Related papers: Generalised arbitrage-free SVI volatility surfaces
We derive a forward equation for arbitrage-free barrier option prices, in terms of Markovian projections of the stochastic volatility process, in continuous semi-martingale models. This provides a Dupire-type formula for the coefficient…
We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…
We prove a bifurcation result of uniformly-rotating/stationary non-trivial vortex sheets near the circular distribution for a model of two irrotational fluids with same density taking into account surface tension effects. As bifurcation…
We obtain a series of results in the global theory of free boundary minimal surfaces, which in particular provide a rather complete picture for the way different complexity criteria, such as area, topology and Morse index compare, beyond…
The hypothesis on complete integrability of equations describing the potential motion of incompressible ideal fluid with free surface in 2-D space in presence and absence of gravity was formulated by Dyachenko and Zakharov in 1994 [1].…
We investigate surjective parametrizations of rational algebraic varieties, in the vein of recent work by Jorge Caravantes, J. Rafael Sendra, David Sevilla, and Carlos Villarino. In particular, we show how to construct plenty of examples of…
A concept of martingale-fair index of return, consistent with Arbitrage Free Pricing Theory, is introduced. An explicit formula for the average rate of return of a group of investment/pension funds in a discrete time stochastic model is…
We consider the free boundary problem for a layer of compressible viscous barotropic fluid lying above a fixed rigid bottom and below the atmosphere of positive constant pressure. The fluid dynamics is governed by the compressible…
Consider the dynamics of a layer of viscous incompressible fluid under the influence of gravity. The upper boundary is a free boundary with the effect of surface tension taken into account, and the lower boundary is a fixed boundary on…
In this article we present a continuous time model for natural gas and crude oil future prices. Its main feature is the possibility to link both energies in the long term and in the short term. For each energy, the future returns are…
We consider an incompressible viscous flow without surface tension in a finite- depth domain of three dimension, with free top boundary. This system is governed by a Naiver-Stokes equation in a moving domain and a transport equation for the…
In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification for the market price of risk. Our…
We study the Fundamental Theorem of Asset Pricing for a general financial market under Knightian Uncertainty. We adopt a functional analytic approach which require neither specific assumptions on the class of priors $\mathcal{P}$ nor on the…
In this paper, we derive a general asymptotic implied volatility at the first-order for any stochastic volatility model using the heat kernel expansion on a Riemann manifold endowed with an Abelian connection. This formula is particularly…
The goal of this paper is to investigate Gevrey properties of formal solutions of certain generalized linear partial differential equations with variable coefficients. In particular, we extend the notion of moment partial differential…
A parameter-free method, namely the generalization of the Gauss-Seidel (GGS) method, is developed to solve generalized absolute value equations. Convergence of the proposed method is analyzed. Numerical results are given to demonstrate the…
We present a continuum theory to demonstrate the implications of considering general tractions developed on arbitrary control volumes where the surface enclosing it lacks smoothness. We then tailor these tractions to recover the…
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem were developed techniques for modeling…
In the Black-Scholes model, the absence of arbitrages imposes necessary constraints on the slope of the implied variance in terms of log-moneyness, asymptotically for large log-moneyness. The constraints are used for example in the SVI…
Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes…