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q-fin.CP2025
Efficient simulation of prices for European call options under Heston stochastic-local volatility model: a comparison of methods
Meng cai, Tianze Li
The Heston stochastic-local volatility model, consisting of a asset price process and a Cox--Ingersoll--Ross-type variance process, offers a wide range of applications in the finan…
math.PR2025
Rates of Bulk Convergence for Ensembles of Classical Compact Groups
Mengchun Cai
This paper considers random matrices distributed according to Haar measure in different classical compact groups. Utilizing the determinantal point structures of their nontrivial e…
math.PR2025
Mesoscopic Rates of Convergence for Hermitian Unitary Ensembles
Mengchun Cai, Kyle Taljan
This paper provides mesoscopic rates of convergence (ROC) with respect to the -Wasserstein distance for the eigenvalue determinantal point processes (DPPs) from the three majo…