arXiv research

Extends saddle-point method for large-time volatility smiles.

Shorter proof for wave front length in Euclidean disk

Deep learning accelerates Monte Carlo SDE simulations with large time steps.

We derive large time upper bounds for heat kernels on vector bundles of differential forms on a class of non-compact Riemannian manifolds under certain curvature conditions.

The paper studies heat kernel behavior on symmetric spaces.

GPU speeds up Monte Carlo simulations for large time steps.

This paper derives explicit formulas for both the small and large time limits of the implied volatility in the minimal market model. It is shown that interest rates do impact on the implied volatility in the long run even though they are negligible in the short time limit.

ISALT uses inference to simulate SDEs with large time-steps, improving efficiency.

We compute explicitly, and without any extra regularity assumptions, the large time limit of the fibrewise heat operator for Bismut-Lott type superconnections in the L^2-setting. This is motivated by index theory on certain non-compact spaces (families of manifolds with cocompact group action) where the convergence of …

Efficiently simulates the Heston model with large time steps using a novel method.

In this paper, we study the large time behavior of the heat kernel on complete Riemannian manifolds with nonnegative Ricci curvature, which was studied by P. Li with additional maximum volume growth assumption. Following Y. Ding's original strategy, by blowing down the metric, using Cheeger and Colding's theory about l…

We study here the large-time behaviour of all continuous affine stochastic volatility models (in the sense of Keller-Ressel) and deduce a closed-form formula for the large-maturity implied volatility smile. Based on refinements of the Gartner-Ellis theorem on the real line, our proof reveals pathological behaviours of …

Paper develops large time series models using pre-trained transformers.

GANs can approximate SDEs for large time steps.

The paper analyzes sensitivities of cash flows using PDEs and Hansen-Scheinkman decomposition.

BayTiDe discovers time-delayed differential equations from noisy data.

We prove stability of rotationally symmetric translating solutions to mean curvature flow. For initial data that converge spatially at infinity to such a soliton, we obtain convergence for large times to that soliton without imposing any decay rates.

We study the geometric flow of a planar curve driven by its curvature and the normal derivative of its capacity potential. Under a convexity condition that is natural to our problem, we establish long term existence and large time asymptotics of this flow.

In this note we establish the large time non-negativity of the heat kernel for a class of elliptic differential operators on closed, Riemannian manifolds, and apply this result to a problem from conformal differential geometry.

This paper studies the large time existence for the motion of closed hypersurfaces in a radially symmetric potential. In physical, this surface can be considered as an electrically charged membrane with a constant charge per area in a radially symmetric potential. The evolution of such surface has been investigated by …

We consider the Cauchy problem associated with a general parabolic partial differential equation in $d$ dimensions. We find a family of closed-form asymptotic approximations for the unique classical solution of this equation as well as rigorous short-time error estimates. Using a boot-strapping technique, we also provi…

In this paper we provide a lower bound for the long time on-diagonal heat kernel of minimal submanifolds in a Cartan-hadamard ambient manifold assuming that the submanifold is of polynomial volume growth. In particular cases, that lower bound is related with the number of ends of the submanifold.

We consider graphical solutions to mean curvature flow and obtain a stability result for homothetically expanding solutions coming out of cones of positive mean curvature: If another solution is initially close to the cone at infinity, then the difference to the homothetically expanding solution becomes small for large…

Consider vector valued harmonic maps of at most linear growth, defined on a complete non-compact Riemannian manifold with non-negative Ricci curvature. For the norm square of the pull-back of the target volume form by such maps, we report a strong maximum principle, and equalities among its supremum, its asymptotic ave…

Quantum walk model captures asymmetry and bimodality in long-term financial returns.

