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Josef Teichmann

Publications and source records attributed to Josef Teichmann.

107 records · Page 6Linked to original sources
arXiv2008

Cubature on Wiener space in infinite dimension

We prove a stochastic Taylor expansion for SPDEs and apply this result to obtain cubature methods, i. e. high order weak approximation schemes for SPDEs, in the spirit of T. Lyons and N. Victoir. We can prove a high-order weak convergence for well-defined classes of test functions if the process starts at sufficiently regular initial values. We can also derive analogous results in the presence of Lévy processes of finite type, here the results seem to be new even in finite dimension. Several numerical examples are added.

math.PR↗
arXiv2007

Characterization of optimal Transport Plans for the Monge-Kantorovich-Problem

We prove that $c$-cyclically monotone transport plans $π$ optimize the Monge-Kantorovich transportation problem under an additional measurability condition. This measurability condition is always satisfied for finitely valued, lower semi-continuous cost functions. In particular, this yields a positive answer to Problem 2.25 in C. Villani's book. We emphasize that we do not need any regularity conditions as were imposed in the previous literature.

math.OC↗
arXiv2007

How close are the option pricing formulas of Bachelier and Black-Merton-Scholes?

We compare the option pricing formulas of Louis Bachelier and Black-Merton-Scholes and observe -- theoretically as well as for Bachelier's original data -- that the prices coincide very well. We illustrate Louis Bachelier's efforts to obtain applicable formulas for option pricing in pre-computer time. Furthermore we explain -- by simple methods from chaos expansion -- why Bachelier's model yields good short-time approximations of prices and volatilities.

q-fin.PR↗
arXiv2007

Weak and Strong Taylor methods for numerical solutions of stochastic differential equations

We apply results of Malliavin-Thalmaier-Watanabe for strong and weak Taylor expansions of solutions of perturbed stochastic differential equations (SDEs). In particular, we work out weight expressions for the Taylor coefficients of the expansion. The results are applied to LIBOR market models in order to deal with the typical stochastic drift and with stochastic volatility. In contrast to other accurate methods like numerical schemes for the full SDE, we obtain easily tractable expressions for accurate pricing. In particular, we present an easily tractable alternative to ``freezing the drift'' in LIBOR market models, which has an accuracy similar to the full numerical scheme. Numerical examples underline the results.

q-fin.CP↗
arXiv2005

Hypoellipticity in infinite dimensions and an application in interest rate theory

We apply methods from Malliavin calculus to prove an infinite-dimensional version of Hormander's theorem for stochastic evolution equations in the spirit of Da Prato-Zabczyk. This result is used to show that HJM-equations from interest rate theory, which satisfy the Hormander condition, have the conceptually undesirable feature that any selection of yields admits a density as multi-dimensional random variable.

math.PR↗
arXiv2005

Calculating the Greeks by Cubature formulas

We provide cubature formulas for the calculation of derivatives of expected values in the spririt of Terry Lyons and Nicolas Victoir. In financial mathematics derivatives of option prices with respect to initial values, so called Greeks, are of particular importance as hedging parameters. Cubature formulas allow to calculate these quantities very quickly. Simple examples are added to the theoretical exposition.

math.PR↗
arXiv2005

The proof of Tchakaloff's Theorem

We provide a simple proof of Tchakaloff's Theorem on the existence of cubature formulas of degree $m$ for Borel measures with moments up to order $m$. The result improves known results for non-compact supports, since we do not need conditions on $(m+1)$st moments.

math.NA↗
arXiv2004

Regularity of finite-dimensional realizations for Evolution Equations

We show that a continuous local semiflow of $C^k$-maps on a finite-dimensional $C^k$-manifold M can be embedded into a local $C^k$-flow on M under some weak (necessary) assumptions. This result is applied to an open problem in [fil/tei:01]. We prove that finite-dimensional realizations for interest rate models are highly regular objects, namely given by submanifolds M of $D(A^{\infty})$, where A is the generator of a strongly continuous semigroup.

math.FA↗
arXiv2004

A hyper-geometric approach to the BMV-conjecture

We provide a representation of the (signed) BMV-measure by stochastic means and prove positivity of the respective measures in dimension $d=3$ in several non-trivial cases by combinatorial methods.

math-ph↗
arXiv2002

On Finite-dimensional Term Structure models

In this paper we provide the characterization of all finite-dimensional Heath--Jarrow--Morton models that admit arbitrary initial yield curves. It is well known that affine term structure models with time-dependent coefficients (such as the Hull--White extension of the Vasicek short rate model) perfectly fit any initial term structure. We find that such affine models are in fact the only finite-factor term structure models with this property. We also show that there is usually an invariant singular set of initial yield curves where the affine term structure model becomes time-homogeneous. We also argue that other than functional dependent volatility structures -- such as local state dependent volatility structures -- cannot lead to finite-dimensional realizations. Finally, our geometric point of view is illustrated by several examples.

math.PR↗
arXiv2001

Smooth perfectness through decomposition of diffeomorphisms into fiber preserving ones

We show that on a closed smooth manifold $M$ equipped with $k$ fiber bundle structures whose vertical distributions span the tangent bundle, every smooth diffeomorphism $f$ of $M$ sufficiently close to the identity can be written as a product $f=f_1... f_k$, where $f_i$ preserves the $i^{\text{th}}$-fiber. The factors $f_i$ can be chosen smoothly in $f$. We apply this result to show that on a certain class of closed smooth manifolds every diffeomorphism sufficiently close to the identity can be written as product of commutators and the factors can be chosen smoothly. Furthermore we get concrete estimates on how many commutators are necessary.

math.DG↗
arXiv2001

Finite dimensional Realizations of Stochastic Equations

This paper discusses finite-dimensional (Markovian) realizations (FDRs) for Heath-Jarrow-Morton interest rate models. We consider a d-dimensional driving Brownian motion and stochastic volatility structures that are non-degenerate smooth functionals of the current forward rate. In a recent paper, Björk and Svensson give sufficient and necessary conditions for the existence of FDRs within a particular Hilbert space setup. We extend their framework, provide new results on the geometry of the implied FDRs and classify all of them. In particular, we prove their conjecture that every short rate realization is 2-dimensional. More generally, we show that all generic FDRs are at least (d+1)-dimensional and that all generic FDRs are affine. As an illustration we sketch an interest rate model, which goes well with the Svensson curve-fitting method. These results cannot be obtained in the Björk-Svensson setting. A substantial part of this paper is devoted to analysis on Fréchet spaces, where we derive a Frobenius theorem. Though we only consider stochastic equations in the HJM-framework, many of the results carry over to a more general setup.

math.PR↗
arXiv2001

Totally geodesic subgroups of diffeomorphisms

We determine the Riemannian manifolds for which the group of exact volume preserving diffeomorphisms is a totally geodesic subgroup of the group of volume preserving diffeomorphisms, considering right invariant $L^2$-metrics. The same is done for the subgroup of Hamiltonian diffeomorphisms as a subgroup of the group of symplectic diffeomorphisms in the Kähler case. These are special cases of totally geodesic subgroups of diffeomorphisms with Lie algebras big enough to detect the vanishing of a symmetric 2-tensor field.

math.DG↗