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FS
2010
13 years 3 months ago
2010
This note explores the analogy between the dynamics of the interest rate term structure and the implied volatility surface of a stock. In particular, we prove an impossibility theo...
FS
2010
13 years 2 months ago
2010
Extreme losses of portfolios with heavy-tailed components are studied in the framework of multivariate regular variation. Asymptotic distributions of extreme portfolio losses are ...
FS
2010
13 years 3 months ago
2010
We find robust model-free hedges and price bounds for options on the realized variance of [the returns on] an underlying price process. Assuming only that the underlying process ...
JCST
2010
12 years 11 months ago
2010
We present a new method for feature preserving mesh simplification based on feature sensitive (FS) metric. Previous quadric error based approach is extended to a high-dimensional F...