Related papers: Closed form asymptotics for local volatility model…
A computational technique borrowed from the physical sciences is introduced to obtain accurate closed-form approximations for the transition probability of arbitrary diffusion processes. Within the path integral framework the same technique…
Using only the characteristic function, we derive short-time at-the-money (ATM) call-price asymptotics for the exponential CGMY model with activity parameter $Y\in(1,2)$. The Lipton--Lewis formula expresses the normalized ATM call price,…
We introduce a local volatility model for the valuation of options on commodity futures by using European vanilla option prices. The corresponding calibration problem is addressed within an online framework, allowing the use of multiple…
The Heston stochastic-local volatility model, consisting of a asset price process and a Cox--Ingersoll--Ross-type variance process, offers a wide range of applications in the financial industry. The pursuit for efficient model evaluation…
Financial markets based on L\'evy processes are typically incomplete and option prices depend on risk attitudes of individual agents. In this context, the notion of utility indifference price has gained popularity in the academic circles.…
We propose the use of indirect inference estimation to conduct inference in complex locally stationary models. We develop a local indirect inference algorithm and establish the asymptotic properties of the proposed estimator. Due to the…
We provide a thorough analysis of the path-dependent volatility model introduced by Guyon \cite{G17}, proving existence and uniqueness of a strong solution, characterising its behaviour at boundary points, providing asymptotic closed-form…
We study the connection between Lagrangian and Hamiltonian descriptions of closed/open dynamics, for a collection of particles with quadratic interaction (closed system) and a sub-collection of particles with linear damping (open system).…
Conditional copula models allow dependence structures to vary with observed covariates while preserving a separation between marginal behavior and association. We study the uniform asymptotic behavior of kernel-weighted local likelihood…
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Levy-type martingale subject to default. This class of models allows for local volatility, local default intensity, and a locally dependent…
We consider finite-temperature deformation of the sine kernel Fredholm determinants acting on the closed contours. These types of expressions usually appear as static two-point correlation functions in the models of free fermions and can be…
Asymptotic expansions are obtained for contour integrals of the form \[ \int_a^b \exp \left( - zp(t) + z^{\nu /\mu } r(t) \right)q(t)dt, \] in which $z$ is a large real or complex parameter, $p(t)$, $q(t)$ and $r(t)$ are analytic functions…
In this paper, a new numerical method based on adaptive gradient descent optimizers is provided for computing the implied volatility from the Black-Scholes (B-S) option pricing model. It is shown that the new method is more accurate than…
This paper deals with the numerical study of a strongly anisotropic heat equation. The use of standard schemes in this situation leads to poor results, due to the high anisotropy. Furthermore, the recently proposed Asymptotic-Preserving…
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discontinuous- semimartingale. A uniqueness…
We develop closed-form expansions for the implied volatility of VIX options within the class of forward variance models. Our approach builds on weak-approximation techniques for VIX option prices and yields explicit implied volatility…
We apply convex regularization techniques to the problem of calibrating the local volatility surface model of Dupire taking into account the practical requirement of discrete grids and noisy data. Such requirements are the consequence of…
We introduce a multi-factor stochastic volatility model based on the CIR/Heston volatility process that incorporates seasonality and the Samuelson effect. First, we give conditions on the seasonal term under which the corresponding…
We consider classical $O(N)$ vector models in dimension three and higher and investigate the nature of the low-temperature expansions for their multipoint spin correlations. We prove that such expansions define asymptotic series, and derive…
We study the asymptotic behaviour of solutions of a class of linear non-local measure-valued differential equations with time delay. Our main result states that the solutions asymptotically exhibit a parabolic like behaviour in the large…