Related papers: To sigmoid-based functional description of the vol…
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…
The design of embedded control systems is mainly done with model-based tools such as Matlab/Simulink. Numerical simulation is the central technique of development and verification of such tools. Floating-point arithmetic, that is well-known…
We provide explicit small-time formulae for the at-the-money implied volatility, skew and curvature in a large class of models, including rough volatility models and their multi-factor versions. Our general setup encompasses both European…
Skinning is a popular way to rig and deform characters for animation, to compute reduced-order simulations, and to define features for geometry processing. Methods built on skinning rely on weight functions that distribute the influence of…
We treat implied volatility surface (IVS) reconstruction as a learning problem guided by two principles. First, we adopt a meta-learning view that trains across trading days to learn a procedure that maps sparse option quotes to a full IVS…
Generalized nonlinear programming is considered without any convexity assumption, capturing a variety of problems that include nonsmooth objectives, combinatorial structures, and set-membership nonlinear constraints. We extend the augmented…
We propose a neural network-based approach to calibrating stochastic volatility models, which combines the pioneering grid approach by Horvath et al. (2021) with the pointwise two-stage calibration of Bayer et al. (2018) and Liu et al.…
We consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behavior of the slope for infinite activity exponential L\'evy models including a Brownian component. As…
The constitutive modelling of granular, porous and quasi-brittle materials is based on yield (or damage) functions, which may exhibit features (for instance, lack of convexity, or branches where the values go to infinity, or false elastic…
In this paper, we implement and test two types of market-based models for European-type options, based on the tangent Levy models proposed recently by R. Carmona and S. Nadtochiy. As a result, we obtain a method for generating Monte Carlo…
An algorithm framework is proposed for minimizing nonsmooth functions. The framework is variable-metric in that, in each iteration, a step is computed using a symmetric positive definite matrix whose value is updated as in a quasi-Newton…
We introduce a new approach for generating sequences of implied volatility (IV) surfaces across multiple assets that is faithful to historical prices. We do so using a combination of functional data analysis and neural stochastic…
This paper is devoted to the application of an $l_1$ -minimisation technique to construct an arbitrage-free call-option surface. We propose a nononparametric approach to obtaining model-free call option surfaces that are perfectly…
We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which is based on a system of integral equations that relates terminal density and option prices. Using a discretization of…
Stochastic volatility (SV) models mimic many of the stylized facts attributed to time series of asset returns, while maintaining conceptual simplicity. The commonly made assumption of conditionally normally distributed or…
In this investigation we revisit the concept of "effective free surfaces" arising in the solution of the time-averaged fluid dynamics equations in the presence of free boundaries. This work is motivated by applications of the optimization…
We investigate whether it is possible to formulate option pricing and hedging models without using probability. We present a model that is consistent with two notions of volatility: a historical volatility consistent with statistical…
We derive sharp bounds for the prices of VIX futures using the full information of S&P 500 smiles. To that end, we formulate the model-free sub/superreplication of the VIX by trading in the S&P 500 and its vanilla options as well as the…
The class of affine LIBOR models is appealing since it satisfies three central requirements of interest rate modeling. It is arbitrage-free, interest rates are nonnegative and caplet and swaption prices can be calculated analytically. In…
We fully generalize a previously-developed computational geometry tool [1] to perform large-scale simulations of arbitrary two-dimensional faceted surfaces $z = h(x,y)$. Our method uses a three-component facet/edge/junction storage model,…