Various techniques are used to simplify the derivations of``greeks'' of path-independent claims in the Black±Merton±Scholes model. First, delta, gamma, speed, and other higher-order spatial derivatives of these claims are interpreted as the values of certain quantoed contingent claims. It is then shown that all partial derivatives of such claims can be represented in terms of these spatial deri...

An expression of the multivariate sigma function associated with a (n,s)-curve is given in terms of algebraic integrals. As a corollary the first term of the series expansion around the origin of the sigma function is directly proved to be the Schur function determined from the gap sequence at infinity. ∗e-mail: [email protected]

In this paper, an analytical expression is developed for the differential entropy of a sinusoid with a Beta-distributed phase angle. This particular signal model is prevalent in optical communications, however an expression for the associated differential entropy does not currently exist. The expression we derive is approximate as it relies on a series expansion for one of the key terms needed ...

We prove two supercongruences for the coefficients of power series expansions in t of modular forms where t is a modular function. As a result, we settle two recent conjectures of Chan, Cooper and Sica. Additionally, we provide a table of supercongruences for numbers which appear in similar power series expansions and in the study of integral solutions of Apéry-like differential equations.

We present much briefer and more direct and transparent derivations of some sampling and series expansion relations for fractional Fourier and other transforms. In addition to the fractional Fourier transform, the method can also be applied to the Fresnel, Hartley, and scale transform and other relatives of the Fourier transform. ? 2003 Published by Elsevier B.V.

Let φ denote Euler’s phi function. For a fixed odd prime q we give an asymptotic series expansion in the sense of Poincaré for the number Eq(x) of n ≤ x such that q ∤ φ(n). Thereby we improve on a recent theorem by B.K. Spearman and K.S. Williams [Ark. Mat. 44 (2006), 166–181]. Furthermore we resolve, under the Generalized Riemann Hypothesis, which of two approximations to Eq(x) is asymptotical...

This paper considers the pricing of a European option using a B, S -market in which the stock price and the asset in the riskless bank account both have hereditary price structures described by the authors of this paper 1999 . Under the smoothness assumption of the payoff function, it is shown that the infinite dimensional Black-Scholes equation possesses a unique classical solution. A spectral...

Given integers s, t, define a function φs,t on the space of all formal series expansions by φs,t( ∑ anx ) = ∑ asn+tx . For each function φs,t, we determine the collection of all rational functions whose Taylor expansions at zero are fixed by φs,t. This collection can be described as a subspace of rational functions whose basis elements correspond to certain s-cyclotomic cosets associated with t...

Curved Trajectories Algorithm (CTA) is a package for the minimization of unconstrained functions of several variables with intervals on the variables. The core algorithm is novel in that steps may follow polynomial space curves instead of straight lines. The space curves result from truncations of a Taylor series expansion of the Gradient inverse function. When the series is convergent and the ...

In this paper, the space-time Riesz fractional partial differential equations with periodic conditions are considered. The equations are obtained from the integral partial differential equation by replacing the time derivative with a Caputo fractional derivative and the space derivative with Riesz potential. The fundamental solutions of the space Riesz fractional partial differential equation (...