arXiv research

Paper develops a new algorithm to find shortest paths on surfaces.

The paper characterizes probability and entropy of exponentially growing sample spaces.

For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials in the log strike. We illustrate the versatility of our expansion by computing t…

In this work we consider the Taylor expansion of the exponential map of a submanifold immersed in R^n up to order three, in order to introduce the concepts of lateral and frontal deviation. We compute the directions of extreme lateral and frontal deviation for surfaces in R^3. Also we compute, by using the Taylor expan…

Density expansions for hypoelliptic diffusions $(X^1,...,X^d)$ are revisited. In particular, we are interested in density expansions of the projection $(X_T^1,...,X_T^l)$, at time $T>0$, with $l \leq d$. Global conditions are found which replace the well-known "not-in-cutlocus" condition known from heat-kernel asymptot…

Asymptotic expansions for call prices and implied volatilities in exponential Lévy models.

We derive a small-time expansion for out-of-the-money call options under an exponential Levy model, using the small-time expansion for the distribution function given in Figueroa-Lopez & Houdre (2009), combined with a change of numéraire via the Esscher transform. In particular, we quantify find that the effect of a no…

In the planar limit of the 't Hooft expansion, the Wilson-loop average in 3d Chern-Simons theory (i.e. the HOMFLY polynomial) depends in a very simple way on representation (the Young diagram), so that the (knot-dependent) Ooguri-Vafa partition function becomes a trivial KP tau-function. We study higher genus correctio…

In this paper we propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model, based on Taylor expansions and the calculation of mixed exponential-power moments of a Gaussian distribution. Our numerical results show that a second order expansion provides accurate prices o…

We study the utility indifference price of a European option in the context of small transaction costs. Considering the general setup allowing consumption and a general utility function at final time T, we obtain an asymptotic expansion of the utility indifference price as a function of the asymptotic expansions of the…

In this article, we consider a Markov process X, starting from x and solving a stochastic differential equation, which is driven by a Brownian motion and an independent pure jump component exhibiting state-dependent jump intensity and infinite jump activity. A second order expansion is derived for the tail probability …

The COS method for European options pricing is improved with a new bound for the number of terms.

In the genus expansion of the HOMFLY polynomials their representation dependence is naturally captured by symmetric group characters. This immediately implies that the Ooguri-Vafa partition function (OVPF) is a Hurwitz tau-function. In the planar limit involving factorizable special polynomials, it is actually a trivia…

The study examines numerical aspects of Karhunen-Loève expansions for stochastic processes.

We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Levy-type martingale subject to default. This class of models allows for local volatility, local default intensity, and a locally dependent Levy measure. Generalizing and extending the novel adjoint expansion technique o…

This paper gives an explicit formula of the asymptotic expansion of the Kobayashi-Royden metric on the punctured sphere $\mathbb{CP}^1\backslash\{0,1,\infty\}$ in terms of the exponential Bell polynomials. We prove a local quantitative version of the Little Picard's theorem as an application of the asymptotic expansion…

The main goal of the paper is to address the issue of the existence of Kempf's distortion function and the Tian-Yau-Zelditch (TYZ) asymptotic expansion for the Kepler manifold - an important example of non compact manfold. Motivated by the recent results for compact manifolds we construct Kempf's distortion function an…

Modeling business expansion as a stochastic control problem, the study finds that firms are incentivized to expand but may wait.

We provide a direct proof of Cramér's theorem for geodesic random walks in a complete Riemannian manifold $(M,g)$. We show how to exploit the vector space structure of the tangent spaces to study large deviation properties of geodesic random walks in $M$. Furthermore, we reveal the geometric obstructions one runs into …

Study the Bochner-Schrödinger operator on symplectic manifolds, proving gap existence and asymptotic kernel behavior.

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transactions is used to obtain a tractable model. A general expansion theory is de…

We study the variation of a smooth volume form along extremals of a variational problem with nonholonomic constraints and an action-like Lagrangian. We introduce a new invariant describing the interaction of the volume with the dynamics and we study its basic properties. We then show how this invariant, together with c…

New measure of maximal entropy found for a class of geometrically finite groups.

