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Now showing items 31-38 of 38
A note on delta hedging in markets with jumps
[OWP-2011-23] (Mathematisches Forschungsinstitut Oberwolfach, 2011-05-21)
Modelling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This strategy stems from the Black–Merton–Scholes ...
Positive recurrence of piecewise Orntein-Uhlenbeck processes and common quadratic Lyapunov functions
[OWP-2011-26] (Mathematisches Forschungsinstitut Oberwolfach, 2011)
We study the positive recurrence of piecewise Ornstein-Uhlenbeck (OU) diffusion processes, which arise from many-server queueing systems with phase-type service requirements. These diffusion processes exhibit different ...
Braid equivalences and the L-moves
[OWP-2011-20] (Mathematisches Forschungsinstitut Oberwolfach, 2011-05-19)
In this survey paper we present the L-moves between braids and how they can adapt and serve for establishing and proving braid equivalence theorems for various diagrammatic settings, such as for classical knots, for knots ...
Analytic Varieties with Finite Volume Amoebas are Algebraic
[OWP-2011-33] (Mathematisches Forschungsinstitut Oberwolfach, 2011)
In this paper, we study the amoeba volume of a given $k$-dimensional generic analytic variety $V$ of the complex algebraic torus $(C^*)^n$. When $n>=2k$, we show that $V$ is algebraic if and only if the volume of its amoeba ...
Higher Finiteness Properties of Reductive Arithmetic Groups in Positive Characteristic: the Rank Theorem
[OWP-2011-05] (Mathematisches Forschungsinstitut Oberwolfach, 2011-05-8)
We show that the finiteness length of an $S$-arithmetic subgroup $\Gamma$ in a noncommutative isotropic absolutely almost simple group $\mathcal{G}$ over a global function field is one less than the sum of the local ranks ...
Some Combinatorial Identities Related to Commuting Varieties and Hilbert Schemes
[OWP-2011-02] (Mathematisches Forschungsinstitut Oberwolfach, 2011)
In this article we explore some of the combinatorial consequences of recent results relating the isospectral commuting variety and the Hilbert scheme of points in the plane.
The Weyl group of the Cuntz algebra
[OWP-2011-31] (Mathematisches Forschungsinstitut Oberwolfach, 2011-05-28)
The Weyl group of the Cuntz algebra $\mathcal{O}_n$ is investigated. This is (isomorphic to) the group of polynomial automorphisms $\lambda_u$ of $\mathcal{O}_n$, namely those induced by unitaries u that can be written ...
Legendrian Knots in Lens Spaces
[OWP-2011-01] (Mathematisches Forschungsinstitut Oberwolfach, 2011)
In this note, we first classify all topological torus knots lying on the Heegaard torus in Lens spaces, and then we classify Legendrian representatives of torus knots. We show that all Legendrian torus knots in universally ...