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55 papers · 1 filter
Pricing and Hedging Basket Options with Exact Moment Matching
Tommaso Paletta, Arturo Leccadito, Radu Tunaru
Theoretical models applied to option pricing should take into account the empirical characteristics of the underlying financial time series. In this paper, we show how to price bas…
Berezinskii-Kosterlitz-Thouless-type transitions in d=2 quantum O(2) and O(2)xO(2) nonlinear sigma models
C. A. Hooley, S. T. Carr, J. M. Fellows +1
We discuss the d=2 quantum O(2)xO(2) nonlinear sigma model as a low-energy theory of phase reconstruction near a quantum critical point. We first examine the evolution of the Berez…
Endomorphisms of quantum generalized Weyl algebras
A. P. Kitchin, S. Launois
We prove that every endomorphism of a simple quantum generalized Weyl algebra over a commutative Laurent polynomial ring in one variable is an automorphism. This is achieved by…
Evolutionary tracks of massive stars during formation
Michael D. Smith
A model for massive stars is constructed by piecing together evolutionary algorithms for the protostellar structure, the environment, the inflow and the radiation feedback. We inve…
Measuring Software Diversity, with Applications to Security
Julio Hernandez-Castro, Jeremy Rossman
In this work, we briefly introduce and discuss some of the diversity measures used in Ecology. After a succinct description and analysis of the most relevant ones, we single out th…
Painlevé I double scaling limit in the cubic random matrix model
Pavel M. Bleher, Alfredo Deaño
We obtain the double scaling asymptotic behavior of the recurrence coefficients and the partition function at the critical point of the Hermitian random matrix model wi…