arXiv research

Finite entropy translating solitons in slabs have quantized entropy and unique structure.

3D flying wings created for any angle asymptotic cones.

Researchers discover a new family of 3D solitons that are flying wings.

In this final part of a 3-part paper we introduce the pair of "wings" of the abstract PL-colored complexes $\mathcal{H}_{m}^\star$, described in the second paper. The wings, via a weight enhanced Tutte's barycentric embedding of a planar map, produce the unexpected reformutation of a 3-dimensionl problem into a 2-dimen…

The paper explores new translating solitons and their relation to $Δ$-wings.

We determine the distribution of size and growthrates of German business firms in 1987-1997. We find a log-normal size distribution. The distribution of growth rates has fat tails. It can be fitted to an exponential in a narrow central region and is dominated by finite-sample-size effects far in its wings. We study the…

3D steady gradient Ricci solitons are all O(2)-symmetric.

We propose a multi-wing harmonium model for mining multimedia data that extends and improves on earlier models based on two-layer random fields, which capture bidirectional dependencies between hidden topic aspects and observed inputs. This model can be viewed as an undirected counterpart of the two-layer directed mode…

The paper studies bowl solitons and their asymptotic expansions.

We consider implied volatilities in asset pricing models, where the discounted underlying is a strict local martingale under the pricing measure. Our main result gives an asymptotic expansion of the right wing of the implied volatility smile and shows that the strict local martingale property can be determined from thi…

New method predicts quasar continuum near Lyman-α with high precision and accuracy.

In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality. First, we obtain an asymptotic formula with an error bound for the left wing of the implied volatility, under the assumption that the dy…

Traditional anatomical analyses captured only a fraction of real phenomic information. Here, we apply deep learning to quantify total phenotypic similarity across 2468 butterfly photographs, covering 38 subspecies from the polymorphic mimicry complex of $\textit{Heliconius erato}$ and $\textit{Heliconius melpomene}$. E…

Constructs new steady gradient Ricci solitons for higher dimensions.

We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential Lévy class of asset price models with jumps. We introduce a new renormalisation of the strike variable with the property that the implied volatility converges to a non-constant limiting shape, which is a function of …

Refining previously known estimates, we give large-strike asymptotics for the implied volatility of Merton's and Kou's jump diffusion models. They are deduced from call price approximations by transfer results of Gao and Lee. For the Merton model, we also analyse the density of the underlying and show that it features …

Paper disproves potential singularity models for 3D hypersurfaces in R^4.

Among the central tenets of globalization is free migration of labor. Although much has been written about its benefits, little is known about the limitations of globalization, including how immigration affects the anti-globalist sentiment. Analyzing polls data, we find that over the last three years in a group of EU c…

Second order Sobolev metrics are a useful tool in the shape analysis of curves. In this paper we combine these metrics with varifold-based inexact matching to explore a new strategy of computing geodesics between unparametrized curves. We describe the numerical method used for solving the inexact matching problem, appl…

We prove that the Lawson surface $ξ_{g,1}$ in Lawson's original notation, which has genus $g$ and can be viewed as a desingularization of two orthogonal great two-spheres in the round three-sphere ${\mathbb{S}}^3$, has index $2g+3$ and nullity $6$ for any genus $g\ge2$. In particular $ξ_{g,1}$ has no exceptional Jacobi…

New Kähler solitons found that are not $U(n)$-invariant.

We consider the asymptotic behavior of the implied volatility in stochastic asset price models with atoms. In such models, the asset price distribution has a singular component at zero. Examples of models with atoms include the constant elasticity of variance model, jump-to-default models, and stochastic models describ…

We consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behavior of the slope for infinite activity exponential Lévy models including a Brownian component. As auxiliary results, we obtain asymptotic expansions of short maturity at-the-money digit…

Given a tiling $\mathcal{T}$ of the plane by straight edge polygons, which is invariant by two independent translations, we construct a family of embedded triply periodic minimal surfaces which desingularizes $\mathcal{T}\times\mathbb{R}$. For this purpose, inspired by the work of Martin Traizet, we open the nodes of s…

In this paper, we obtain asymptotic formulas with error estimates for the implied volatility associated with a European call pricing function. We show that these formulas imply Lee's moment formulas for the implied volatility and the tail-wing formulas due to Benaim and Friz. In addition, we analyze Pareto-type tails o…

Resolves conjecture on cylindrical mean curvature flows in all dimensions.

Structural optimization is a popular method for designing objects such as bridge trusses, airplane wings, and optical devices. Unfortunately, the quality of solutions depends heavily on how the problem is parameterized. In this paper, we propose using the implicit bias over functions induced by neural networks to impro…

In this work we show that $2$-dimensional, simply connected, translating solitons of the mean curvature flow embedded in a slab of $\mathbb{R}^3$ with entropy strictly less than $3$ must be mean convex and thus, thanks to a result by J. Spruck and L. Xiao, are convex. Recently, such $2$-dimensional convex translating s…

Wind speed prediction improved using a novel deep ensemble learning model inspired by jet aerodynamics.

Paper proves conjecture about star-shaped curves evolving under GAPF, but not always preserves star shape.

Study examines implied volatility behavior in Bachelier model.

Revisits Lee's Moment Formula, relaxing moment assumptions for implied volatility.

Constructs minimal surfaces by gluing saddle towers with Scherk ends.

Unified framework for inference in complex nonlinear processes.

Study finds Twitter activity correlates with stock volatility but not sentiment.

We consider a stochastic volatility asset price model in which the volatility is the absolute value of a continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting a Karhunen-Loève expansion for the integrated variance, and using sharp estimates of the density of a general second-chaos var…

Researchers create new triply periodic minimal surfaces by gluing saddle towers.

The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely the counterparty risk. The related Credit Valuation Adjustment, (CVA), Debt Valuation Adjustment (DVA), Liquidity Valuation Adjustment (LVA) and Replacement Cost (RC) issues, jointly referred to in t…

Concept bottleneck models enable concept manipulation for model interpretation.

This work combines autoencoder transfer learning with MSCP for accurate aerodynamic predictions.

Derives token price process for AMM tokens, finds leverage effect and pricing discrepancies.

We show that in a large class of stochastic volatility models with additional skew-functions (local-stochastic volatility models) the tails of the cumulative distribution of the log-returns behave as exp(-c|y|), where c is a positive constant depending on time and on model parameters. We obtain this estimate proving a …

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

We consider the fusion of two aerodynamic data sets originating from differing fidelity physical or computer experiments. We specifically address the fusion of: 1) noisy and in-complete fields from wind tunnel measurements and 2) deterministic but biased fields from numerical simulations. These two data sources are fus…

New method optimizes aircraft design with reduced computation using multi-fidelity models.

SMT-EX enhances SMT for explaining surrogate models of mixed-variable design problems.

Unified market making controls risk, arbitrage, and volatility surfaces.

It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s_+$ can be obtained by solving (numerically) a simple equation. This yields a leading order expansion for the implied volatility at large strikes: $σ_{BS}( k,T)^{2}T\sim Ψ(s_+-1) \times k$ (Roger Lee's moment…