In this paper, we obtain asymptotic formulas with error estimates for the implied volatility associated with a European call pricing function. We show that these formulas imply Lee's moment formulas for the implied volatility and the tail-wing formulas due to Benaim and Friz. In addition, we analyze Pareto-type tails o…
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48 results for “asymptotic formulas”
We extend asymptotic formulas for saddle connections on translation surfaces.
problem Counting saddle connections on translation surfaces with large genus.
method Recursive formulas and asymptotic analysis for all strata and multiplicities.
result Asymptotics for all saddle connections on translation surfaces of growing genus.
In this note, we answer a question of Mirzakhani on asymptotic behavior of the one-point volume polynomial of moduli spaces of curves. We also present some applications of Mirzakhani's asymptotic formulae of Weil-Petersson volumes.
We derive formulas for F measures' standard error and confidence intervals.
problem Estimating F measures' accuracy with confidence.
method Analytic formulas based on asymptotic normality.
result Valid formulas for sample size planning.
Abstract: Characterizes frontals and wavefronts with formulas.
problem Characterizing frontals and wavefronts.
method Representation formulas for frontals and wavefronts.
result Representation formulas for various types of frontals and wavefronts.
We prove a graph theoretic closed formula for coefficients in the Tian-Yau-Zelditch asymptotic expansion of the Bergman kernel. The formula is expressed in terms of the characteristic polynomial of the directed graphs representing Weyl invariants. The proof relies on a combinatorial interpretation of a recursive formul…
The BBF, SABR, and rough SABR formulas provide nearly arbitrage-free implied vol approximations.
problem Arbitrage in implied volatility calculations.
method Analytical proofs for BBF, SABR, and rough SABR formulas under specific models.
result These formulas offer asymptotically arbitrage-free approximations of implied volatility.
The article provides formulas for homological blocks of Seifert fibered homology 3-spheres.
problem Calculating Witten-Reshetikhin-Turaev invariants for Seifert fibered homology 3-spheres.
method Explicit modular transformation formulas of homological blocks.
result New proof of Witten asymptotic conjecture for Seifert fibered homology 3-spheres.
Formula derived for torsion of modified Dirac operator.
problem Analyzing modified Dirac operator's torsion.
method Proved formula for asymptotic expansion.
result Leading term formula for torsion.
New method improves covariance estimation for weighted samples.
problem Improving covariance estimation for weighted sample data.
method Asymptotic non-linear shrinkage formulas for covariance and precision matrix estimators of weighted sample covariances.
result Asymptotic non-linear shrinkage formulas for covariance and precision matrix estimators of weighted sample covariances.
Odaka and Wang proved the intersection formula for the Donaldson-Futaki invariant. In this paper, we generalize this result for the higher Futaki invariants which are obstructions to asymptotic Chow semistability.
Formula found for energy slope in complex geometry.
problem Calculating the asymptotic slope of a K-energy.
method Established a formula for the asymptotic slope.
result Found a formula for the asymptotic slope of α-K-energy.
New formulas for surface curvature when tangent vector points in asymptotic directions.
problem Formula limitations when tangent vector points in asymptotic directions.
method Analogous formulas for surfaces with cusp singular points.
result Invariants of cusp singular points of contour lines.
Volume renormalization for conformally compact asymptotically hyperbolic manifolds in dimension fourmath.DG
We derive a new renormalized volume formula for conformally compact asymptotically hyperbolic manifolds in dimension four. The formula generalizes the ones given by Anderson, Albin, and Chang-Qing-Yang for the case of Poincare-Einstein manifolds. We also derive variational formulas for the renormalized seen as a functi…
In this paper, using the Greiner's approach to heat kernel asymptotics, we give new proofs of the equivariant Gauss-Bonnet-Chern formula and the variation formulas for the equivariant Ray-Singer metric, which are originally due to J. M. Bismut and W. Zhang.
The paper calculates asymptotic Betti numbers and homology multiplicities for graph configuration spaces.
problem Understanding the homology of ordered configuration spaces of graphs.
method Explicit formulas for asymptotic Betti numbers and homology multiplicities in characteristic zero.
result Explicit formulas for asymptotic multiplicities in homology of irreducible representations of the symmetric group.
