Filtration Shrinkage, Strict Local Martingales And The Follmer Measure

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Positive moments for scattering amplitudes

Riccardo Rattazzi, Francesco Riva, Marc Riembau Saperas, Brando Bellazzini

We find the complete set of conditions satisfied by the forward 2 -> 2 scattering amplitude in unitary and causal theories. These are based on an infinite set of energy dependent quantities (the arcs) which are dispersively expressed as moments of a positi ...

American Physical Society2021

Normal approximation of the solution to the stochastic heat equation with Levy noise

Carsten Hao Ye Chong

Given a sequence L & x2d9;epsilon of Levy noises, we derive necessary and sufficient conditions in terms of their variances sigma 2(epsilon) such that the solution to the stochastic heat equation with noise sigma(epsilon)-1L & x2d9;epsilon converges in law ...

SPRINGER2020

First passage sets of the 2D continuum Gaussian free field

Juhan Aru, Titus Lupu

We introduce the first passage set (FPS) of constant level -a of the two-dimensional continuum Gaussian free field (GFF) on finitely connected domains. Informally, it is the set of points in the domain that can be connected to the boundary by a path on whi ...

SPRINGER HEIDELBERG2020

Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing

Daniel Kressner, Francesco Statti, Kathrin Beatrice Glau

Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately and in real-time. ...

2020

Semi-discrete optimal transport: a solution procedure for the unsquared Euclidean distance case

Valentin Hartmann

We consider the problem of finding an optimal transport plan between an absolutely continuous measure and a finitely supported measure of the same total mass when the transport cost is the unsquared Euclidean distance. We may think of this problem as close ...

SPRINGER HEIDELBERG2020

The CDS-bond basis

Pierre Collin Dufresne

We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...

WILEY2019

Quantifying Fano properties in self-assembled metamaterials

Olivier Martin

Fano resonances in metamaterials can be explained by the coupling between different modes sustained by the meta-atom. While the associated spectral features are usually quite easy to identify for top-down metamaterials, thanks to the deterministic arrangem ...

2019

Numerical methods for option pricing: polynomial approximation and high dimensionality

Francesco Statti

Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...

EPFL2019

The sources of sovereign risk: a calibration based on Levy stochastic processes

Sylvain Jean Pascal Carré, Daniel Cohen

Governments choose to issue risky or riskless debt depending on the nature of the stochastic process of output. We use Brownian motion and Poisson shocks a modeling method in the literature on corporate default known as Levy processes to approximate a deco ...

ELSEVIER SCIENCE BV2019

On the American swaption in the linear-rational framework

Damir Filipovic

We study American swaptions in the linear-rational (LR) term structure model introduced in Filipović et al. [J. Finance., 2017, 72, 655–704]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It ...

2018

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