Related papers: Discrete LIBOR Market Model Analogy
Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger [2012] for twice continuously differentiable deterministic functions of a multivariate martingale. They are…
We apply multilevel Monte Carlo for option pricing problems using exponential L\'{e}vy models with a uniform timestep discretisation to monitor the running maximum required for lookback and barrier options. The numerical results demonstrate…
In science and especially in economics, agent-based modeling has become a widely used modeling approach. These models are often formulated as a large system of difference equations. In this study, we discuss two aspects, numerical modeling…
Differential equations can be used to construct predictive models of a diverse set of real-world phenomena like heat transfer, predator-prey interactions, and missile tracking. In our work, we explore one particular application of…
This paper presents a time discretization of the robust exact filtering differentiator, a sliding mode differentiator coupled to filter, which provides a suitable approximation to the derivatives of some noisy signals. This proposal takes…
We propose a new model for the level I of a Limit Order Book (LOB), which incorporates the information about the standing orders at the opposite side of the book after each price change and the arrivals of new orders within the spread. Our…
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup around the indicative price. This, in…
The classical linear Black--Scholes model for pricing derivative securities is a popular model in financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the…
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized…
I study a static textbook model of monetary policy and relax the conventional assumption that the private sector has rational expectations. Instead, the private sector forms inflation forecasts according to a misspecified subjective model…
We develop a discrete-time optimal control framework for systems evolving on Lie groups. Our work generalizes the original Differential Dynamic Programming method, by employing a coordinate-free, Lie-theoretic approach for its derivation. A…
This paper is devoted to the study of acceleration methods for an inequality constrained convex optimization problem by using Lyapunov functions. We first approximate such a problem as an unconstrained optimization problem by employing the…
We propose a deep learning approach to study the minimal variance pricing and hedging problem in an incomplete jump diffusion market. It is based upon a rigorous stochastic calculus derivation of the optimal hedging portfolio, optimal…
In this paper we propose a general derivative pricing framework which employs decoupled time-changed (DTC) L\'evy processes to model the underlying asset of contingent claims. A DTC L\'evy process is a generalized time-changed L\'evy…
Discrete diffusion has recently emerged as a promising paradigm in discrete data modeling. However, existing methods typically rely on a fixed rate transition matrix during training, which not only limits the expressiveness of latent…
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a…
Using a Levy process we generalize formulas in Bo et al.(2010) for the Esscher transform parameters for the log-normal distribution which ensure the martingale condition holds for the discounted foreign exchange rate. Using these values of…
A heavy top with a fixed point and a rigid body in an ideal fluid are important examples of Hamiltonian systems on a dual to the semidirect product Lie algebra $e(n)=so(n)\ltimes\mathbb R^n$. We give a Lagrangian derivation of the…
We study a random version of the population-market model proposed by Arlot, Marmi and Papini in Arlot et al. (2019). The latter model is based on the Yoccoz-Birkeland integral equation and describes a time evolution of livestock commodities…
Local differential privacy (LDP) is a model where users send privatized data to an untrusted central server whose goal it to solve some data analysis task. In the non-interactive version of this model the protocol consists of a single round…