Related papers: Efficient swaptions price in Hull-White one factor…
The paper is an extended and modified version of the preprint S.Boyarchenko and S.Levendorski\u{i} ``Correct implied volatility shapes and reliable pricing in the rough Heston model". We combine a modification of the Adams method with the…
We analyze analytic approximation formulae for pricing zero-coupon bonds in the case when the short-term interest rate is driven by a one-factor mean-reverting process with a volatility nonlinearly depending on the interest rate itself. We…
The approach that allows find European option price on the assumption of hedging at discrete times is proposed. The routine allows find the option price not for lognormal distribution functions of underlying asset only but for wide enough…
The effort to generate matrix exponentials and associated differentials, required to determine the time evolution of quantum systems, frequently constrains the evaluation of problems in quantum control theory, variational circuit…
Product formula approximations of the time-evolution operator on quantum computers are of great interest due to their simplicity, and good scaling with system size by exploiting commutativity between Hamiltonian terms. However, product…
The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian…
Especially in the insurance industry interest rate models play a crucial role e.g. to calculate the insurance company's liabilities, performance scenarios or risk measures. A prominant candidate is the 2-Additive-Factor Gaussian Model…
A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a time-changed fractional Brownian motion. An analytic formula for pricing European foreign currency option is proposed…
While Bayesian methods are praised for their ability to incorporate useful prior knowledge, in practice, convenient priors that allow for computationally cheap or tractable inference are commonly used. In this paper, we investigate the…
In this paper we present a simple, but new, approximation methodology for pricing a call option in a Black \& Scholes market characterized by stochastic interest rates. The method, based on a straightforward Gaussian moment matching…
We provide an efficient and accurate simulation scheme for the rough Heston model in the standard ($H>0$) as well as the hyper-rough regime ($H > -1/2$). The scheme is based on low-dimensional Markovian approximations of the rough Heston…
We empirically investigated the relationships between the degree of efficiency and the predictability in financial time-series data. The Hurst exponent was used as the measurement of the degree of efficiency, and the hit rate calculated…
American and Bermudan-type financial instruments are often priced with specific Monte Carlo techniques whose efficiency critically depends on the effective dimensionality of the problem and the available computational power. In our work we…
This paper proposes two numerical solution based on Product Optimal Quantization for the pricing of Foreign Echange (FX) linked long term Bermudan options e.g. Bermudan Power Reverse Dual Currency options, where we take into account…
We solve robust optimization problem and show the example of the market model for which the worst case measure is not a martingale measure. In our model the instantaneous interest rate is determined by the Hull-White model and the investor…
A homogeneously saturated equation for the time development of the price of a financial asset is presented and investigated for the pricing of European call options using noise that is distributed as a Student's t-distribution. In the limit…
A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general…
We study the Hull-White model for the term structure of interest rates in the presence of volatility uncertainty. The uncertainty about the volatility is represented by a set of beliefs, which naturally leads to a sublinear expectation and…
We present a semi-static hedging algorithm for callable interest rate derivatives under an affine, multi-factor term-structure model. With a traditional dynamic hedge, the replication portfolio needs to be updated continuously through time…
We present a novel approach for parameter calibration of the Heston model for pricing an Asian put option, namely space mapping. Since few parameters of the Heston model can be directly extracted from real market data, calibration to real…