arXiv research

The paper calculates asymptotic expansions for specific types of oscillatory integrals.

This work explores functional expansions to handle path dependence in various fields.

Paper calculates third coefficient in Kaehler-Einstein metric expansion.

We develop Fourier methods to expand translation-invariant kernels.

Bagging is a device intended for reducing the prediction error of learning algorithms. In its simplest form, bagging draws bootstrap samples from the training sample, applies the learning algorithm to each bootstrap sample, and then averages the resulting prediction rules. We extend the definition of bagging from stati…

Study oscillatory integrals with degenerate singular points in multivariable phase functions.

The study improves volatility model pricing accuracy with new statistical expansions.

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…

Researchers calculate the second coefficient in the expansion of a Toeplitz operator.

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…

Let $X$ be a compact connected strongly pseudoconvex CR manifold of dimension $2n+1, n \ge 1$ with a transversal CR $S^1$ action on $X$. We establish an asymptotic expansion for the $m$-th Fourier component of the Szegő kernel function as $m\rightarrow\infty$, where the expansion involves a contribution in terms of a d…

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 note, we derive the characteristic function expansion for logarithm of the underlying asset price in corrected Heston model as proposed by Fouque and Lorig.

Let $H_h = h^2 L +V$ where $L$ is a self-adjoint Laplace type operator acting on sections of a vector bundle over a compact Riemannian manifold and $V$ is a symmetric endomorphism field. We derive an asymptotic expansion for the heat kernel of $H_h$ as $h \to 0$. As a consequence we get an asymptotic expansion for the …

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…

Study local expansions of continuous-time processes using Ito signature properties.

We consider first order expansions of convex penalized estimators in high-dimensional regression problems with random designs. Our setting includes linear regression and logistic regression as special cases. For a given penalty function $h$ and the corresponding penalized estimator $\hatβ$, we construct a quantity $η$,…

We consider the basic heat operator on functions on a Riemannian foliation of a compact, Riemannian manifold, and we show that the trace of this operator has a particular short time asymptotic expansion. The coefficients in this expansion are obtainable from local transverse geometric invariants - functions computable …

Applying Bayesian optimization in problems wherein the search space is unknown is challenging. To address this problem, we propose a systematic volume expansion strategy for the Bayesian optimization. We devise a strategy to guarantee that in iterative expansions of the search space, our method can find a point whose f…

We derive a detailed asymptotic expansion of the heat trace for the Laplace-Beltrami operator on functions on manifolds with conic singularities, using the Singular Asymptotics Lemma of Jochen Bruening and Robert T. Seeley [BS]. In the subsequent paper we investigate how the terms in the expansion reflect the geometry …

We derive asymptotic expansions for option data to detect infinite variation volatility.

We obtain a first order extension of the large deviation estimates in the Gärtner-Ellis theorem. In addition, for a given family of measures, we find a special family of functions having a similar Laplace principle expansion up to order one to that of the original family of measures. The construction of the special fam…

Authors prove an asymptotic expansion for spectral zeta functions on discrete tori.

New Hermite approximations accelerate convergence with adaptive coordinate transformations.

We study the complex geometry of generalized Kepler manifolds, defined in Jordan theoretic terms, introduce Hilbert spaces of holomorphic functions defined by radial measures, and find the complete asymptotic expansion of the corresponding reproducing kernels for Kähler potentials, both in the flat and bounded setting.

Multivariate splines linked to infinitely-wide neural networks with improved numerical performance.

The paper studies asymptotic expansions of operators related to Bochner-Schrödinger on Riemannian manifolds.

The paper is concerned with non-linear Gaussian filtering and smoothing in continuous-discrete state-space models, where the dynamic model is formulated as an Itô stochastic differential equation (SDE), and the measurements are obtained at discrete time instants. We propose novel Taylor moment expansion (TME) Gaussian …

We derive a higher-order expansion for rough volatility models.

We use Karhunen-Loève expansion for efficient pricing of exotic derivatives.

Some expansion methods have been proposed for approximately pricing options which has no exact closed formula. Benhamou et al. (2010) presents the smart expansion method that directly expands the expectation value of payoff function with respect to the volatility of volatility, then uses it to price options in the stoc…

RPN unifies various models with a reconciled polynomial network.

Estimates bandwidth for CMC initial data sets.

For an eigenfunction of the Laplacian on a hyperbolic Riemann surface, the coefficients of the Fourier expansion are described as intertwining functionals. All intertwiners are classified. A refined growth estimate for the coefficients is given and a summation formula is proved.

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…

Proves conjecture linking WRT invariants and homological blocks for plumbed 3-manifolds.

Deformations of compact Riemann surfaces are considered using a Čech cohomology sliding overlaps approach. Cocycles are calculated for conformal cutting and regluing deformations at zeros of Abelian differentials. A second order deformation expansion is presented for the Riemann period matrix. A complete deformation ex…

In many applications (in particular information systems, such as pattern recognition, machine learning, cheminformatics, bioinformatics to name but a few) the assessment of uncertainty is essential - i.e., the estimation of the underlying probability distribution function. More often than not, the form of this function…

Study shows non-convergence of short-maturity expansion in SABR model.

We propose an extension of the recently-proposed volume conjecture for closed hyperbolic 3-manifolds, to all orders in perturbative expansion. We first derive formulas for the perturbative expansion of the partition function of complex Chern-Simons theory around a hyperbolic flat connection, which produces infinitely-m…

We consider a nonlinear state-space model with the state transition and observation functions expressed as basis function expansions. The coefficients in the basis function expansions are learned from data. Using a connection to Gaussian processes we also develop priors on the coefficients, for tuning the model flexibi…

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…

Sparse random features improve accuracy in data-scarce settings.

We consider a financial market with liquidity cost as in Çetin, Jarrow and Protter [2004], where the supply function $S^ε(s,ν)$ depends on a parameter $ε\geq 0$ with $S^0(s,ν)=s$ corresponding to the perfect liquid situation. Using the PDE characterization of Çetin, Soner and Touzi [2010] of the super-hedging cost of a…

The paper studies geometric properties of group equivariant operators and their Riemannian structure.

We develop an expansion approach for the pricing of European quanto options written on LIBOR rates (of a foreign currency). We derive the dynamics of the system of foreign LIBOR rates under the domestic forward measure and then consider the price of the quanto option. In order to take the skew/smile effect observed in …

Develops AMITE for analyzing neural network nonlinearities.

We derive a precise asymptotic expansion of the complete Kähler-Einstein metric on the punctured Riemann sphere with three or more omitting points. By using Schwarzian derivative, we prove that the coefficients of the expansion are polynomials on the two parameters which are uniquely determined by the omitting points. …