In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied volatility agree algebraically, thus confirming a conjecture from Gatheral as well as providing a simpler expression for th…

We consider a generalization of the Heath Jarrow Morton model for the term structure of interest rates where the forward rate is driven by Paretian fluctuations. We derive a generalization of Itô's lemma for the calculation of a differential of a Paretian stochastic variable and use it to derive a Stochastic Differenti…

In this paper, we develop a method of solving the Poincaré-Lelong equation, mainly via the study of the large time asymptotics of a global solution to the Hodge-Laplace heat equation on $(1, 1)$-forms. The method is effective in proving an optimal result when $M$ has nonnegative bisectional curvature. It also provides …

We investigate existence and uniqueness of bounded solutions of parabolic equations with unbounded coefficients in $M\times \mathbb R_+$, where $M$ is a complete noncompact Riemannian manifold. Under specific assumptions, we establish existence of solutions satisfying prescribed conditions at infinity, depending on the…

We obtain a lower asymptotic bound on the decay rate of the probability of a portfolio's underperformance against a benchmark over a large time horizon. It is assumed that the prices of the securities are governed by geometric Brownian motions with the coefficients depending on an economic factor, possibly nonlinearly.…

One knows that the large time heat decay exponent on a nilpotent group is given by half the growing rate of the volume of its large balls. This work deals with the similar problem of trying to interpret geometrically the heat decay on (one) forms. We will show how it is (partially) related to the depth of the relations…

This paper investigates the dependence of functional portfolio generation, introduced by Fernholz (1999), on an extra finite variation process. The framework of Karatzas and Ruf (2017) is used to formulate conditions on trading strategies to be strong arbitrage relative to the market over sufficiently large time horizo…

New example of manifolds with monotonic heat kernels found.

We provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling allows us to transfer these results into small-time, large-time and tail asymptotics for diffusions, as well as for option prices and realised vari…

We define the secondary invariants L^2- eta and -rho forms for families of generalized Dirac operators on normal coverings of fibre bundles. On the covering family we assume transversally smooth spectral projections, and Novikov--Shubin invariants bigger than 3(dim B+1) to treat the large time asymptotic for general op…

In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic (power, exponential and logarithmic) forward performance processes in factor-form using ergodic BSDE. We also develop a connection between the forward …

We consider a long-term optimal investment problem where an investor tries to minimize the probability of falling below a target growth rate. From a mathematical viewpoint, this is a large deviation control problem. This problem will be shown to relate to a risk-sensitive stochastic control problem for a sufficiently l…

Study spectral properties of sub-Laplacians in Carnot groups.

We prove a necessary and sufficient condition in terms of the barycenters of a collection of polytopes for existence of coupled Kähler-Einstein metrics on toric Fano manifolds. This confirms the toric case of a coupled version of the Yau-Tian-Donaldson conjecture. We also obtain a necessary and sufficient condition for…

Let $(X,d,μ)$ be a $RCD^\ast(K, N)$ space with $K\in mathbb{R}$ and $N\in [1,\infty)$. Suppose that $(X,d)$ is connected, complete and separable, and $\supp μ=X$. We prove that the Li-Yau inequality for the heat flow holds true on $(X,d,μ)$ when $K\ge 0$. A Baudoin-Garofalo inequality and Harnack inequalities for the h…

We discuss the decomposition of the zeta-determinant of the square of the Dirac operator into contributions coming from the different parts of the manifold. The easy case was worked in the previous paper of authors. Due to the assumptions made on the operators in the previous paper, we were able to avoid the presence o…

Study eigenvalues on quaternion-Kähler manifolds with geometric bounds.

We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a crossover in the log-return distribution from power-law tails (small time) to a Ga…

We introduce and solve a new type of quadratic backward stochastic differential equation systems defined in an infinite time horizon, called \emph{ergodic BSDE systems}. Such systems arise naturally as candidate solutions to characterize forward performance processes and their associated optimal trading strategies in a…

As a model of market price, we introduce a new type of random walk in a moving potential which is approximated by a quadratic function with its center given by the moving average of its own trace. The properties of resulting random walks are similar to those of ordinary random walks for large time scales; however, thei…

Optimizes variance reduction in Heston model using large and moderate deviations.

We obtain new closed-form pricing formulas for contingent claims when the asset follows a Dupire-type local volatility model. To obtain the formulas we use the Dyson-Taylor commutator method that we have recently developed in [5, 6, 8] for short-time asymptotic expansions of heat kernels, and obtain a family of general…

A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the price dynamics of the underlying security over short time scales. Here we assume t…