arXiv research

Study of Markov-modulated affine processes for richer models in finance.

In this paper we study time-inhomogeneous affine processes beyond the common assumption of stochastic continuity. In this setting times of jumps can be both inaccessible and predictable. To this end we develop a general theory of finite dimensional affine semimartingales under very weak assumptions. We show that the co…

New methods classify convex lattice polygons for affine dimers.

We review the complex differential geometry of the space of oriented affine lines in ${\Bbb{R}}^3$ and give a description of Hamilton's characteristic functions for reflection in an oriented C$^1$ surface in terms of this geometry.

In this article we consider affine generalizations of the Merton jump diffusion model [Merton, J. Fin. Econ., 1976] and the respective pricing of European options. On the one hand, the Brownian motion part in the Merton model may be generalized to a log-Heston model, and on the other hand, the jump part may be generali…

Chern's conjecture on affine manifolds is proven to be true.

The nonzero level sets in $n$-dimensional flat affine space of a translationally homogeneous function are improper affine spheres if and only if the Hessian determinant of the function is equal to a nonzero constant multiple of the $n$th power of the function. The exponentials of the characteristic polynomials of certa…

We study affine Jacobi structures on an affine bundle $π:A\to M$, i.e. Jacobi brackets that close on affine functions. We prove that there is a one-to-one correspondence between affine Jacobi structures on $A$ and Lie algebroid structures on the vector bundle $A^+=\bigcup_{p\in M}Aff(A_p,\R)$ of affine functionals. Som…

New formula for efficient spread option pricing in copula markets.

Model-free expression for SSR derived in terms of characteristic function.

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

Study of manifolds with flat connections and diagonal metrics leading to vanishing Euler characteristic.

In this note we prove that every non characteristically filiform Lie algebra is endowed with an affine structure.

We give an algebraic characterization of the possible characteristic tensors of an infinitesimally homogeneous affine manifold with G-structure.

The theory of flat Pseudo-Riemannian manifolds and flat affine manifolds is closely connected to the topic of prehomogeneous affine representations of Lie groups. In this article, we exhibit several aspects of this correspondence. At the heart of our presentation is a development of the theory of characteristic classes…

We prove Chern conjecture, which states that the Euler characteristic vanishes for closed flat affine manifolds. Our key innovation is a deformation argument for the Euler form.

Eastwood and Ezhov generalized the Cayley surface to the Cayley hypersurface in each dimension, proved some characteristic properties of the Cayley hypersurface and conjectured that a homogeneous hypersurface in affine space satisfying these properties must be the Cayley hypersurface. We will prove this conjecture when…

A new NUFFT method speeds up option pricing for various strikes.

These are lecture notes prepared for the summer school "Geometric, algebraic and topological methods in quantum field theory", held in Villa de Leyva in July 2017. Our goal is to provide an introduction to a conjecture of Chern that states that the Euler characteristic of a closed affine manifold vanishes. We present p…

Study compares geometric approaches for shape and deformation statistics.

CF-INNs can approximate any invertible function, resolving a long-standing problem.

Geodesically complete affine manifolds are quotients of the Euclidean space through a properly discontinuous action of a subgroup of affine Euclidean transformations. An equivalent definition is that the tangent bundle of such a manifold admits a flat, symmetric and complete connection. If the completeness assumption i…

Study on fake stationary Volterra Heston model for non-stationary processes.

In this paper, we compute sub-Riemannian limits of Gaussian curvature for a Euclidean $C^2$-smooth surface in the affine group and the group of rigid motions of the Minkowski plane away from characteristic points and signed geodesic curvature for Euclidean $C^2$-smooth curves on surfaces. We get Gauss-Bonnet theorems i…

Construct geometric interpretation of Heston model using group quantization.

The paper calculates curvature limits and Gauss-Bonnet theorems in the Heisenberg group.

A $Q$-manifold $M$ is a supermanifold endowed with an odd vector field $Q$ squaring to zero. The Lie derivative $L_Q$ along $Q$ makes the algebra of smooth tensor fields on $M$ into a differential algebra. In this paper, we define and study the invariants of $Q$-manifolds called characteristic classes. These take value…

Randomizes AD models for better option pricing.

