3 papers
math.SP2026
A Direct Polynomial Approach to Spectral Decomposition
Simon Bossoney, Marc Troyanov
We give a direct construction of the spectral projectors of a complex square matrix, based on explicit interpolation polynomials previously introduced. This yields a spectral resol…
math.NA2026
A Direct Approach to Hermite Interpolation
Simon Bossoney, Marc Troyanov
We introduce a family of polynomials satisfying the natural duality relations for Hermite interpolation, analogous to the classical Lagrange interpolation polynomials. They yield a…
q-fin.PR2013
Volatility Swap Under the SABR Model
Simon Bossoney
The SABR model is shortly presented and the volatility swap explained. The fair value for a volatility swap is then computed using the usual theory in financial mathematics. An ana…