Related papers: Implied Volatility Surface: Construction Methodolo…
In this paper, we present a method for constructing a (static) portfolio of co-maturing European options whose price sign is determined by the skewness level of the associated implied volatility. This property holds regardless of the…
We present a Hawkes modeling of the volatility surface's high-frequency dynamics and show how the Hawkes kernel coefficients govern the surface's skew and convexity. We provide simple sufficient conditions on the coefficients to ensure…
In this work we study different Implicit-Explicit (IMEX) schemes for incompressible flow problems with variable viscosity. Unlike most previous work on IMEX schemes, which focuses on the convective part, we here focus on treating parts of…
The stability of most surface-tension-driven interfacial flow simulations is governed by the capillary time-step constraint. This concerns particularly small-scale flows and, more generally, highly-resolved liquid-gas simulations with…
The immersed interface method (IIM) for fluid-structure interaction imposes discontinuities in the fluid stress along immersed boundaries that are generated by forces concentrated along those boundaries. For a viscous incompressible fluid,…
In the present paper, the stability of Coalescence Hidden variable Fractal Interpolation Surfaces(CHFIS) is established. The estimates on error in approximation of the data generating function by CHFIS are found when there is a perturbation…
We devise a numerical method for passive advection of a surface, such as the interface between two incompressible fluids, across a computational mesh. The method is called isoAdvector, and is developed for general meshes consisting of…
Volatility smile and skewness are two key properties of option prices that are represented by the implied volatility (IV) surface. However, IV surface calibration through nonlinear interpolation is a complex problem due to several factors,…
The constitutive modelling of granular, porous and quasi-brittle materials is based on yield (or damage) functions, which may exhibit features (for instance, lack of convexity, or branches where the values go to infinity, or false elastic…
The notion of Inertial Balanced Viscosity (IBV) solution to rate-independent evolutionary processes is introduced. Such solutions are characterized by an energy balance where a suitable, rate-dependent, dissipation cost is optimized at jump…
The measures of roughness of the volatility in the litterature are based on the realized volatility of high frequency data. Some authors show that this leads to a biased estimate, and does not necessarily indicate roughness of the…
View selection is critical in active 3D neural reconstruction as it impacts the contents of training set and resulting final output quality. Recent view selection strategies emphasize the visibility when evaluating model uncertainty in…
This paper presents static and dynamic versions of univariate, multivariate, and multilevel functional time-series methods to forecast implied volatility surfaces in foreign exchange markets. We find that dynamic functional principal…
The paper develops a method for the numerical simulation of a free-surface flow of incompressible viscous fluid around a streamlined body. The body is a rigid stationary construction partially submerged in the fluid. The application we are…
This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular…
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem were developed techniques for modeling…
Liquid-infused surfaces (LIS) are a promising technique for reducing friction, fouling and icing in both laminar and turbulent flows. Previous work has demonstrated that these surfaces are susceptible to shear-driven drainage. Here, we…
We introduce a fast and flexible Machine Learning (ML) framework for pricing derivative products whose valuation depends on volatility surfaces. By parameterizing volatility surfaces with the 5-parameter stochastic volatility inspired (SVI)…
The complexity of binary droplet collisions increases for the collision of immiscible liquids with the occurrence of triple lines and thin encapsulating films. The Volume of Fluid (VOF) method is extended with an efficient interface…
Governing equations of motion for a viscous incompressible material surface are derived from the balance laws of continuum mechanics. The surface is treated as a time-dependent smooth orientable manifold of codimension one in an ambient…