The paper develops a theory of Ehresmann structures in positive characteristic.

A celebrated theorem of Hadwiger states that the Euler-Poincaré characteristic is the the unique invariant and continuous valuation on the distributive lattice of compact polyhedra in R^n that assigns value one to each convex non-empty such polyhedron. This paper provides an analogue of Hadwiger's result for finitely p…

The colored Jones function of a knot is a sequence of Laurent polynomials in one variable, whose n-th term is the Jones polynomial of the knot colored with the n-dimensional irreducible representation of SL(2). It was recently shown by TTQ Le and the author that the colored Jones function of a knot is q-holonomic, ie, …

Introduces a new characteristic class for vector bundles with a connection.

Novel method for estimating currency option parameters with improved accuracy.

We investigate classification results for general quadratic functions on torsion abelian groups. Unlike the previously studied situations, general quadratic functions are allowed to be inhomogeneous or degenerate. We study the discriminant construction which assigns, to an integral lattice with a distinguished characte…

The paper derives Gauss-Bonnet theorems for deformed connections in affine and rigid motions groups.

In this paper, we show that the Euler characteristic of an even dimensional closed projectively flat manifold is equal to the total measure which is induced from a probability Borel measure on RP^n invariant under the holonomy action, and then discuss its consequences and applications. As an application, we show that t…

Introduces new weighted floating functions and affine surface areas.

In this paper, we consider the connectedness of planar self-affine set $T(A,\mathcal{D})$ arising from an integral expanding matrix $A$ with characteristic polynomial $f(x)=x^2+bx+c$ and a digit set $\mathcal{D}=\{0,1,\dots, m\}v$. The necessary and sufficient conditions only depending on $b,c,m$ are given for the $T(A…

Using the moving frame and invariants, any discrete curve in $\R^3$ could be uniquely identified by its centroaffine curvatures and torsions. In this paper, depending on the affine curvatures of the fractal curves, such as Koch curve and Hilbert curve, we can clearly describe their iterative regularities. Interestingly…

Let $σ_t(x)$ denote the implied volatility at maturity $t$ for a strike $K=S_0 e^{xt}$, where $x\in\bbR$ and $S_0$ is the current value of the underlying. We show that $σ_t(x)$ has a uniform (in $x$) limit as maturity $t$ tends to infinity, given by the formula $σ_\infty(x)=\sqrt{2}(h^*(x)^{1/2}+(h^*(x)-x)^{1/2})$, for…

The paper classifies singularities of plane congruences and affine distance functions.

We study the connectedness of the planar self-affine sets $T(A,{\mathcal{D}})$ generated by an integer expanding matrix $A$ with $|\det(A)|=3$ and a non-collinear digit set ${\mathcal D}=\{0, v, kAv\}$ where $k\in {\mathbb Z}\setminus\{0\}$ and $v\in {\mathbb Z}^2$ such that $\{v, Av\}$ is linearly independent. By chec…

Let $X$ be a smooth manifold belonging to one of these three collections: acyclic manifolds (compact or not, possibly with boundary), compact connected manifolds (possibly with boundary) with nonzero Euler characteristic, integral homology spheres. We prove that $Diff(X)$ is Jordan. This means that there exists a const…

We present two results about the relationship between fundamental groups of quasiprojective manifolds and linear systems on a projectivization. We prove the existence of a plane curve with non-abelian fundamental group of the complement which does not admit a mapping onto an orbifold with non-abelian fundamental group.…

Affine vector fields on pseudo-Kähler manifolds are symplectic.

The paper develops inequalities for log-concave functions and related surface areas.

We prove that the family of all connected n-dimensional real Lie groups is uniformly Jordan for every n. This implies that all algebraic groups (not necessarily affine) over fields of characteristic zero and some transformation groups of complex spaces and Riemannian manifods are Jordan.

We state and prove a simple Theorem that allows one to generate invariant quantities in Metric-Affine Geometry, under a given transformation of the affine connection. We start by a general functional of the metric and the connection and consider transformations of the affine connection possessing a certain symmetry. We…