We provide explicit small-time formulae for the at-the-money implied volatility, skew, and curvature in a large class of models, including rough volatility models and their multi-factor versions. Our general setup encompasses both European options on a stock and VIX options, thereby providing new insights on their joint calibration. The tools used are essentially based on Malliavin calculus for Gaussian processes. We develop a detailed theoretical and numerical analysis of the two-factor rough Bergomi model and provide insights on the interplay between the different parameters for joint SPX–VIX smile calibration.

In this paper, we explore the applications of Tail Variance (TV) as a measure of tail riskiness and the confidence level of using Tail Conditional Expectation (TCE)-based risk capital. While TCE measures the expected loss of a risk that exceeds a certain threshold, TV measures the variability of risk along its tails. We first derive analytical formulas of TV and TCE for a large variety of probability distributions. These formulas are useful instruments for relevant research works on tail risk measures. We then propose a distribution-free approach utilizing TV to estimate the lower bounds of the confidence level of using TCE-based risk capital. In doing so, we introduce sharpened conditional probability inequalities, which halve the bounds of conventional Markov and Cantelli inequalities. Such an approach is easy to implement. We further investigate the characterization of tail risks by TV through an exploration of TV’s asymptotics. A distribution-free limit formula is derived for the asymptotics of TV. To further investigate the asymptotic properties, we consider two broad distribution families defined on tails, namely, the polynomial-tailed distributions and the exponential-tailed distributions. The two distribution families are found to exhibit an asymptotic equivalence between TV and the reciprocal square of the hazard rate. We also establish asymptotic relationships between TCE and VaR for the two families. Our asymptotic analysis contributes to the existing research by unifying the asymptotic expressions and the convergence rate of TV for Student-t distributions, exponential distributions, and normal distributions, which complements the discussion on the convergence rate of univariate cases in [28]. To show the usefulness of our results, we present two case studies based on real data from the industry. We first show how to use conditional inequalities to assess the confidence of using TCE-based risk capital for different types of insurance businesses. Then, for financial data, we provide alternative evidence for the relationship between the data frequency and the tail categorization by the asymptotics of TV.

Multivariate regular variation is a key concept that has been applied in finance, insurance, and risk management. This paper proposes a new dependence assumption via a framework of multivariate regular variation. Under the condition that financial and insurance risks satisfy our assumption, we conduct asymptotic analyses for multidimensional ruin probabilities in the discrete-time and continuous-time cases. Also, we present a two-dimensional numerical example satisfying our assumption, through which we show the accuracy of the asymptotic result for the discrete-time multidimensional insurance risk model.

We consider Toeplitz determinants whose symbol has: (i) a one-cut regular potential $V$, (ii) Fisher–Hartwig singularities and (iii) a smooth function in the background. The potential $V$ is associated with an equilibrium measure that is assumed to be supported on the whole unit circle. For constant potentials $V$, the equilibrium measure is the uniform measure on the unit circle and our formulas reduce to well-known results for Toeplitz determinants with Fisher–Hartwig singularities. For non-constant $V$, our results appear to be new even in the case of no Fisher–Hartwig singularities. As applications of our results, we derive various statistical properties of a determinantal point process which generalizes the circular unitary ensemble.

We consider three different families of Vafa–Witten invariants of $K3$ surfaces. In each case, the partition function that encodes the Vafa–Witten invariants is given by combinations of twisted Dedekind η-functions. By utilizing known properties of these η-functions, we obtain exact formulae for each of the invariants and prove that they asymptotically satisfy all higher-order Turán inequalities.

We study two models of an age-biased graph process: the $\delta$ -version of the preferential attachment graph model (PAM) and the uniform attachment graph model (UAM), with m attachments for each of the incoming vertices. We show that almost surely the scaled size of a breadth-first (descendant) tree rooted at a fixed vertex converges, for $m=1$ , to a limit whose distribution is a mixture of two beta distributions and a single beta distribution respectively, and that for $m>1$ the limit is 1. We also analyze the likely performance of two greedy (online) algorithms, for a large matching set and a large independent set, and determine – for each model and each greedy algorithm – both a limiting fraction of vertices involved and an almost sure convergence rate.

We prove and generalise a conjecture in [MPP4] about the asymptotics of $\frac{1}{\sqrt{n!}} f^{\lambda/\mu}$ , where $f^{\lambda/\mu}$ is the number of standard Young tableaux of skew shape $\lambda/\mu$ which have stable limit shape under the $1/\sqrt{n}$ scaling. The proof is based on the variational principle on the partition function of certain weighted lozenge tilings.

This note corrects an error in the definition of the rate function in Jacquier, Pakkanen, and Stone (2018) and slightly simplifies some proofs.

