Related papers: Generalised arbitrage-free SVI volatility surfaces
We study a 2D potential flow of an ideal fluid with a free surface with decaying conditions at infinity. By using the conformal variables approach, we study a particular solution of Euler equations having a pair of square-root branch points…
We consider a general class of continuous asset price models where the drift and the volatility functions, as well as the driving Brownian motions, change at a random time $\tau$. Under minimal assumptions on the random time and on the…
In this paper we derive a probabilistic representation of the deterministic 3-dimensional Navier--Stokes equations in the presence of spatial boundaries. The formulation in the absence of spatial boundaries was done by the authors in [Comm.…
We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential L\'evy class of asset price models with jumps. We introduce a new renormalisation of the strike variable with the property that the…
We consider a generic gauge system, whose physical degrees of freedom are obtained by restriction on a constraint surface followed by factorization with respect to the action of gauge transformations; in so doing, no Hamiltonian structure…
In this paper we use the notion of stability for free boundary surfaces with constant higher order mean curvature to obtain rigidity results for $H_2$-surfaces with free boundary of a geodesic ball of a simply connected $3$-dimensional…
This paper presents the second-order perturbation theory of the Navier-Stokes equations for free surface flows, with the wave amplitude considered as the perturbation parameter. Gravity-capillary surface waves in incompressible viscous…
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…
The aim of this note is to review some recent developments on the regularity theory for the stationary and parabolic obstacle problems. After a general overview, we present some recent results on the structure of singular free boundary…
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 this paper, a new approach for solving the problems of pricing and hedging derivatives is introduced in a general frictionless market setting. The method is applicable even in cases where an equivalent local martingale measure fails to…
We study the inviscid limit of the free boundary Navier-Stokes equations. We prove the existence of solutions on a uniform time interval by using a suitable functional framework based on Sobolev conormal spaces. This allows us to use a…
The rough Bergomi model introduced by Bayer, Friz and Gatheral has been outperforming conventional Markovian stochastic volatility models by reproducing implied volatility smiles in a very realistic manner, in particular for short…
A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the…
The motion of a block slipping on a surface is a well studied problem for flat and circular surfaces, but the necessary conditions for the block to leave (or not) the surface deserve a detailed treatment. In this article, using basic…
A probabilistic representation formula for general systems of linear parabolic equations, coupled only through the zero-order term, is given. On this basis, an implicit probabilistic representation for the vorticity in a 3D viscous fluid…
In stochastic portfolio theory, a relative arbitrage is an equity portfolio which is guaranteed to outperform a benchmark portfolio over a finite horizon. When the market is diverse and sufficiently volatile, and the benchmark is the market…
Implied volatilities form a well-known structure of smile or surface which accommodates the Bachelier model and observed market prices of interest rate options. For the swaptions that we study, three parameters are taken into account for…
The nonparametric estimation of the volatility and the drift coefficient of a scalar diffusion is studied when the process is observed at random time points. The constructed estimator generalizes the spectral method by Gobet, Hoffmann and…
Monotone variational inequalities (VIs) provide a unifying framework for convex minimization, equilibrium computation, and convex-concave saddle-point problems. Extragradient-type methods are among the most effective first-order algorithms…