arXiv research

Develops a new method to compute risk-sharing allocations using Laplace transforms.

The paper explains how microlocal analysis solves geometric inverse problems.

Cai, Song and Kou (2015) [Cai, N., Y. Song, S. Kou (2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3): 540-554] made a breakthrough by proposing a general framework for pricing both discretely and continuously monitored Asian options under one-dimensional Markov processes. In …

Efficiently calculates Brazilian stock options with discrete dividends.

New estimator uses k-nearest neighbor distances for density functionals.

The paper studies Fourier-Laplace transforms in polynomial OU volatility models for option pricing.

In this paper we propose a transform method to compute the prices and greeks of barrier options driven by a class of Levy processes. We derive analytical expressions for the Laplace transforms in time of the prices and sensitivities of single barrier options in an exponential Levy model with hyper-exponential jumps. In…

The paper derives formulas for option pricing and random walk expectations.

Previous research has shown that computation of convolution in the frequency domain provides a significant speedup versus traditional convolution network implementations. However, this performance increase comes at the expense of repeatedly computing the transform and its inverse in order to apply other network operati…

We discuss several aspects of Mellin transform, including distributional Mellin transform and inversion of multiple Mellin-Barnes integrals in $\mathbb{C}^n$ and its connection to residue expansion or evaluation of Laplace integrals. These mathematical concepts are demonstrated on several option-pricing models. This in…

Fast approximate inference for non-Gaussian data.

Paper calculates the distribution of time spent below zero in risk models.

Let $x : M \to E^m$ be an isometric immersion of a Riemannian manifold $M$ into a Euclidean $m$-space. Denote by $Δ$ the Laplace operator of $M$. Then $Δ$ gives rise to a differentiable map $L :M \to E^m$, called the Laplace map, defined by $L(p)=(Δx)(p)$, $p\in M$. We call $L(M)$ the Laplace image, and the transformat…

In high frequency financial data not only returns but also waiting times between trades are random variables. In this work, we analyze the spectra of the waiting-time processes for tick-by-tick trades. The numerical problem, strictly related with the real inversion of Laplace transforms, is analyzed by using Tikhonov's…

By studying the monotonicity of the first nonzero eigenvalues of Laplace and p-Laplace operators on a closed convex hypersurface $M^n$ which evolves under inverse mean curvature flow in $\mathbb{R}^{n+1}$, the isoperimetric lower bounds for both eigenvalues were founded.

The 1993 Laplace transform approach of Geman and Yor is a celebrated advance in valuing Asian options. Its insights are fundamental from both a mathematical and a financial perspective. In this paper, we discuss two observations regarding the financial relevance of its results. First, we show that the Geman and Yor Lap…

Study of line congruences for Appell's rank-4 hypergeometric functions.

The paper examines special Q-nets that terminate after a finite number of Laplace steps.

In this paper we apply the innovative Laplace transformation method introduced by Sheen, Sloan, and Thomée (IMA J. Numer. Anal., 2003) to solve the Black-Scholes equation. The algorithm is of arbitrary high convergence rate and naturally parallelizable. It is shown that the method is very efficient for calculating vari…

Researchers derive an explicit Laplace transform for integrated Volterra Wishart process.

We prove that the Fourier--Laplace--Nahm transform for connections on the projective line is a hyper-Kähler isometry.

Study investigates ruin probability with random premiums and risky investments.

New method samples DPPs efficiently without downsampling or low-rank approximations.

Researchers calculate the Laplace transform of a geometric Brownian motion integral.

Derives integral representations for a Lévy process and its extremum, hitting time, with fast evaluation.

We introduce the spherical phylon group, a subgroup of the group of all formal diffeomorphisms of $\R^d$ that fix the origin. The invariant theory of the spherical phylon group is used to understand the invariants of the Laplace transform.

The notion of a generalized harmonic inverse mean curvature surface in the Euclidean four-space is introduced. A backward Bäcklund transform of a generalized harmonic inverse mean curvature surface is defined. A Darboux transform of a generalized harmonic inverse mean curvature surface is constructed by a backward Bäck…

We consider the performance of non-optimal hedging strategies in exponential Lévy models. Given that both the payoff of the contingent claim and the hedging strategy admit suitable integral representations, we use the Laplace transform approach of Hubalek et al. (2006) to derive semi-explicit formulas for the resulting…

The study bounds quantum eigenfunctions on complex manifolds.

Paper shows existence of solutions for inverse mean curvature flow on manifolds with Ricci lower bounds.

Bayesian inverse problems use generative models for efficient inference.

Transforms game optimization dynamics into frequency domain for precise hyperparameter analysis.

In this paper we investigate overdetermined systems of scalar PDEs on the plane with one common characteristic, whose general solution depends on 1 function of 1 variable. We describe linearization of such systems and their integration via Laplace transformation, relating this to Lie's integration theorem and formal th…

Asymptotic Laplace transform for geometric Brownian motion applied to bond pricing.

Study the geometry of gas giant planets to infer their internal structure.

This note re-addresses the Paris barrier options proposed by Yor and collaborators and their valuation using the Laplace transform approach. The notion of Paris barrier options, based on excursion theory and using the Brownian meander, is extended such that their valuation is now possible at any point during their life…

Extend classical theory of affine processes to path-dependent setting

The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY Lévy process. This allows, for the approximation, exact computation of first passage times to barrier levels via Laplace transform inversion. Calibration of the CGMY model to market option prices defines the risk neutral…

The study bounds Riesz transforms on manifolds with controlled curvature.

We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral which extends the original approach of Bru. We compare our methodology with the alternative results given by the variation of constants method, the linearization of the Matrix Riccati ODE's and the Runge-Kutta al…

We analyze a simple asset transfer model in which the transfer amount is a fixed fraction $f$ of the giver's wealth. The model is analyzed in a new way by Laplace transforming the master equation, solving it analytically and numerically for the steady-state distribution, and exploring the solutions for various values o…

The Fourier transform on harmonic manifolds with exponential volume growth is studied.

Averaging problems are ubiquitous in Finance with the valuation of the so-called Asian options on arithmetic averages as their most conspicuous form. There is an abundance of numerical work on them, and their stochastic structure has been extensively studied by Yor and his school. However, the analytical structure of t…

New techniques save bits in image compression with upsampling.

We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price impact. Liquidity is stochastic in that the volume effect process, which determi…

GNPs learn operators on non-Euclidean geometries using neural networks.

This paper adresses the valuation of the Paris barrier options proposed by Yor, Jeanblanc-Picque, and Chesnay (Advances in Applied Probability, 29(1997), 165-184) using the Laplace transform approach. Based on suggestions by Pliska the notion of Paris options is extended such that their valuation is possible at any poi…

We study the problem of utility maximization from terminal wealth in which an agent optimally builds her portfolio by investing in a bond and a risky asset. The asset price dynamics follow a diffusion process with regime-switching coefficients modeled by a continuous-time finite-state Markov chain. We consider an inves…