The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options

The Heston stochastic volatility model is a standard model for valuing financial derivatives, since it can be calibrated using semi-analytical formulas and captures the most basic structure of the market for financial derivatives with simple structure in time-direction. However, extending the model to the case of time-dependent parameters, which would allow for a parametrization of the market at multiple timepoints, proves more challenging. We present a simple and numerically efficient approach to the calibration of the Heston stochastic volatility model with piecewise constant parameters. We show that semi-analytical formulas can also be derived in this more complex case and combine them with recent advances in computational techniques for the Heston model. Our numerical scheme is based on the calculation of the characteristic function using Gauss-Kronrod quadrature with an additional control variate that stabilizes the numerical integrals. We use our method to calibrate the Heston model with piecewise constant parameters to the foreign exchange (FX) options market. Finally, we demonstrate improvements of the Heston model with piecewise constant parameters upon the standard Heston model in selected cases

Basic electronic properties of iron selenide under variation of structural parameters

Since the discovery of high-temperature superconductivity in the thin-film FeSe/SrTiO$_3$ system, iron selenide and its derivates have been intensively scrutinized. Using ab initio density functional theory calculations we review the electronic structures that could be realized in iron-selenide if the structural parameters could be tuned at liberty. We calculate the momentum-dependence of the susceptibility and investigate the symmetry of electron pairing within the random phase approximation. Both the susceptibility and the symmetry of electron pairing depend on the structural parameters in a nontrivial way. These results are consistent with the known experimental behavior of binary iron chalcogenides and, at the same time, reveal two promising new ways of tuning superconducting transition temperatures in these materials. On the one hand by expanding the iron lattice of FeSe at constant iron-selenium distance and, on the other hand, by increasing the iron-selenium distance with unchanged iron lattice

Origin of the superconducting state in the collapsed tetragonal phase of KFe2As2

Recently, KFe$_2$As$_2$ was shown to exhibit a structural phase transition from a tetragonal to a collapsed tetragonal phase under applied pressure of about $15~\mathrm{GPa}$. Surprisingly, the collapsed tetragonal phase hosts a superconducting state with $T_c \sim 12~\mathrm{K}$, while the tetragonal phase is a $T_c \leq 3.4~\mathrm{K}$ superconductor. We show that the key difference between the previously known non-superconducting collapsed tetragonal phase in AFe$_2$As$_2$ (A= Ba, Ca, Eu, Sr) and the superconducting collapsed tetragonal phase in KFe$_2$As$_2$ is the qualitatively distinct electronic structure. While the collapsed phase in the former compounds features only electron pockets at the Brillouin zone boundary and no hole pockets are present in the Brillouin zone center, the collapsed phase in KFe$_2$As$_2$ has almost nested electron and hole pockets. Within a random phase approximation spin fluctuation approach we calculate the superconducting order parameter in the collapsed tetragonal phase. We propose that a Lifshitz transition associated with the structural collapse changes the pairing symmetry from $d$-wave (tetragonal) to $s_\pm$ (collapsed tetragonal). Our DFT+DMFT calculations show that effects of correlations on the electronic structure of the collapsed tetragonal phase are minimal. Finally, we argue that our results are compatible with a change of sign of the Hall coefficient with pressure as observed experimentally

Role of vertex corrections in the matrix formulation of the random phase approximation for the multiorbital Hubbard model

In the framework of a multiorbital Hubbard model description of superconductivity, a matrix formulation of the superconducting pairing interaction that has been widely used is designed to treat spin, charge and orbital fluctuations within a random phase approximation (RPA). In terms of Feynman diagrams, this takes into account particle-hole ladder and bubble contributions as expected. It turns out, however, that this matrix formulation also generates additional terms which have the diagrammatic structure of vertex corrections. Here we examine these terms and discuss the relationship between the matrix-RPA superconducting pairing interaction and the Feynman diagrams that it sums.Comment: 6 pages, 4 figure