Following Cox & Wermuth (1994, 2002), we show that the distribution of a set of binary observable variables, induced by a certain discrete latent variable model, may be approximated by a quadratic ...

Jim Gatheral proposes efficient and easy-to-implement Riemann sum and hybrid quadratic exponential schemes for the simulation of rough affine forward variance models The class of affine forward ...

LEDs are nonlinear devices with I/V curves that resemble the curves of rectifier diodes. Designers of lighting drivers require a good approach to modeling the LED device performance in the first ...

In this paper, we study the stability and convergence of some general quadratic semimartingales. Motivated by financial applications, we study simultaneously the semimartingale and its opposite. Their ...