arXiv research

Study BSΔE on lattices for asset price analysis.

Deriving option prices from operational-time Markov lattices

The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian formulation. We show here some applications of these methods for various potentials, whic…

The paper proves actions of lattices in higher rank groups have cost one.

Quantum theory reinterprets financial pricing by focusing on observable price transitions.

A new financial integral constructed without lattice assumptions.

Abstract framework for no-arbitrage concepts in topological vector lattices.

We propose an efficient lattice procedure which permits to obtain European and American option prices under the Black and Scholes model for digital options with barrier features. Numerical results show the accuracy of the proposed method.

Develops a new integration theory for financial markets.

Advertisement (abbreviated ad) options are a recent development in online advertising. Simply, an ad option is a first look contract in which a publisher or search engine grants an advertiser a right but not obligation to enter into transactions to purchase impressions or clicks from a specific ad slot at a pre-specifi…

We propose a robust and stable lattice method which permits to obtain very accurate American option prices in presence of CIR stochastic interest rate without any numerical restriction on its parameters. Numerical results show the reliability and the accuracy of the proposed method.

We explore a simple lattice field model intended to describe statistical properties of high frequency financial markets. The model is relevant in the cross-disciplinary area of econophysics. Its signature feature is the emergence of a self-organized critical state. This implies scale invariance of the model, without tu…

Empirical analysis of financial market trends and reversions across various time scales.

This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models the first two moments of the spot recovery rate as its higher moments have almost no contribution to the loss distributio…

We present a new approach for the pricing of interest rate derivatives which allows a direct computation of option premiums without deriving a (Black-Scholes type) partial differential equation and without explicitly solving the stochastic process for the underlying variable. The approach is tested by rederiving the pr…

Quantum Finance represents the synthesis of the techniques of quantum theory (quantum mechanics and quantum field theory) to theoretical and applied finance. After a brief overview of the connection between these fields, we illustrate some of the methods of lattice simulations of path integrals for the pricing of optio…

We extend our studies of a quantum field model defined on a lattice having the dilation group as a local gauge symmetry. The model is relevant in the cross-disciplinary area of econophysics. A corresponding proposal by Ilinski aimed at gauge modeling in non-equilibrium pricing is realized as a numerical simulation of t…

New property identifies arithmetic lattices from nonuniform lattices.

Study on stock price formation on trees with multi-population and non-rational agents.

Research finds bounds for knots in hexagonal lattice and classifies 11-stick knots.

We outline the theory of sets with distributive operations: multishelves and multispindles, with examples provided by semi-lattices, lattices and skew lattices. For every such a structure we define multi-term distributive homology and show some of its properties. The main result is a complete formula for the homology o…

Course on arithmetic lattices at EPFL.

We give a simple example showing that a knot or link diagram that lies in the ${\mathbb{Z}}^2$ lattice is not necessarily the projection of a lattice stick knot or link in the ${\mathbb{Z}}^3$ lattice, and we give a necessary and sufficient condition for when a knot or link diagram that lies in the ${\mathbb{Z}}^2$ lat…

New rigidity theorem for product of lattices.

We explore hybrid subgroups of certain non-arithmetic lattices in $\mathrm{PU}(2,1)$. We show that all of Mostow's lattices are virtually hybrids; moreover, we show that some of these non-arithmetic lattices are hybrids of two non-commensurable arithmetic lattices in $\mathrm{PU}(1,1)$.

This paper studies the covolumes of nonuniform arithmetic lattices in PU(n, 1). We determine the smallest covolume nonuniform arithmetic lattices for each n, the number of minimal covolume lattices for each n, and study the growth of the minimal covolume as n varies. In particular, there is a unique lattice (up to conj…

The paper finds incommensurable lattices in complex models of Baumslag-Solitar groups.

Proves a lattice version of the Atiyah-Singer index theorem.

Sequence discriminative training criteria have long been a standard tool in automatic speech recognition for improving the performance of acoustic models over their maximum likelihood / cross entropy trained counterparts. While previously a lattice approximation of the search space has been necessary to reduce computat…

Vertex distortion measures how far lattice knots deviate from straight lines.

Regular integer lattices are characterized by k unit vectors that build up their generator matrices. These have rank k for D-lattices, and are rank-deficient for A-lattices, for E_6 and E_7. We count lattice points inside hypercubes centered at the origin for all three types, as if classified by maximum infinity norm i…

In this paper we use techniques from convex projective geometry to produce many new examples of thin subgroups of lattices in special linear groups that are isomorphic to the fundamental groups of finite volume hyperbolic manifolds. More specifically, we show that for a large class of arithmetic lattices in SO(n,1) it …

We show that the set of even positive definite lattices that arise from smooth, simply-connected 4-manifolds bounded by a fixed homology 3-sphere can depend on more than the ranks of the lattices. We provide two homology 3-spheres with distinct sets of such lattices, each containing a distinct nonempty subset of the ra…

The paper proves residual finiteness of certain lattices and constructs surfaces with specific fundamental groups.

A celebrated theorem of Hadwiger states that the Euler-Poincaré characteristic is the the unique invariant and continuous valuation on the distributive lattice of compact polyhedra in R^n that assigns value one to each convex non-empty such polyhedron. This paper provides an analogue of Hadwiger's result for finitely p…

The cubic lattice stick index of a knot type is the least number of sticks necessary to construct the knot type in the 3-dimensional cubic lattice. We present the cubic lattice stick index of various knots and links, including all (p,p+1)-torus knots, and show how composing and taking satellites can be used to obtain t…

New method finds lattice polygons that can be dissected into triangles with integer areas.

BSLP is a two-dimensional dynamic model of interacting portfolio-level loss and spread (more exactly, loss intensity) processes. The model is similar to the top-down HJM-like frameworks developed by Schonbucher (2005) and Sidenius-Peterbarg-Andersen (SPA) (2005), however is constructed as a Markovian, short-rate intens…

When the underlying asset displays oscillations, spikes or heavy-tailed distributions, the lognormal diffusion process (for which Black and Scholes developed their momentous option pricing formula) is inadequate: in order to overcome these real world difficulties many models have been developed. Merton proposed a jump-…

L-CNNs approximate gauge actions, revealing fixed points with no lattice artifacts.

The paper refines transformations of lattice diagrams and introduces dotted diagrams.

Classifies knots by lattice size, finding unknot ratios and crossing numbers.

Let $G$ be a simply connected, solvable Lie group and $Γ$ a lattice in $G$. The deformation space $\mathcal{D}(Γ,G)$ is the orbit space associated to the action of $\Aut(G)$ on the space $\mathcal{X}(Γ,G)$ of all lattice embeddings of $Γ$ into $G$. Our main result generalises the classical rigidity theorems of Mal'tsev…

Proves effective slope gaps for lattice surfaces.

We study the arithmeticity of the Couwenberg-Heckman-Looijenga lattices in PU(n,1), and show that they contain a non-arithmetic lattice in PU(3,1) which is not commensurable to the non-arithmetic Deligne-Mostow lattice in PU(3,1).

Study answers arithmeticity question for normal subgroup of lattices.

One type of switch simplifies operations on lattice knots.

New lattices in higher dimensions have dense surface subgroups.