arXiv research

SLEM uses machine learning to improve causal inference from observational data.

Study volatility models with rough paths, focusing on large deviations and option behavior.

Tree++ graph kernel captures similarities at multiple granularities.

Study bounds financial path expectations using martingale distributions.

We present a notion of super Ricci flow for time-dependent finite weighted graphs. A challenging feature is that these flows typically encounter singularities where the underlying graph structure changes. Our notion is robust enough to allow the flow to continue past these singularities. As a crucial tool for this purp…

We consider as given a discrete time financial market with a risky asset and options written on that asset and determine both the sub- and super-hedging prices of an American option in the model independent framework of ArXiv:1305.6008. We obtain the duality of results for the sub- and super-hedging prices. For the sub…

Convex duality for two two different super--replication problems in a continuous time financial market with proportional transaction cost is proved. In this market, static hedging in a finite number of options, in addition to usual dynamic hedging with the underlying stock, are allowed. The first one the problems consi…

Super efficient geodesics have a unique vertex in the complex of curves.

We prove a scaling limit theorem for the super-replication cost of options in a Cox--Ross--Rubinstein binomial model with transient price impact. The correct scaling turns out to keep the market depth parameter constant while resilience over fixed periods of time grows in inverse proportion with the duration between tr…

This paper deals with the super-replication of non path-dependent European claims under additional convex constraints on the number of shares held in the portfolio. The corresponding super-replication price of a given claim has been widely studied in the literature and its terminal value, which dominates the claim of i…

We consider a general path-dependent version of the hedging problem with price impact of Bouchard et al. (2019), in which a dual formulation for the super-hedging price is obtained by means of PDE arguments, in a Markovian setting and under strong regularity conditions. Using only probabilistic arguments, we prove, in …

The classical Wilson loop is the gauge-invariant trace of the parallel transport around a closed path with respect to a connection on a vector bundle over a smooth manifold. We build a precise mathematical model of the super Wilson loop, an extension introduced by Mason-Skinner and Caron-Huot, by endowing the objects o…

We pursue robust approach to pricing and hedging in mathematical finance. We consider a continuous time setting in which some underlying assets and options, with continuous paths, are available for dynamic trading and a further set of European options, possibly with varying maturities, is available for static trading. …

We consider a stochastic volatility model which captures relevant stylized facts of financial series, including the multi-scaling of moments. The volatility evolves according to a generalized Ornstein-Uhlenbeck processes with super-linear mean reversion. Using large deviations techniques, we determine the asymptotic sh…

Study super cluster algebras from super Plücker and Ptolemy relations.

In this sequel to works D(11.1) (arXiv:1406.0929 [math.DG]), D(11.2) (arXiv:1412.0771 [hep-th]), and D(11.3.1) (arXiv:1508.02347 [math.DG]), we re-examine --- and reformulate when in need --- several basic notions in super $C^{\infty}$-algebraic geometry as guided by the mathematical formulation of Ramond-Neveu-Schwarz…

A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with continuous paths it is well known that the variance swap payoff can be replicated exact…

The paper defines and analyzes curvature tensors on super twisted product spaces.

With the usual definition of a super Hilbert space and a super unitary representation, it is easy to show that there are lots of super Lie groups for which the left-regular representation is not super unitary. I will argue that weakening the definition of a super Hilbert space (by allowing the super scalar product to b…

We establish a higher generalization of super L-infinity-algebraic T-duality of super WZW-terms for super p-branes. In particular, we demonstrate spherical T-duality of super M5-branes propagating on exceptional-geometric 11d super spacetime.

Unified super-symmetry and higher fluxes using super-Lie-infinity algebras.

Researchers create holographic super-embeddings for M5 and M2 branes.

Develops Riemannian geometry for noncommutative super surfaces.

Defines super stable maps and proves quotient superorbifolds for genus zero.

Defines semi-symmetric metric connection on super warped products.

Riemann surfaces are two-dimensional manifolds with a conformal class of metrics. It is well known that the harmonic action functional and harmonic maps are tools to study the moduli space of Riemann surfaces. Super Riemann surfaces are an analogue of Riemann surfaces in the world of super geometry. After a short intro…

New theorem disproves Angle Defect for super triangles.

Spinor bundle constructed on loop space for string manifolds.

The underlying even manifold of a super Riemann surface is a Riemann surface with a spinor valued differential form called gravitino. Consequently infinitesimal deformations of super Riemann surfaces are certain infinitesimal deformations of the Riemann surface and the gravitino. Furthermore the action functional of no…

The paper studies special warped products with a specific connection on super Riemannian manifolds.

Super tau-covers extend bihamiltonian hierarchies' symmetries.

We derive the canonical forms of super Riemannian metrics and the local isometry groups of such metrics. For certain super metrics we also compute the simply connected covering groups of the local isometry groups and interpret these as local spin groups of the super metric. Using a generalization of a Theorem of Rogers…

A super Lie group is a group whose operations are $G^{\infty}$ mappings in the sense of Rogers. Thus the underlying supermanifold possesses an atlas whose transition functions are $G^{\infty}$ functions. Moreover the images of our charts are open subsets of a graded infinite-dimensional Banach space since our space of …

In this paper we study the tensor powers of the standard representation of the quantum super-algebra $U_q(sl(2|1)$, focusing on the rings of its algebra endomorphisms, called centraliser algebras and denoted by $LG_n$. Their dimensions were conjectured by I. Marin and E. Wagner \cite{MW}. We prove this conjecture, desc…

Let $M$ be a super Riemann surface with holomorphic distribution $\mathcal{D}$ and $N$ a symplectic manifold with compatible almost complex structure $J$. We call a map $Φ\colon M\to N$ a super $J$-holomorphic curve if its differential maps the almost complex structure on $\mathcal{D}$ to $J$. Such a super $J$-holomorp…

The paper develops a theory of $C^\infty$-superrings and their superschemes.

Characterizes super-replication prices in a financial market model.

Scheme resolves super-brane topology via equivariant structures.

Defines super projective modules and explores their properties.

This article provides a brief discussion of the functional of super Riemann surfaces from the point of view of classical (i.e. not "super-) differential geometry. The discussion is based on symmetry considerations and aims to clarify the "borderline" between classical and super differential geometry with respect to the…

Matrix formulas for super Teichmüller spaces generalize previous work and yield super λ-lengths.

Extends Wigner's representation to study super hyperbolic geometry.

Extends differential geometry concepts to manifolds with super tangent bundles.

Paper constructs super integrable systems on color Lie algebra.

Note on instabilities in super-time-stepping methods for Heston model.

We define a super analog of the classical Plücker embedding of the Grassmannian into a projective space. One of the difficulties of the problem is rooted in the fact that super exterior powers $Λ^{r|s}(V)$ are not a simple generalization from the completely even case (this works only for $r|0$ when it is possible to us…

In the quest for the mathematical formulation of M-theory, we consider three major open problems: a first-principles construction of the single (abelian) M5-brane Lagrangian density, the origin of the gauge field in heterotic M-theory, and the supersymmetric enhancement of exceptional M-geometry. By combining technique…

The super or Z_2-graded Schouten-Nijenhuis bracket is introduced. Using it, new generalized super-Poisson structures are found which are given in terms of certain graded-skew-symmetric contravariant tensors Λof even order. The corresponding super `Jacobi identities' are expressed by stating that these tensors have zero…