AI Networking Cookbook: Practical recipes for AI-assisted network automation and development
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We derive a short-maturity expansion for up-and-out put barrier option prices under continuous stochastic volatility when the strike and the barrier approach the spot at the diffusive scale. Assuming joint weak convergence of the normalized terminal return, the relative volatility fluctuation, and the running maximum,...
We prove a functional stable limit theorem for the discretization error process of a local linearization scheme for stochastic differential equations with additive Brownian noise. The scheme includes the conditional mean of the second-order term involving the Brownian increment in the Taylor expansion of the drift. The...
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