwartz on the structure of the so-called Poncelet grid from complete integrability of the billiard in an ellipse

Wave equation map reveals manifold's structure.

The momentum ray transform $I^k$ integrates a rank $m$ symmetric tensor field $f$ over lines of ${\R}^n$ with the weight $t^k$: $ (I^k\!f)(x,ξ)=\int_{-\infty}^\infty t^kłf(x+tξ),ξ^m\r\,dt. $ We give the range characterization for the operator $f\mapsto(I^0\!f,I^1\!f,\dots, I^m\!f)$ on the Schwartz space of rank $m$ smo…

Paper applies subdiffusive dynamics to American and barrier options pricing.

We deal with the interest rate model proposed by Schaefer and Schwartz, which models the long rate and the spread, defined as the difference between the short and the long rates. The approximate analytical formula for the bond prices suggested by the authors requires a computation of a certain constant, defined via a n…

This paper consists of two parts. In the first part we show that in odd dimension, as well as in even dimension below the critical weight (i.e. half the dimension), the logarithmic singularities of Schwartz kernels and Green kernels of conformal invariant pseudodifferential operators are linear combinations of Weyl con…

The infinite matrix `Schwartz' group $G^{-\infty}$ is a classifying group for odd K-theory and carries Chern classes in each odd dimension, generating the cohomology. These classes are closely related to the Fredholm determinant on $G^{-\infty}.$ We show that while the higher (even, Schwartz) loop groups of $G^{-\infty…

We give a complete classification of complex hyperbolic $(n_1, n_2, n_3)$-triangle groups by types defined according to the ellipticity of two particular words of short length. This improves the Schwartz conjecture proved by Grossi.

We discuss some basic concepts of semi-Riemannian geometry in low-regularity situations. In particular, we compare the settings of (linear) distributional geometry in the sense of L. Schwartz and nonlinear distributional geometry in the sense of J.F. Colombeau.

The least squares Monte Carlo (LSM) algorithm proposed by Longstaff and Schwartz (2001) is widely used for pricing Bermudan options. The LSM estimator contains undesirable look-ahead bias, and the conventional technique of avoiding it requires additional simulation paths. We present the leave-one-out LSM (LOOLSM) algor…

R. Schwartz's inequality provides an upper bound for the Schwarzian derivative of a parameterization of a circle in the complex plane and on the potential of Hill's equation with coexisting periodic solutions. We prove a discrete version of this inequality and obtain a version of the planar Blaschke-Santalo inequality …

In this paper, we present a Longstaff-Schwartz-type algorithm for optimal stopping time problems based on the Brownian motion filtration. The algorithm is based on Leão, Ohashi and Russo and, in contrast to previous works, our methodology applies to optimal stopping problems for fully non-Markovian and non-semimartinga…

The paper studies asymptotic expansions of operators related to Bochner-Schrödinger on Riemannian manifolds.

Let $M$ be a compact smooth manifold equipped with a positive smooth density $μ$ and $H$ be a smooth distribution endowed with a fiberwise inner product $g$. We define the Laplacian $Δ_H$ associated with $(H,μ,g)$ and prove that it gives rise to an unbounded self-adjoint operator in $L^2(M,μ)$. Then, assuming that $H$ …

In this paper, we investigate a numerical algorithm for the pricing of swing options, relying on the so-called optimal quantization method. The numerical procedure is described in details and numerous simulations are provided to assert its efficiency. In particular, we carry out a comparison with the Longstaff-Schwartz…

In 1948 Feynman introduced functional integration. Long ago the problematic aspect of measures in the space of fields was overcome with the introduction of volume elements in Probability Space, leading to stochastic formulations. More recently Cartier and DeWitt-Morette focused on the definition of a proper integration…

This paper explores alternative regression techniques in pricing American put options and compares to the least-squares method (LSM) in Monte Carlo implemented by Longstaff-Schwartz, 2001 which uses least squares to estimate the conditional expected payoff to the option holder from continuation. The pricing is done und…

Enhances option pricing for American-style options using JDOI method.

Geodesics in Sol geometry described with invariant k and spiral properties.

A leafwise Hodge decomposition was proved by Sanguiao for Riemannian foliations of bounded geometry. Its proof is explained again in terms of our study of bounded geometry for Riemannian foliations. It is used to associate smoothing operators to foliated flows, and describe their Schwartz kernels. All of this is extend…

Study optimal holomorphic extensions for jets along submanifolds as tensor powers increase.

Study improves prediction of commodity futures using multi-factor model.

To any positive number $\varepsilon$ and any nonnegative even Schwartz function $w:\mathbb{R}\to\mathbb{R}$ we associate the random function $u^\varepsilon$ on the $m$-torus $T^m_\varepsilon:=\mathbb{R}^m/(\varepsilon^{-1}\mathbb{Z})^m$ defined as the real part of the random Fourier series $$ \sum_{ν\in\mathbb{Z}^m} X_…

We find conditions under which a non-orientable closed surface S embedded into an orientable closed 4-manifold X can be represented by a connected sum of an embedded closed surface in X and an unknotted projective plane in a 4-sphere. This allows us to extend the Gabai 4-dimensional light bulb theorem and the Auckly-Ki…

When the underlying asset displays oscillations, spikes or heavy-tailed distributions, the lognormal diffusion process (for which Black and Scholes developed their momentous option pricing formula) is inadequate: in order to overcome these real world difficulties many models have been developed. Merton proposed a jump-…

We propose a new approach to solve optimal stopping problems via simulation. Working within the backward dynamic programming/Snell envelope framework, we augment the methodology of Longstaff-Schwartz that focuses on approximating the stopping strategy. Namely, we introduce adaptive generation of the stochastic grids an…

New findings show stabilization isn't enough for certain knotted surfaces.

Develops polynomial diffusion models for multi-factor commodity futures dynamics.