The relationship of the large deviation rate, $\psi^\ast(a)$, of the mean of independent and identically distributed random variables to their cumulant generating function, $\psi(\lambda)$, is well ...

Abstract. In this paper, firstly we prove an integral identity that one can derive several new equalities for special selections of 𝑛 from this identity. Secondly, we established more general ...

Georgios Skoufis derives a model-independent convexity adjustment formula for the valuation of a discrete arithmetic average risk-free interest rate swap. The convexity adjustment is expressed as a ...

The Sum Squares function, also referred to as the Axis Parallel Hyper-Ellipsoid function, has no local minimum except the global one. It is continuous, convex and unimodal. It is shown here in its two ...

For this episode of Quantcast, I speak with Patrick Hagan, the veteran quant who co-developed the ubiquitous SABR volatility model in 2002. He is now the managing director of Gorilla Science, a ...