Related papers: Arbitrage-free SVI volatility surfaces
In this paper we study a class of split variational inclusion (SVI) and regularized split variational inclusion (RSVI) problems in real Hilbert spaces. We discuss various analytical properties of the net generated by the RSVI and establish…
We present a simple algorithm for differentiable rendering of surfaces represented by Signed Distance Fields (SDF), which makes it easy to integrate rendering into gradient-based optimization pipelines. To tackle visibility-related…
This paper deals with the exact calibration of semidiscretized stochastic local volatility (SLV) models to their underlying semidiscretized local volatility (LV) models. Under an SLV model, it is common to approximate the fair value of…
We consider asset price models whose dynamics are described by linear functions of the (time extended) signature of a primary underlying process, which can range from a (market-inferred) Brownian motion to a general multidimensional…
Surface parameterization is a fundamental concept in fields such as differential geometry and computer graphics. It involves mapping a surface in three-dimensional space onto a two-dimensional parameter space. This process allows for the…
Local Stochastic Volatility (LSV) models have been used for pricing and hedging derivatives positions for over twenty years. An enormous body of literature covers analytical and numerical techniques for calibrating the model to market data.…
Given a unirational parameterization of a surface, we present a general algorithm to determine a birational parameterization without using parameterization algorithms. Additionally, if the surface is assumed to have a birational…
Non-parametric inference for functional data over two-dimensional domains entails additional computational and statistical challenges, compared to the one-dimensional case. Separability of the covariance is commonly assumed to address these…
The scaling behavior of fully flexible elastic tethered surfaces has been debated for decades. Some theories predict that self-avoiding surfaces would crumple in the absence of bending rigidity, while most simulations suggested that they…
We consider a dynamic market model of liquidity where unmatched buy and sell limit orders are stored in order books. The resulting net demand surface constitutes the sole input to the model. We prove that generically there is no arbitrage…
Approximate Bayesian Computation (ABC) is a framework for performing likelihood-free posterior inference for simulation models. Stochastic Variational inference (SVI) is an appealing alternative to the inefficient sampling approaches…
We present a parametric finite element approximation of two-phase flow. This free boundary problem is given by the Stokes equations in the two phases, which are coupled via jump conditions across the interface. Using a novel variational…
We present a clear and practical way to characterize the parabolicity of a complete immersed surface that is invariant with respect to a Killing vector field of the ambient space.
We investigate the joint dynamics of spot and implied volatility from an empirical perspective. We focus on the equity market with the SPX Index our underlying of choice. Using only observable quantities, we extract the instantaneous…
In this paper, we analyse the South African implied volatility in various setting. We assess the information content in SAVI implied volatility using daily markets data. Our empirical application is focused on the FTSE/JSE Top 40 index and…
We analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular we investigate the VXX notes tracking the short-end part of the futures term structure. Inspired by recent developments in…
We provide a general framework for the stability of solutions to stochastic partial differential equations with respect to perturbations of the drift. More precisely, we consider stochastic partial differential equations with drift given as…
In this paper we show that not all affine rational complex surfaces can be parametrized birationally and surjectively. For this purpose, we prove that, if S is an affine complex surface whose projective closure is smooth, a necessary…
In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the field. Special attention is dedicated to fractional and…
In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models to capture volatility smiles and skews in real markets, several extensions of LIBOR models to incorporate stochastic…