Stochastic flows approach to Dupire's formula

The probabilistic equivalent formulation of Dupire's PDE is the Put-Call duality equality. In local volatility models including exponential L\'{e}vy jumps, we give a direct probabilistic proof for this result based on stochastic flows arguments. This approach also enables us to check the probabilistic equivalent formulation of various generalizations of Dupire's PDE recently obtained by Pironneau by the adjoint equation technique in the case of complex options

The High Energy Emission of the Crab Nebula from 20 keV to 6 MeV with INTEGRAL

The SPI spectrometer aboard the INTEGRAL mission observes regularly the Crab Nebula since 2003. We report on observations distributed over 5.5 years and investigate the variability of the intensity and spectral shape of this remarkable source in the hard X-rays domain up to a few MeV. While single power law models give a good description in the X-ray domain (mean photon index ~ 2.05) and MeV domain (photon index ~ 2.23), crucial information are contained in the evolution of the slope with energy between these two values. This study has been carried out trough individual observations and long duration (~ 400 ks) averaged spectra. The stability of the emission is remarkable and excludes a single power law model. The slopes measured below and above 100 keV agree perfectly with the last values reported in the X-ray and MeV regions respectively, but without indication of a localized break point. This suggests a gradual softening in the emission around 100 keV and thus a continuous evolution rather than an actual change in the mechanism parameters. In the MeV region, no significant deviation from the proposed power law model is visible up to 5-6 MeV. Finally, we take advantage of the spectroscopic capability of the instrument to seek for previously reported spectral features in the covered energy range with negative results for any significant cyclotron or annihilation emission on 400 ks timescales. Beyond the scientific results, the performance and reliability of the SPI instrument is explicitly demonstrated, with some details about the most appropriate analysis method.Comment: accepted for publication in ApJ; 4 figures, 2 table

Propagation of chaos and Poincar\'e inequalities for a system of particles interacting through their cdf

In the particular case of a concave flux function, we are interested in the long time behaviour of the nonlinear process associated to the one-dimensional viscous scalar conservation law. We also consider the particle system obtained by remplacing the cumulative distribution function in the drift coefficient of this nonlinear process by the empirical cdf. We first obtain trajectorial propagation of chaos result. Then, Poincar\'e inequalities are used to get explicit estimates concerning the long time behaviour of both the nonlinear process and the particle system

Coupling Index and Stocks

In this paper, we are interested in continuous time models in which the index level induces some feedback on the dynamics of its composing stocks. More precisely, we propose a model in which the log-returns of each stock may be decomposed into a systemic part proportional to the log-returns of the index plus an idiosyncratic part. We show that, when the number of stocks in the index is large, this model may be approximated by a local volatility model for the index and a stochastic volatility model for each stock with volatility driven by the index. This result is useful in a calibration perspective : it suggests that one should first calibrate the local volatility of the index and then calibrate the dynamics of each stock. We explain how to do so in the limiting simplified model and in the original model

On the long time behavior of stochastic vortices systems

In this paper, we are interested in the long-time behaviour of stochastic systems of n interacting vortices: the position in R2 of each vortex evolves according to a Brownian motion and a drift summing the influences of the other vortices computed through the Biot and Savart kernel and multiplied by their respective vorticities. For fixed n, we perform the rescalings of time and space used successfully by Gallay and Wayne [5] to study the long-time behaviour of the vorticity formulation of the two dimensional incompressible Navier-Stokes equation, which is the limit as n $\rightarrow$ $\infty$ of the weighted empirical measure of the system under mean-field interaction. When all the vorticities share the same sign, the 2n-dimensional process of the rescaled positions of the vortices is shown to converge exponentially fast as time goes to infinity to some invariant measure which turns out to be Gaussian if all the vorticities are equal. In the particular case n = 2 of two vortices, we prove exponential convergence in law of the 4-dimensional process to an explicit random variable, whatever the choice of the two vorticities. We show that this limit law is not Gaussian when the two vorticities are not equal