arXiv subjects
Publications and source records attributed to Cyril Grunspan.
We invert the Black-Scholes formula. We consider the cases low strike, large strike, short maturity and large maturity. We give explicitly the first 5 terms of the expansions. A method to compute all the terms by induction is also given. At the money, we have a closed form formula for implied lognormal volatility in terms of a power series in call price.
We first quantize the Witt algebra in characteristic 0. Then, we consider the reduction modulo p of our formulas. This gives polynomial deformations of the restricted envelopping algebra of the Witt algebra. By this way, we get new families of noncommutative noncocommutative Hopf algebras of dimension p^p in char p.
This text gives some results about quantum torsors. Our starting point is an old reformulation of torsors recalled recently by Kontsevich. We propose an unification of the definitions of torsors in algebraic geometry and in Poisson geometry. Any quantum torsor is equipped with two comodule-algebra structures over Hopf algebras and these structures commute with each other. In the finite dimensional case, these two Hopf algebras share the same finite dimension. We show that any Galois extension of a field is a torsor and that any torsor is a Hopf-Galois extension. We give also examples of non-commutative torsors without character. Torsors can be composed. This leads us to define a new group-invariant, its torsors invariant. We show how Parmentier's quantization formalism of "affine Poisson groups" is part of our theory of torsors.
We construct a discrete quantum version of the Drinfeld-Sokolov correspondence for the sine-Gordon system. The classical version of this correspondence is a birational Poisson morphism between the phase space of the discrete sine-Gordon system and a Poisson homogeneous space. Under this correspondence, the commuting higher mKdV vector fields correspond to the action of an Abelian Lie algebra. We quantize this picture (1) by quantizing this Poisson homogeneous space, together with the action of the Abelian Lie algebra, (2) by quantizing the sine-Gordon phase space, (3) by computing the quantum analogues of the integrals of motion generating the mKdV vector fields, and (4) by constructing an algebra morphism taking one commuting family of derivations to the other one.