Related papers: Multivariate Subordination using Generalised Gamma…
We propose a parameter-free model for estimating the price or valuation of financial derivatives like options, forwards and futures using non-supervised learning networks and Monte Carlo. Although some arbitrage-based pricing formula…
Generative moment matching networks (GMMNs) are suggested for modeling the cross-sectional dependence between stochastic processes. The stochastic processes considered are geometric Brownian motions and ARMA-GARCH models. Geometric Brownian…
There is considerable current interest in applications of generalised Lie algebras graded by an abelian group $\Gamma$ with a commutative factor $\omega$. This calls for a systematic development of the theory of such algebraic structures.…
The main challenge in Bayesian models is to determine the posterior for the model parameters. Already, in models with only one or few parameters, the analytical posterior can only be determined in special settings. In Bayesian neural…
We explore the abilities of two machine learning approaches for no-arbitrage interpolation of European vanilla option prices, which jointly yield the corresponding local volatility surface: a finite dimensional Gaussian process (GP)…
For each relative $\operatorname{GL}(V)$-invariant tensor $I\in \Lambda^{p_1+1}V^{\vee}\otimes .. \otimes \Lambda^{p_n+1}V^{\vee}$ we construct a $\operatorname{GL}(V)$-invariant weighted differential form $\eta$ on $(\mathbb{P} V)^{n}$.…
We consider Markov-switching regression models, i.e. models for time series regression analyses where the functional relationship between covariates and response is subject to regime switching controlled by an unobservable Markov chain.…
The weak variance-alpha-gamma process is a multivariate L\'evy process constructed by weakly subordinating Brownian motion, possibly with correlated components with an alpha-gamma subordinator. It generalises the variance-alpha-gamma…
A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a time-changed fractional Brownian motion. An analytic formula for pricing European foreign currency option is proposed…
We introduce a general class of stochastic processes driven by a multifractional Brownian motion (mBm) and study the estimation problems of their pointwise H\"older exponents (PHE) based on a new localized generalized quadratic variation…
Exact path simulation of the underlying state variable is of great practical importance in simulating prices of financial derivatives or their sensitivities when there are no analytical solutions for their pricing formulas. However, in…
We give an explicit description, via analytic subordination, of free multiplicative convolution of operator-valued distributions. In particular, the subordination function is obtained from an iteration process. This algorithm is easily…
The sub-fractional Brownian motion (sfBm) is a stochastic process, characterized by non-stationarity in their increments and long-range dependency, considered as an intermediate step between the standard Brownian motion (Bm) and the…
Equational unification of two terms consists of finding a substitution that, when applied to both terms, makes them equal modulo some equational properties. Equational unification is of special relevance to automated deduction, theorem…
We present a class of L\'evy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated L\'evy…
We propose a family of multivariate Gaussian process models for correlated outputs, based on assuming that the likelihood function takes the generic form of the multivariate exponential family distribution (EFD). We denote this model as a…
Adaptive wave model for financial option pricing is proposed, as a high-complexity alternative to the standard Black--Scholes model. The new option-pricing model, representing a controlled Brownian motion, includes two wave-type approaches:…
To convert standard Brownian motion $Z$ into a positive process, Geometric Brownian motion (GBM) $e^{\beta Z_t}, \beta >0$ is widely used. We generalize this positive process by introducing an asymmetry parameter $ \alpha \geq 0$ which…
We introduce and document a class of probability distributions, called bilateral generalized inverse Gaussian (BGIG) distributions, that are obtained by convolution of two generalized inverse Gaussian distributions supported by the positive…
The rough Bergomi (rBergomi) model, introduced recently in [5], is a promising rough volatility model in quantitative finance. It is a parsimonious model depending on only three parameters, and yet remarkably fits with empirical implied…