Related papers: Generalised arbitrage-free SVI volatility surfaces
Volatility smile and skewness are two key properties of option prices that are represented by the implied volatility (IV) surface. However, IV surface calibration through nonlinear interpolation is a complex problem due to several factors,…
We develop the general integral transforms (GIT) method for pricing barrier options in the time-dependent Heston model (also with a time-dependent barrier) where the option price is represented in a semi-analytical form as a two-dimensional…
We introduce a modular framework that extends the signature method to handle American option pricing under evolving volatility roughness. Building on the signature-pricing framework of Bayer et al. (2025), we add three practical…
The inviscid barotropic quasi-geostrophic equation with a free surface is considered. The free surface mandates a non-standard boundary condition. The global existence existence and uniqueness of a weak solution is established, thanks to…
The classic evolution equations for potential flow on the free surface of a fluid flow are not closed because the pressure and the vertical velocity dynamics are not specified on the free surface. Moreover, their wave dynamics does not…
This paper shows how the theory of dynamic risk measures provides viscosity solutions to a family of second-order parabolic partial differential equations, even in the degenerate case. First, motivated by the martingale problem approach of…
In this work, we present the a posteriori error analysis of Stabilization-Free Virtual Element Methods for the 2D Poisson equation. The abscence of a stabilizing bilinear form in the scheme allows to prove the equivalence between a suitably…
The generalization of Bertrand's theorem to abstract surfaces of revolution without "equators" is proved. We prove a criterion for the existence on such a surface of exactly two central potentials (up to an additive and a multiplicative…
Stochastic volatility (SV) and local stochastic volatility (LSV) processes can be used to model the evolution of various financial variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted to pricing…
In this paper, we study a free boundary problem for compressible spherically symmetric Navier-Stokes equations with a gravitational force and degenerate viscosity coefficients. Under certain assumptions that imposed on the initial data, we…
The first part of this article develops a variational formulation for relativistic mechanics. The results are established through standard tools of variational analysis and differential geometry. The novelty here is that the main motion…
It is well know that, in the short maturity limit, the implied volatility approaches the integral harmonic mean of the local volatility with respect to log-strike, see [Berestycki et al., Asymptotics and calibration of local volatility…
This paper proposes a semiparametric stochastic volatility (SV) model that relaxes the restrictive Gaussian assumption in both the return and volatility error terms, allowing them to follow flexible, nonparametric distributions with…
Following closely the construction of the Schrodinger bridge, we build a new class of Stochastic Volatility Models exactly calibrated to market instruments such as for example Vanillas, options on realized variance or VIX options. These…
We propose a discrete surface theory in $\mathbb R^3$ that unites the most prevalent versions of discrete special parametrizations. This theory encapsulates a large class of discrete surfaces given by a Lax representation and, in…
We consider the motion of incompressible viscous fluids bounded above by a free surface and below by a solid surface in the $N$-dimensional Euclidean space for $N\geq 2$ when the gravity is not taken into account. The aim of this paper is…
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…
The surface free energy is the difference between the free energies for a system with open boundary conditions and the same system with periodic boundary conditions. We use the quantum transfer matrix formalism to express the surface free…
The Null Surface Formulation of General Relativity is developed for 2+1 dimensional gravity. The geometrical meaning of the metricity condition is analyzed and two approaches to the derivation of the field equations are presented. One…
We extend upon the saddle-point equation presented in [1] to derive large-time model-implied volatility smiles, providing its theoretical foundation and studying its applications in classical models. As long as characteristic function…