Systemic risk (SR) is considered as the risk of collapse of an entire system, which has played a significant role in explaining the recent financial turmoils from the insurance and financial industries. We consider the asymptotic behavior of the SR for portfolio losses in the model allowing for heavy-tailed primary losses, which are equipped with a wide type of dependence structure. This risk model provides an ideal framework for addressing both heavy-tailedness and dependence. As some extensions, several simulation experiments are conducted, where an insurance application of the asymptotic characterization to the determination and approximation of related SR capital has been proposed, based on the SR measure.

We study the long-term behaviour of a random walker embedded in a growing sequence of graphs. We define a (generally non-Markovian) real-valued stochastic process, called the knowledge process, that represents the ratio between the number of vertices already visited by the walker and the current size of the graph. We mainly focus on the case where the underlying graph sequence is the growing sequence of complete graphs.

This paper describes how asymptotic analysis can be used to gain new insights into the theory of cloaking of spherical and cylindrical targets within the context of acoustic waves in a class of linear elastic materials. In certain cases, these configurations allow solutions to be written down in terms of eigenfunction expansions from which high-frequency asymptotics can be extracted systematically. These asymptotics are compared with the predictions of ray theory and are used to describe the scattering that occurs when perfect cloaking models are regularised.

In this paper, we investigate $\unicode[STIX]{x1D70B}(m,n)$, the number of partitions of the bipartite number$(m,n)$ into steadily decreasing parts, introduced by Carlitz [‘A problem in partitions’, Duke Math. J.30 (1963), 203–213]. We give a relation between $\unicode[STIX]{x1D70B}(m,n)$ and the crank statistic $M(m,n)$ for integer partitions. Using this relation, we establish some uniform asymptotic formulas for $\unicode[STIX]{x1D70B}(m,n)$.

We analyse the structure of equilibria of a coagulation–fragmentation–death model of silicosis. We present exact multiplicity results in the particular case of piecewise constant coefficients, results on existence and non-existence of equilibria in the general case, as well as precise asymptotics for the infinite series that arise in the case of power law coefficients.

One of the approaches to the Riemann Hypothesis is the Nyman–Beurling criterion. Cotangent sums play a significant role in this criterion. Here we investigate the values of these cotangent sums for various shifts of the argument.

Ecological inference (EI) is the process of learning about individual behavior from aggregate data. We relax assumptions by allowing for “linear contextual effects,” which previous works have regarded as plausible but avoided due to nonidentification, a problem we sidestep by deriving bounds instead of point estimates. In this way, we offer a conceptual framework to improve on the Duncan–Davis bound, derived more than 65 years ago. To study the effectiveness of our approach, we collect and analyze 8,430 $2\times 2$ EI datasets with known ground truth from several sources—thus bringing considerably more data to bear on the problem than the existing dozen or so datasets available in the literature for evaluating EI estimators. For the 88% of real data sets in our collection that fit a proposed rule, our approach reduces the width of the Duncan–Davis bound, on average, by about 44%, while still capturing the true district-level parameter about 99% of the time. The remaining 12% revert to the Duncan–Davis bound.

This paper is concerned with the maximisation of the $k$-th eigenvalue of the Laplacian amongst flat tori of unit volume in dimension $d$ as $k$ goes to infinity. We show that in any dimension maximisers exist for any given $k$, but that any sequence of maximisers degenerates as $k$ goes to infinity when the dimension is at most 10. Furthermore, we obtain specific upper and lower bounds for the injectivity radius of any sequence of maximisers. We also prove that flat Klein bottles maximising the $k$-th eigenvalue of the Laplacian exhibit the same behaviour. These results contrast with those obtained recently by Gittins and Larson, stating that sequences of optimal cuboids for either Dirichlet or Neumann boundary conditions converge to the cube no matter the dimension. We obtain these results via Weyl asymptotics with explicit control of the remainder in terms of the injectivity radius. We reduce the problem at hand to counting lattice points inside anisotropically expanding domains, where we generalise methods of Yu. Kordyukov and A. Yakovlev by considering domains that expand at different rates in various directions.

The nonstationary Erlang-A queue is a fundamental queueing model that is used to describe the dynamic behavior of large-scale multiserver service systems that may experience customer abandonments, such as call centers, hospitals, and urban mobility systems. In this paper we develop novel approximations to all of its transient and steady state moments, the moment generating function, and the cumulant generating function. We also provide precise bounds for the difference of our approximations and the true model. More importantly, we show that our approximations have explicit stochastic representations as shifted Poisson random variables. Moreover, we are also able to show that our approximations and bounds also hold for nonstationary Erlang-B and Erlang-C queueing models under certain stability conditions.

A strongly concave composition of $n$ is an integer partition with strictly decreasing and then increasing parts. In this paper we give a uniform asymptotic formula for the rank statistic of a strongly concave composition introduced by Andrews et al. [‘Modularity of the concave composition generating function’, Algebra Number Theory7(9) (2013), 2103–2139].