Browsing by Author "Tehranchi, Michael Rummine"
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MRI turbulence and thermal instability in accretion discs
Ross, J; Latter, Henrik Nils; Tehranchi, Michael Rummine (Oxford University PressMonthly Notices of the Royal Astronomical Society, 2017-06)A long-standing puzzle in the study of black hole accretion concerns the presence or not of thermal instability. Classical theory predicts that the encircling accretion disc is unstable, as do some self-consistent ...
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Uniform Bounds for Black--Scholes Implied Volatility
Tehranchi, Michael Rummine (Society for Industrial and Applied MathematicsSIAM Journal on Financial Mathematics, 2016-11-29)In this note, Black--Scholes implied volatility is expressed in terms of various optimization problems. From these representations, upper and lower bounds are derived which hold uniformly across moneyness and call price. ...