We provide a proof and analyze the asymptotic behavior of a formula for the linking number of line segments.
problem The invariant formula for the linking number of line segments and its asymptotic behavior.
method Detailed proof and asymptotic analysis of the formula.
result We provide a proof and analyze the asymptotic behavior of the formula for the linking number of line segments.
Study on hyperbolic manifolds with special boundaries.
problem Characterizing geometric properties of hyperbolic manifolds with specific boundaries.
method Analyzing asymptotically hyperbolic manifolds with a horospherical boundary.
result Derived geometric formulas for the model case of horoballs and their complements.
The paper connects eigenvalue problems for various operators and establishes inequalities and asymptotic formulas for heat traces.
problem Eigenvalue problems and heat trace asymptotics for different operators.
method Establishes connections and inequalities for eigenvalues and heat traces.
result Eigenvalue inequalities and three-term asymptotic formulas for heat traces of various operators.
We consider the asymptotic behavior of the implied volatility in stochastic asset price models with atoms. In such models, the asset price distribution has a singular component at zero. Examples of models with atoms include the constant elasticity of variance model, jump-to-default models, and stochastic models describ…
New formulas for hyperbolic mass using horospheres.
problem Mass calculation of asymptotically hyperbolic manifolds.
method Geometric formulas derived using coordinate horospheres.
result Improved rigidity results of hyperbolic space.
Paper derives a formula for the determinant of Dirichlet-to-Neumann operator on Riemann surfaces.
problem Bounding asymptotics of a conformal invariant under degeneration of Riemann surfaces.
method Meyer-Vietoris formula, gluing, height function on moduli space, properness of height function, Steklov isospectral metrics, Laplacian with Dirichlet/Neumann boundary conditions.
result Properness of height function on moduli space of genus zero hyperbolic surfaces implies compactness theorem for Steklov isospectral metrics.
In this paper, by a new method we establish the Weyl-type asymptotic formula for the counting function of biharmonic Stekloff eigenvalues with Neumann boundary condition in a bounded domain of an -dimensional Riemannian manifold.
We discuss asymptotic behavior of the eigenvalue distribution of the differential form Laplacian on a Riemannian foliated manifold when the metric on the ambient manifold is blown up in directions normal to the leaves (in the adiabatic limit). Motivated by analogies with semiclassical spectral asymptotics, we use ideas…
Proves a conjecture about 3-manifold invariants using trees and asymptotic formulas.
problem Proving the holomorphy of certain rational functions for plumbed 3-manifolds.
method Induction on a sequence of trees, using the Euler-Maclaurin summation formula.
result Proves the conjecture about Witten-Reshetikhin-Turaev invariants and homological blocks.
Formula derived for a magnetic line invariant.
problem Solving MHD problems with two-scale mean fields.
method Combinatorial definition of invariant for three-component links.
result Proven formula for invariant verified for simple cases.
The study examines the asymptotic behavior of extremal length in Teichmüller space.
problem Understanding the asymptotic behavior of extremal length along Teichmüller rays.
method Analyzing the limit of extremal length and deriving formulas for limiting Teichmüller distance and detour metric.
result An explicit formula for the limiting Teichmüller distance and a necessary and sufficient condition for Teichmüller rays to be asymptotic.
We give a formula for the radial asymptotics to all orders of the special -hypergeometric series known as Nahm sums at complex roots of unity. This result is used in~\cite{CGZ} to prove one direction of Nahm's conjecture relating the modularity of Nahm sums to the vanishing of a certain invariant in -theory. The …
In this paper, we introduce a monotonicity formula for the mean curvature flow. We also apply this monotonicity formula to study the asymptotic behavior of eternal solutions.
In this paper, we establish sharp inequalities for four kinds of classical eigenvalues on a bounded domain of a Riemannian manifold. We also establish asymptotic formulas for the eigenvalues of the buckling and clamped plate problems. In addition, we give a negative answer to the Payne conjecture for the one-dimensiona…
We conjecture that the Joyce-Song wall-crossing formula for Donaldson-Thomas invariants arises naturally from an asymptotic expansion in the field theoretic work of Gaiotto, Moore and Neitzke. This would also give a new perspective on how the formulae of Joyce-Song and Kontsevich-Soibelman are related. We check the con…
Motivated by recent interest in the spectrum of the Laplacian of incomplete surfaces with isolated conical singularities, we consider more general incomplete m-dimensional manifolds with singularities on sets of codimension at least 2. With certain restrictions on the metric, we establish that the spectrum is discrete …
The paper calculates the full asymptotics of analytic torsions for compact orbifolds.
problem Analytic torsions of compact locally symmetric orbifolds.
method Using Selberg's trace formula and geometric localization, the paper evaluates the heat trace and orbital integrals.
result Explicit formula for the asymptotic Ray-Singer analytic torsion of compact orbifolds.
