Short-maturity options on realized variance in local-stochastic volatility models
Sign Up to like & getrecommendations! Published in 2024 at "Quantitative Finance"
DOI: 10.1080/14697688.2025.2563107
Abstract: We derive the short-maturity asymptotics for prices of options on realized variance in local-stochastic volatility models. We consider separately the short-maturity asymptotics for out-of-the-money and in-the-money options cases. The analysis for the out-of-the-money case uses… read more here.
Keywords: options realized; short maturity; volatility; maturity ... See more keywords
Local Stochastic Vortex Structure Method for Synthetic Turbulence Computation in Flight Simulators
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DOI: 10.2514/1.j057329
Abstract: Rapid turbulence approximation on and around a vehicle is necessary for development of improved flight simulators for helicopters and aircraft, used both for pilot training and for video-gaming app... read more here.
Keywords: vortex structure; turbulence; flight simulators; stochastic vortex ... See more keywords
Local Stochastic Factored Gradient Descent for Distributed Quantum State Tomography
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Control Systems Letters"
DOI: 10.48550/arxiv.2203.11579
Abstract: We propose a distributed Quantum State Tomography (QST) protocol, named Local Stochastic Factored Gradient Descent (Local SFGD), to learn the low-rank factor of a density matrix over a set of local machines. QST is the… read more here.
Keywords: state; quantum state; stochastic factored; local stochastic ... See more keywords