Related papers: A flexible matrix Libor model with smiles
We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European…
We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently typical multi-dimensional FX vanilla markets, while retaining the (semi)-analytical tractability typical of affine models…
We propose a generalization of the lasso that allows the model coefficients to vary as a function of a general set of modifying variables. These modifiers might be variables such as gender, age or time. The paradigm is quite general, with…
Matrix-valued stochastic processes have been of significant importance in areas such as physics, engineering and mathematical finance. One of the first models studied has been the so-called Wishart process, which is described as the…
A basis expansion with regularization methods is much appealing to the flexible or robust nonlinear regression models for data with complex structures. When the underlying function has inhomogeneous smoothness, it is well known that…
In the general framework of Metric-Affine theories of gravity, where the metric and the connection are independent variables, we consider actions quadratic in the Ricci scalar curvature and the Holst invariant (the contraction of the…
A simple phenomenological approach to metal plasticity, including the description of the strain-induced plastic anisotropy, is considered. The advocated approach is exemplified by a two-dimensional rheological analogy. This analogy provides…
We present a tractable non-independent increment process which provides a high modeling flexibility. The process lies on an extension of the so-called Harris chains to continuous time being stationary and Feller. We exhibit constructions,…
The Eisenhart lift allows to formulate the dynamics of a scalar field in a potential as pure geodesic motion in a curved field-space manifold involving an additional fictitious vector field. Making use of the formalism in the context of…
This work extends the variance reduction method for the pricing of possibly path-dependent derivatives, which was developed in (Genin and Tankov, 2016) for exponential L\'evy models, to affine stochastic volatility models (Keller-Ressel,…
We introduce a simple model for equity index derivatives. The model generalizes well known L\`evy Normal Tempered Stable processes (e.g. NIG and VG) with time dependent parameters. It accurately fits Equity index implied volatility surfaces…
This note presents an extension to the adaptive control strategy presented in [1] able to counter eventual instability due to disturbances at the input of an otherwise $\mathcal{L}_2$ stable closed-loop system. These disturbances are due to…
The author seeks to develop a model to alter the bid-offer spread, currently quoted by market makers, that varies with the market and trading conditions. The dynamic nature of financial markets and trading, as with the rest of social…
Starting from a linear fractional representation of a linear system affected by constant parametric uncertainties, we demonstrate how to enhance standard robust analysis tests by taking available (noisy) input-output data of the uncertain…
In this paper we consider a modified fractional Maxwell model based on the application of Hadamard-type fractional derivatives. The model is physically motivated by the fact that we can take into account at the same time memory effects and…
We introduce a new method to qualify the goodness of fit parameter estimation of compound Wishart models. Our method based on the free deterministic equivalent Z-score, which we introduce in this paper. Furthermore, an application to two…
In this paper, we first develop a mathematical model for long-range, hydrophobic attraction between amphiphilic particles. The non-pairwise interactions follow from the first variation of a hydrophobic attraction domain functional. The…
We develop the general integral transforms (GIT) method for pricing barrier options in the time-dependent Heston model (also with a time-dependent barrier) where the option price is represented in a semi-analytical form as a two-dimensional…
Matrix Dirichlet processes, in reference to their reversible measure, appear in a natural way in many different models in probability. Applying the language of diffusion operators and the method of boundary equations, we describe Dirichlet…
Our article addresses the problem of flexibly estimating a multivariate density while also attempting to estimate its marginals correctly. We do so by proposing two new estimators that try to capture the best features of mixture of normals…