EuDML | Browse

Page 1

Displaying 1 – 6 of 6

Rate of convergence to the semi-circle law for the Deformed Gaussian Unitary Ensemble

Friedrich Götze, Alexander Tikhomirov, Dmitry Timushev (2007)

Open Mathematics

It is shown that the Kolmogorov distance between the expected spectral distribution function of an n × n matrix from the Deformed Gaussian Ensemble and the distribution function of the semi-circle law is of order O(n −2/3+v ).

Reduction for Michaelis-Menten-Henri kinetics in the presence of diffusion.

Kalachev, Leonid V., Kaper, Hans G., Kaper, Tasso J., Popovic, Nikola, Zagaris, Antonios (2007)

Electronic Journal of Differential Equations (EJDE) [electronic only]

Refined wing asymptotics for the Merton and Kou jump diffusion models

Stefan Gerhold, Johannes F. Morgenbesser, Axel Zrunek (2015)

Banach Center Publications

Refining previously known estimates, we give large-strike asymptotics for the implied volatility of Merton's and Kou's jump diffusion models. They are deduced from call price approximations by transfer results of Gao and Lee. For the Merton model, we also analyse the density of the underlying and show that it features an interesting "almost power law" tail.

Displaying 1 – 6 of 6

Rate of convergence to the semi-circle law for the Deformed Gaussian Unitary Ensemble

Reduction for Michaelis-Menten-Henri kinetics in the presence of diffusion.

Refined wing asymptotics for the Merton and Kou jump diffusion models

Regularization and asymptotic expansion of certain distributions defined by divergent series.

Remarques sur les développements asymptotiques

Résurgence quantique

Currently displaying 1 – 6 of 6