Related papers: Generalised arbitrage-free SVI volatility surfaces
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depending on whether the stochasticity…
We propose and explore a new, general-purpose method for the implicit time integration of elastica. Key to our approach is the use of a mixed variational principle. In turn its finite element discretization leads to an efficient alternating…
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of…
We have embedded the classical theory of stochastic finance into a differential geometric framework called Geometric Arbitrage Theory and show that it is possible to: --Write arbitrage as curvature of a principal fibre bundle.…
In this paper we consider a slab of viscous incompressible fluid bounded above by a free boundary, bounded below by a flat rigid interface, and acted on by gravity. The unique equilibrium is a flat slab of quiescent fluid. It is well-known…
This paper presents a streamfunction-vorticity formulation for the Navier--Stokes and Euler equations on general surfaces. Notably, this includes non-simply connected surfaces, on which the harmonic components of the velocity field play a…
The paper gives a comprehensive study of inertial manifolds for semilinear parabolic equations and their smoothness using the spatial averaging method suggested by G. Sell and J. Mallet-Paret. We present a universal approach which covers…
In a model independent discrete time financial market, we discuss the richness of the family of martingale measures in relation to different notions of Arbitrage, generated by a class $\mathcal{S}$ of significant sets, which we call…
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…
Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…
The problem of non-stationarity in financial markets is discussed and related to the dynamic nature of price volatility. A new measure is proposed for estimation of the current asset volatility. A simple and illustrative explanation is…
First, we show that implied normal volatility is intimately linked with the incomplete Gamma function. Then, we deduce an expansion on implied normal volatility in terms of the time-value of a European call option. Then, we formulate an…
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 capitalization-weighted total relative variation $\sum_{i=1}^d \int_0^\cdot \mu_i (t) \mathrm{d} \langle \log \mu_i \rangle (t)$ in an equity market consisting of a fixed number $d$ of assets with capitalization weights $\mu_i (\cdot)$…
Spiral waves are a ubiquitous feature of the nonequilibrium dynamics of a great variety of excitable systems. In the limit of a large separation in timescale between fast excitation and slow recovery, one can reduce the spiral problem to…
We introduce a fast and flexible Machine Learning (ML) framework for pricing derivative products whose valuation depends on volatility surfaces. By parameterizing volatility surfaces with the 5-parameter stochastic volatility inspired (SVI)…
Exponential L\'evy processes can be used to model the evolution of various financial variables such as FX rates, stock prices, etc. Considerable efforts have been devoted to pricing derivatives written on underliers governed by such…
This paper presents a novel variational formulation to simulate linear free-surface flow. The variational formulation is suitable for higher-order finite elements and higher-order and higher-continuity shape functions as employed in…
In this paper, we consider three stochastic-volatility models, each characterized by distinct dynamics of instantaneous volatility: (1) a CIR process for squared volatility (i.e., the classical Heston model); (2) a mean-reverting lognormal…
We prove real analyticity of all the streamlines, including the free surface, of a gravity- or capillary-gravity-driven steady flow of water over a flat bed, with a H\"{o}lder continuous vorticity function, provided that the propagating…