14 citations · 16 across the 3 of their papers we have counts for
4 papers
Incorporating a Volatility Smile into the Markov-Functional Model
Feijia Wang
We study a Markov-Functional (MF) interest-rate model with Uncertain Volatility Displaced Diffusion (UVDD) digital mapping, which is consistent with the volatility-smile phenomenon…
Hamiltonian and Lagrangian for the trajectory of the empirical distribution and the empirical measure of Markov processes
Frank Redig, Feijia Wang
We compute the Hamiltonian and Lagrangian associated to the large deviations of the trajectory of the empirical distribution for independent Markov processes, and of the empirical…
Gibbs-non-Gibbs transitions via large deviations: computable examples
Frank Redig, Feijia Wang
We give new and explicitly computable examples of Gibbs-non-Gibbs transitions of mean-field type, using the large deviation approach introduced in [4]. These examples include Brown…
Transformations of one-dimensional Gibbs measures with infinite range interaction
Frank Redig, Feijia Wang
We study single-site stochastic and deterministic transforma- tions of one-dimensional Gibbs measures in the uniqueness regime with infinite-range interactions. We prove conservati…