arXiv research

Derives derivatives of risk measures for various types of portfolio losses.

Derives Lagrangian for minimal surfaces, proving tangential variations vanish.

New method computes first Vassiliev derivative of Khovanov homology.

The article explores derivatives of shapes other than circles and spheres.

We calculate the higher derivatives of length functions on Teichmuller space along earthquake deformations. This generalizes the cosine formula for the first derivative by Kerckhoff and Wolpert and the sine formula for second derivative by Wolpert.

In this paper, we extend the first-order asymptotics analysis of Fouque et al. to general path-dependent financial derivatives using Dupire's functional Ito calculus. The main conclusion is that the market group parameters calibrated to vanilla options can be used to price to the same order exotic, path-dependent deriv…

Sharp bounds derived for eigenvalues on specific geometric spaces.

We formalize geometrically the idea that the (de Donder) Hamiltonian formulation of a higher derivative Lagrangian field theory can be constructed understanding the latter as a first derivative theory subjected to constraints.

We characterize the Lie derivative of spinor fields from a variational point of view by resorting to the theory of the Lie derivative of sections of gauge-natural bundles. Noether identities from the gauge-natural invariance of the first variational derivative of the Einstein(--Cartan)--Dirac Lagrangian provide restric…

We prove Bismut-type formulae for the first and second derivatives of a Feynman-Kac semigroup on a complete Riemannian manifold. We derive local estimates and give bounds on the logarithmic derivatives of the integral kernel. Stationary solutions are also considered. The arguments are based on local martingales, althou…

Schwarzian derivative connects to Euler-Lagrange equations in variational calculus.

New methods boost first-order optimization with faster rates.

We derive pointwise curvature estimates for graphical mean curvature flows in higher codimensions. To the best of our knowledge, this is the first such estimates without assuming smallness of first derivatives of the defining map. An immediate application is a convergence theorem of the mean curvature flow of the graph…

We consider the Lie algebra consisting of all derivations on the free associative algebra, generated by the first homology group of a closed oriented surface, which kill the symplectic class. We find the first non-trivial abelianization of this Lie algebra and discuss its relation to unstable cohomology classes of the …

Computes derivatives of sections in vector bundles using Lie derivatives.

In the present paper a generalized Kählerian space $\mathbb{G}\underset 1 {\mathbb{K}}{}_N$ of the first kind is considered, as a generalized Riemannian space $\mathbb{GR}_N$ with almost complex structure $F^h_i$, that is covariantly constant with respect to the first kind of covariant derivative. Using the non-symmetr…

Extends pricing theory for collateralized derivatives to include jumps and dividends.

The paper bounds eigenvalues of the Jacobi operator and derives rigidity results for CMC hypersurfaces.

Paper derives formulas for surface variations in shell theory.

Closed-form relations and approximations for SE(3) derivatives for robust numerical simulations.

Study on ion travel time on curved surfaces.

New bounds on continuous random variables' right-tail probabilities.

For a linear combination of random variables, fix some confidence level and consider the quantile of the combination at this level. We are interested in the partial derivatives of the quantile with respect to the weights of the random variables in the combination. It turns out that under suitable conditions on the join…

Sharp bounds derived for the first two Steklov eigenvalues of exterior domains.

Study shows a modified cobordism category's first derivative is equivalent to a Thom spectrum.

We show that a certain symmetry exists in the stable irreducible decomposition of the Lie algebra consisting of symplectic derivations of the free Lie algebra generated by the first homology group of compact oriented surfaces.

Derives a formula for the k-th covariant derivative of tensor fields.

Derives an inequality for submanifolds in spheres.

Method solves complex optimization problems with high probability bounds.

Based on the work of Schoen-Yau, we derive an estimate of the first eigenvalue of a Schrödinger Operator (the Jaocbi operator of minimal surfaces in flat 3-spaces) on surfaces.

We study two kinds of categorical traces of (monoidal) dg categories, with particular interest in categories of Soergel bimodules. First, we explicitly compute the usual Hochschild homology, or derived vertical trace, of the category of Soergel bimodules in arbitrary types. Secondly, we introduce the notion of derived …

A method to estimate high order derivatives of data distributions from samples.

Formulae derived for survival and first passage times in stochastic processes.

The geometrical structure known as Tulczyjew triple has been used with success in analytical mechanics and first order field theory to describe a wide range of physical systems including Lagrangian/Hamiltonian systems with constraints and/or sources, or with singular Lagrangian. Starting from the first principles of th…

Derives a new first order differential equation for smooth surfaces.

In this paper we present a new method to compute the first-order approximation of the price of derivatives on futures in the context of multiscale stochastic volatility of Fouque \textit{et al.} (2011, CUP). It provides an alternative method to the singular perturbation technique presented in Hikspoors and Jaimungal (2…

Defines tangent spaces on causal sets using partial derivatives and metrics.

Abstract reviews recent Lagrangian analysis on immersions into higher dimensions.

We prove that the Hitchin parametrization provides geodesic coordinates at the Fuchsian locus for the pressure metric in the Hitchin component $\mathcal{H}_{3}(S)$ of surface group representations into $PSL(3,\mathbb{R})$. The proof consists of the following elements: we compute first derivatives of the pressure metric…

The virtual Betti number conjecture states that any hyperbolic three-manifold has a finite cover with positive first Betti number. We show that this would follow if it were known that the derived series of the fundamental group $G$ of a hyperbolic three-manifold satisfies a certain stability property. The stability pro…

We derive estimates of the Hessian of two smooth functions defined on Grassmannian manifold. Based on it, we can derive curvature estimates for minimal submanifolds in Euclidean space via Gauss map. In this way, the result for Bernstein type theorem done by Jost and the first author could be improved.

A regular normal parabolic geometry of type $G/P$ on a manifold $M$ gives rise to sequences $D_i$ of invariant differential operators, known as the curved version of the BGG resolution. These sequences are constructed from the normal covariant derivative $\na^\om$ on the corresponding tractor bundle $V,$ where $\om$ is…

The paper examines how the first Steklov-Dirichlet eigenvalue changes with the distance between two concentric circles.

Develops derived differential geometry theory.

The two-jet of the curvature tensor at some point of a pseudo-Riemannian manifold is called Einstein if the Ricci tensor is a multiple of the metric tensor at the given point and additionally its first two covariant derivatives vanish there. Following the Jet Isomorphism Theorem of pseudo-Riemannian geometry, we derive…

Adaptive Multilevel Splitting improves rare event pricing for financial derivatives.

In the paper we formulate and derive the family blowup formula of family Seiberg-Witten invariants. The formula has been used in the enumerative application of counting singular curves on algebraic surfaces. We first give a topological derivation of the formula by using family index theorem. Then we define the algebrai…

Absence-of-Arbitrage (AoA) is the basic assumption underpinning derivatives pricing theory. As part of the OTC derivatives market, the CDS market not only provides a vehicle for participants to hedge and speculate on the default risks of corporate and sovereign entities, it also reveals important market-implied default…