Related papers: Arbitrage-free SVI volatility surfaces
We consider a stochastic volatility model where the dynamics of the volatility are described by a linear function of the (time extended) signature of a primary process which is supposed to be a polynomial diffusion. We obtain closed form…
In this paper we introduce an abstract setting for the convergence analysis of the virtual element approximation of an acoustic vibration problem. We discuss the effect of the stabilization parameters and remark that in some cases it is…
We present an algorithm that covers any given rational ruled surface with two rational parametrizations. In addition, we present an algorithm that transforms any rational surface parametrization into a new rational surface parametrization…
In the recent years many research groups have studied slippery properties on lubricating fluid infused rough surfaces using hydrophobic substrates. These surfaces show excellent slippery behaviour for water and other liquids. Here we…
We consider an asset whose risk-neutral dynamics are described by a general class of local-stochastic volatility models and derive a family of asymptotic expansions for European-style option prices and implied volatilities. Our implied…
This paper shows how to recover a stochastic volatility model (SVM) from a market model of the VIX futures term structure. Market models have more flexibility for fitting of curves than do SVMs, and therefore are better suited for pricing…
Calibration of fixtures in robotic work cells is essential but also time consuming and error-prone, and poor calibration can easily lead to wasted debugging time in downstream tasks. Contact-based calibration methods let the user measure…
This paper gives an example of a non-arithmetic surface with marked length variety rigidity.
We investigate the pricing of financial options under the 2-hypergeometric stochastic volatility model. This is an analytically tractable model that reproduces the volatility smile and skew effects observed in empirical market data. Using a…
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 demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitrage bounds and super-replication values for many financial…
We consider a general local-stochastic volatility model and an investor with exponential utility. For a European-style contingent claim, whose payoff may depend on either a traded or non-traded asset, we derive an explicit approximation for…
This paper concerns the dynamics of a layer of incompressible viscous fluid lying above a rigid plane and with an upper boundary given by a free surface. The fluid is subject to a constant external force with a horizontal component, which…
In "Seshadri fibrations of algebraic surfaces" [arXiv:0709.2592v1] we showed that if the multiple point Seshadri constants of an ample line bundle on a smooth projective surface in very general points satisfy certain inequality then the…
In this paper, we price European Call three different option pricing models, where the volatility is dynamically changing i.e. non constant. In stochastic volatility (SV) models for option pricing a closed form approximation technique is…
This article presents results of further investigation of the problem of spurious interface fragmentation in the multiphase SPH. In order to remove arising instabilities, many authors introduced the artificial interface correction…
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including integrated and spot volatilities) of assets, and many methods…
We present an explicit hedging strategy, which enables to prove arbitrageness of market incorporating at least two assets depending on the same random factor. The implied Black-Scholes volatility, computed taking into account the form of…
A parameterized surface can be represented as a projection from a certain toric surface. This generalizes the classical homogeneous and bihomogeneous parameterizations. We extend to the toric case two methods for computing the implicit…
We formulate option market making as a constrained, risk-sensitive control problem that unifies execution, hedging, and arbitrage-free implied-volatility surfaces inside a single learning loop. A fully differentiable eSSVI layer enforces…