We give a short proof of a strong version of the short time asymptotic expansion of heat kernels associated to Laplace type operators acting on sections of vector bundles over compact Riemannian manifolds, including exponential decay of the difference of the approximate heat kernel and the true heat kernel. We use this…

Study on future stability of FLRW spacetime solutions with decelerated expansion.

We consider a class of assets whose risk-neutral pricing dynamics are described by an exponential Lévy-type process subject to default. The class of processes we consider features locally-dependent drift, diffusion and default-intensity as well as a locally-dependent Lévy measure. Using techniques from regular perturba…

New spatiotemporal Besov process improves CT image reconstruction and other inverse problems.

We offer new formulas for European option pricing under tempered stable processes.

In Figueroa-López et al. (2013), a second order approximation for at-the-money (ATM) option prices is derived for a large class of exponential Lévy models, with or without a Brownian component. The purpose of this article is twofold. First, we relax the regularity conditions imposed in Figueroa-López et al. (2013) on t…

In this paper we discuss a closed-form approximation of the likelihood functions of an arbitrary diffusion process. The approximation is based on an exponential ansatz of the transition probability for a finite time step $Δt$, and a series expansion of the deviation of its logarithm from that of a Gaussian distribution…

We consider a special family of occupation-time derivatives, namely proportional step options introduced by Linetsky in [Math. Finance, 9, 55--96 (1999)]. We develop new closed-form spectral expansions for pricing such options under a class of nonlinear volatility diffusion processes which includes the constant-elastic…

New sampling method for Heston model reduces complexity.

Sequential quantile estimation refers to incorporating observations into quantile estimates in an incremental fashion thus furnishing an online estimate of one or more quantiles at any given point in time. Sequential quantile estimation is also known as online quantile estimation. This area is relevant to the analysis …

Unified method for calculating financial option prices from characteristic functions.

We formulate a conjecture (already proven by A. Kricker) about the structure of Kontsevich integral of a knot. We describe its value in terms of the generating functions for the numbers of external edges attached to closed 3-valent diagrams. We conjecture that these functions are rational functions of the exponentials …

The paper approximates financial derivatives using neural networks and iterated integrals.

We study the asymptotic behavior of the generalized Bergman kernel of the renormalized Bochner-Laplacian on high tensor powers of a positive line bundle on a symplectic manifold of bounded geometry. First, we establish the off-diagonal exponential estimate for the generalized Bergman kernel. As an application, we obtai…

Motivated by the need for parametric families of rich and yet tractable distributions in financial mathematics, both in pricing and risk management settings, but also considering wider statistical applications, we investigate a novel technique for introducing skewness or kurtosis into a symmetric or other distribution.…

An expansion is developed for the Weil-Petersson Riemann curvature tensor in the thin region of the Teichmüller and moduli spaces. The tensor is evaluated on the gradients of geodesic-lengths for disjoint geodesics. A precise lower bound for sectional curvature in terms of the surface systole is presented. The curvatur…

We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Lévy models. This expansion applies to both small and large maturities and is based solely on the p…

In this paper we analytically study the problem of pricing an arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral is defined by an effective action functional whose potential term is an exponential function. This path integral …

SLEIPNIR improves Gaussian process regression with derivatives, scaling up efficiently and accurately.

The heat coefficients related to the Laplace-Beltrami operator defined on the hyperbolic compact manifold $H^3/\Ga$ are evaluated in the case in which the discrete group $\Ga$ contains elliptic and hyperbolic elements. It is shown that while hyperbolic elements give only exponentially vanishing corrections to the trace…

Unified bounds for neural networks incorporating physical laws.

Recently Andrews and Bryan [3] discovered a comparison function which allows them to shorten the classical proof of the well-known fact that the curve shortening flow shrinks embedded closed curves in the plane to a round point. Using this comparison function they estimate the length of any chord from below in terms of…

SciRE-Solver accelerates DMs sampling by recursively calculating the score function derivative.

We consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behavior of the slope for infinite activity exponential Lévy models including a Brownian component. As auxiliary results, we obtain asymptotic expansions of short maturity at-the-money digit…

In this work, an ensemble of economic interacting agents is considered. The agents are arranged in a linear array where only local couplings are allowed. The deterministic dynamics of each agent is given by a map. This map is expressed by two factors. The first one is a linear term that models the expansion of the agen…