Institut Polytechnique de Paris

Properties and Proximal Point Type Methods for Strongly Quasiconvex Functions in Hilbert Spaces

We study strongly quasiconvex functions defined on Hilbert spaces and taking extended real values from both theoretical and algorithmic points of view. To this end, we verify the existence of (global) minimizers and the properties of the proximal operator for such functions, prev...

Refined expansions of the skew-stickiness ratio in stochastic volatility models

Building on the celebrated Bergomi–Guyon expansion, we derive next-to-leading order expansions in the volatility-of-volatility parameter for the Skew-Stickiness Ratio—an indicator of implied volatility dynamics—within a general class of forward variance models, thus pursuing the...

The Lee-Yang model and its generalizations through the lens of long-range deformations

Abstract In two dimensions, the non-unitary class of conformal minimal models, M(2,2m+1), has been recently conjectured to arise as renormalization-group fixed points of scalar field theories with complex iφ 2m-1 interaction, m∈N, m≥2. We test a variation of this conjecture throu...