The asymptotic behavior of the implied volatility associated with a general call pricing function has been extensively studied in the last decade. The main topics discussed in this paper are Lee's moment formulas for the implied volatility, and Piterbarg's conjecture, describing how the implied volatility behaves in th…
In this paper, we provide explicit formulas, in terms of the covariances of sample covariances or sample correlations, for the asymptotic covariances of unrotated factor loading estimates and unique variance estimates. These estimates are extracted from least square, principal, iterative principal component, alpha or i…
Sharp criterion for Chern-Gauss-Bonnet integral using Q curvature.
problem Quantifying the Chern-Gauss-Bonnet integral using Q curvature.
method New approach involving singular integral estimation.
result Derivation of asymptotic formula for Q curvature equation.
We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the density of time averages of the squared volatility process and the density of the stock price process in the Stein-Stein and the Heston model…
Formula for fixed points on noncompact spaces.
problem Calculating fixed points on noncompact manifolds.
method Equivariant index theorem, localised functional, asymptotically local operators.
result Obtained a new Lefschetz fixed-point formula.
Study on implied volatility of Asian options with stochastic volatility.
problem Understanding the implied volatility of Asian options under stochastic volatility models.
method Using Malliavin calculus and anticipating Ito's formula, the paper computes and finds asymptotic formulas for the implied volatility and skew.
result Developed short-maturity asymptotic formulas for the skew of the implied volatility, which depends on the roughness of the volatility model.
Paper studies second order tail probabilities in risk models.
problem Analyzing tail probabilities in risk models with constant interest force.
method Asymptotic expansion and weighted Kesten-type inequality for second order subexponential random variables.
result Second order asymptotic formulae for continuous-time renewal risk models are derived.
The article calculates asymptotic expansions for quantum invariants from surgeries on Whitehead link components.
problem Calculating quantum invariants for 3-manifolds resulting from surgeries on Whitehead link components.
method Asymptotic expansion of relative Reshetikhin-Turaev and Turaev-Viro invariants.
result Asymptotic formulas for both invariants are derived.
This paper derives a new semi closed-form approximation formula for pricing an up-and-out barrier option under a certain type of stochastic volatility model including SABR model by applying a rigorous asymptotic expansion method developed by Kato, Takahashi and Yamada (2012). We also demonstrate the validity of our app…
We give an elementary proof to the asymptotic expansion formula of Rochon-Zhang for the unique complete Kähler-Einstein metric of Cheng-Yau, Kobayashi, Tian-Yau and Bando on quasi-projective manifolds. The main tools are the solution formula for second order ODE's with constant coefficients and spectral theory for Lapl…
Around 2008 N. Kawazumi and S. Zhang introduced a new fundamental numerical invariant for compact Riemann surfaces. One way of viewing the Kawazumi-Zhang invariant is as a quotient of two natural hermitian metrics with the same first Chern form on the line bundle of holomorphic differentials. In this paper we determine…
We prove an explicit formula of the Berezin star product on Kaehler manifolds. The formula is expressed as a summation over certain strongly connected digraphs. The proof relies on a combinatorial interpretation of Englis' work on the asymptotic expansion of the Laplace integral.
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic expansion is around the Black-Scholes price and is uniform in bounded payoff func- tions. The result provides a validat…
Uniform counting formulas for orthogeodesics in Kleinian groups converge.
problem Counting orthogeodesics in Kleinian groups converging to a limit.
method Spectral gap of the limit manifold and geodesic flow mixing property.
result Asymptotically uniform counting formulas for orthogeodesics.
Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic modelsq-fin.PR
In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin convolution of functions, and use these formulas to characterize the asymptotic behavior of marginal distribution densities of stock price processes in mixed stochastic models. Special examples of mixed models are jump-diffusion mode…