arXiv research

Alternative closed-form formula for spread call option prices under log-normal models.

New formulas for measuring geometric properties of definable sets.

Inverts operator on hyperbolic surfaces, constructing invariant distributions.

Proof of Tholozan's volume formula for anti-de-Sitter 3-manifolds.

Formula for HOMFLY polynomial in link diagrams.

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…

Sum formula for relative Seiberg-Witten invariants in 4-manifolds.

We derive an integral representation which encodes all coefficients of the Riemann normal coordinate expansion, and also a closed formula for those coefficients.

The paper uses moment matching method for pricing spread options under Lévy models.

Extends 4D cornered skein theory to surfaces, proving gluing formulas.

The paper presents an approximate formula for European mortgage options pricing.

New option pricing formulas for American and Bermudan options.

In this article we give a totally new proof of the integral localization formula for equivariantly closed differential forms (Theorem 7.11 in [BGV]). We restate it here as Theorem 2. This localization formula is very well known, but the author hopes to adapt this proof to obtain a more general result in the future.

The paper derives a local formula for the Euler number of circle bundles.

Formula derived for Dirac operators on Lie groupoids.

Study the intersection of positive closed currents using tangent currents and King's residue formula.

We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The flexibility of our approach is demonstrated by extending the realm of closed-form option price formulas to the case where…

Closed formulas for η-corrections in the once-punctured torus identified.

We derive a closed-form formula for computing bond prices between coupon payments. Our results cover both the `Treasury' and the `Street' pricing methods used by sovereign and corporate issuers. We apply our formulas to two UK gilts, the 8% Treasury Gilt 2015, and the 0.5% Treasury Gilt 2022, and show that we can obtai…

Formula calculates MOY webs and link polynomials.

Formula adjusts steady-state models for control confounding.

In an earlier paper, I defined a new winding number of regular closed curves on complete euclidean/hyperbolic surfaces and showed that this winding number, together with the free homotopy class, determines the regular homotopy class. In this paper, I give a Whitney-type formula for the winding number of non-null-homoto…

A partial formula is provided to calculate the smallest number of vertices possible in a quadrangulation on the closed orientable 2-manifold of given genus. This extends the previously known partial formula due to N. Hartsfield and G. Ringel [J. Comb. Theory, Ser. B, 1989, 46, 84-95].

Formula calculates volume of two-bridge knots.

Closed form formulas for swaption prices in HJM model are derived. These formulas are used for nonparametric fit of deterministic forward volatility. It is demonstrated that this formula and non-parametric fit works very well and can be used to identify arbitrage opportunities

We treat two quite different problems related to changes of complex structures on Kähler manifolds by using global geometric method. First, by using operators from Hodge theory on compact Kähler manifold, we present a closed explicit extension formula for holomorphic canonical forms in different complex structures. As …

We give a purely combinatorial formula for evaluating closed decorated foams. Our evaluation gives an integral polynomial and is directly connected to an integral equivariant version of the $\mathfrak{sl}_N$ link homology categorifying the $\mathfrak{sl}_N$ link polynomial. We also provide connections to the equivarian…

New formula for rotation number without needing a base point.

Simon type monotonicity formulas for the Willmore functional $\int | \mathbf{H} |^2$ in the hyperbolic space $\mathbb{H}^n$ and $\mathbb{S}^n$ are obtained. The formula gives a lower bound of $\int_Σ | \mathbf{H} |^2$ where $Σ^2$ is any closed surface in $\mathbb{H}^n$.

Paper proposes a closed-form formula for geometric Istanbul call options.

Recent years have seen an emerging class of structured financial products based on options linked to dynamic asset allocation strategies. One of the most chosen approach is the so-called target volatility mechanism. It shifts between risky and riskless assets to control the volatility of the overall portfolio. Even if …

New formulas for geodesics on Stiefel and flag manifolds using trust-region method.

A celebrated result due to Poincaré affirms that a closed non-degenerate minimizing geodesic $γ$ on an oriented Riemannian surface is hyperbolic. Starting from this classical theorem, our first main result is a general instability criterion for timelike and spacelike closed semi-Riemannian geodesics on a (non)oriented …

Develops first closed-form portfolio formula for GARCH spot assets.

Drawing insights from the triumph of relativistic over classical mechanics when velocities approach the speed of light, we explore a similar improvement to the seminal Black-Scholes (Black and Scholes (1973)) option pricing formula by considering a relativist version of it, and then finding a respective solution. We sh…

We consider a continuous path of bounded symmetric Fredholm bilinear forms with arbitrary endpoints on a real Hilbert space, and we prove a formula that gives the spectral flow of the path in terms of the spectral flow of the restriction to a finite codimensional closed subspace. We also discuss the case of restriction…

In this note, we give a generalization of the inversion formulas of Pestov-Uhlmann for the geodesic ray transform of functions and vector fields on simple 2-dimensional manifolds of constant curvature. The inversion formulas given here hold for 2-dimensional simple manifolds whose curvatures close to a constant.

Formula found for knot determinant in 3-braid weaving.

The paper develops a new model-free formula for option initial margins.

Estimates the probability of a random symmetric tensor being close to rank-one.

We calculate the Hirzebruch $χ_y$ and $\hatχ_y$-genera of symmetric products of closed complex manifolds by the holomorphic Lefschetz formula of Atiyah and Singer \cite{Ati-Sin}. Such calculation rederive some formulas proved in an earlier paper \cite{Zho} by a different method.

We study fixed points of smooth torus actions on closed manifolds using fixed point formulas and equivariant elliptic genera. We also give applications to positively curved Riemannian manifolds with symmetry.

New index formula for hypoelliptic operators on manifolds.

Formula for integrating random variables on hyperbolic surfaces.

Polterovich proved a remarkable closed formula for heat kernel coefficients of the Laplace operator on compact Riemannian manifolds involving powers of Laplacians acting on the distance function. In the case of Kähler manifolds, we prove a combinatorial formula for powers of the complex Laplacian and use it to derive a…

A new state-sum formula for the evaluation of the Yang-Mills measure in the Kauffman bracket skein algebra of a closed surface is derived. The formula extends the Kauffman bracket to diagrams that lie in surfaces other than the plane. It also extends Turaev's shadow world invariant of links in a circle bundle over a su…

We establish a few formulas that compute the volume of the zero-set (or nodal set) of a function on a compact Riemannian manifold as integrals of functionals of the function and its derivatives.

The paper calculates option prices using Mellin transform for stochastic volatility models.