Ax-Schanuel for Shimura varieties
Mok, N
Pila, J
Tsimerman, J
(06 Nov 2017)
Uniform parameterization of subanalytic sets and diophantine applications
Cluckers, R
Pila, J
Wilkie, A
(19 May 2016)
Independence of CM points in Elliptic Curves
Pila, J
Tsimerman, J
(05 Jul 2019)
Multiplicative relations among singular moduli
Pila, J
Tsimerman, J
ANNALI SCUOLA NORMALE SUPERIORE - CLASSE DI SCIENZE
1357-1382
(05 Dec 2017)
Canonical Heights on Shimura Varieties and the André-Oort Conjecture
Pila, J
Shankar, A
Tsimerman, J
Esnault, H
Groechenig, M
(17 Sep 2021)
The Alzheimer's Disease Prediction Of Longitudinal Evolution (TADPOLE) Challenge: Results after 1 Year Follow-up
Marinescu, R
Oxtoby, N
Young, A
Bron, E
Toga, A
Weiner, M
Barkhof, F
Fox, N
Eshaghi, A
Toni, T
Salaterski, M
Lunina, V
Ansart, M
Durrleman, S
Lu, P
Iddi, S
Li, D
Thompson, W
Donohue, M
Nahon, A
Levy, Y
Halbersberg, D
Cohen, M
Liao, H
Li, T
Yu, K
Zhu, H
Tamez-Peña, J
Ismail, A
Wood, T
Bravo, H
Nguyen, M
Sun, N
Feng, J
Yeo, B
Chen, G
Qi, K
Chen, S
Qiu, D
Buciuman, I
Kelner, A
Pop, R
Rimocea, D
Ghazi, M
Nielsen, M
Ourselin, S
Sørensen, L
Venkatraghavan, V
Liu, K
Rabe, C
Manser, P
Hill, S
Howlett, J
Huang, Z
Kiddle, S
Mukherjee, S
Rouanet, A
Taschler, B
Tom, B
White, S
Faux, N
Sedai, S
de Velasco Oriol, J
Clemente, E
Estrada, K
Aksman, L
Altmann, A
Stonnington, C
Wang, Y
Wu, J
Devadas, V
Fourrier, C
Raket, L
Sotiras, A
Erus, G
Doshi, J
Davatzikos, C
Vogel, J
Doyle, A
Tam, A
Diaz-Papkovich, A
Jammeh, E
Koval, I
Moore, P
Lyons, T
Gallacher, J
Tohka, J
Ciszek, R
Jedynak, B
Pandya, K
Bilgel, M
Engels, W
Cole, J
Golland, P
Klein, S
Alexander, D
MELBA journal
volume 1
issue December 2021
1-60
(31 Dec 2021)
On the correspondence between symmetries of two-dimensional autonomous dynamical systems and their phase plane realisations
Baker, R
Ohlsson, F
Borgqvist, J
Physica D : Non-linear phenomena
Thu, 30 May 2024
16:00
16:00
L4
Hawkes-based microstructure of rough volatility model with sharp rise
Rouyi Zhang
(HU Berlin)
Further Information
Please join us for refreshments outside the lecture room from 1530.
Abstract
We consider the microstructure of a stochastic volatility model incorporating both market and limit orders. In our model, the volatility is driven by self-exciting arrivals of market orders as well as self-exciting arrivals of limit orders, which are modeled by Hawkes processes. The impact of market order on future order arrivals is captured by a Hawkes kernel with power law decay, and is hence persistent. The impact of limit orders on future order arrivals is temporary, yet possibly long-lived. After suitable scaling the volatility process converges to a fractional Heston model driven by an additional Poisson random measure. The random measure generates occasional spikes in the volatility process. The spikes resemble the clustering of small jumps in the volatility process that has been frequently observed in the financial economics literature. Our results are based on novel uniqueness results for stochastic Volterra equations driven by a Poisson random measure and non-linear fractional Volterra equations.
Thu, 13 Jun 2024
16:00
16:00
L4
Path-dependent optimal transport and applications
Dr Ivan Guo
(Monash University, Melbourne)
Further Information
Please join us for reshments outside the lecture room from 1530.
Abstract
We extend stochastic optimal transport to path-dependent settings. The problem is to find a semimartingale measure that satisfies general path-dependent constraints, while minimising a cost function on the drift and diffusion coefficients. Duality is established and expressed via non-linear path-dependent partial differential equations (PPDEs). The technique has applications in volatility calibration, including the calibration of path-dependent derivatives, LSV models, and joint SPX-VIX models. It produces a non-parametric volatility model that localises to the features of the derivatives. Another application is in the robust pricing and hedging of American options in continuous time. This is achieved by establishing duality in a space enlarged by the stopping decisions, and showing that the extremal points of martingale measures on the enlarged space are in fact martingale measures on the original space coupled with stopping times.