Related papers: Affine LIBOR models driven by real-valued affine p…
We show that any affine invariant function on the set of positive definite matrices must factor through the determinant function, as long as the restriction of the function to scalar matrices is surjective. A motivation from robust…
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…
We investigate the links between various no-arbitrage conditions and the existence of pricing functionals in general markets, and prove the Fundamental Theorem of Asset Pricing therein. No-arbitrage conditions, either in this abstract…
We develop a new method called affine facial reduction (FR) for recovering Slater's condition for semidefinite programming (SDP) relaxations of combinatorial optimization (CO) problems. Affine FR is a user-friendly method, as it is fully…
We apply the concepts of utility based pricing and hedging of derivatives in stochastic volatility markets and introduce a new class of "reciprocal affine" models for which the indifference price and optimal hedge portfolio for pure…
In this note we prove that every non characteristically filiform Lie algebra is endowed with an affine structure.
We show that representations of convolution algebras such as Lustzig's graded affine Hecke algebra or the quiver Hecke algebra and quiver Schur algebra in (affine) type A can be realised in terms of certain equivariant motivic sheaves…
We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the…
It is known that, in general, an affine or Gabor AP-frame is an $L^2(\mathbb{R})$-frame and conversely. In part as a consequence of the Ergodic Theorem, we prove a necessary and sufficient condition for an affine (wavelet) system…
In this paper we consider the pricing of options on interest rates such as caplets and swaptions in the L\'evy Libor model developed by Eberlein and \"Ozkan (2005). This model is an extension to L\'evy driving processes of the classical…
We reprove the results of Jordan [18] and Siebert [31] and show that the Lie algebra of polynomial vector fields on an irreducible affine variety X is simple if and only if X is a smooth variety. Given proof is self-contained and does not…
We propose a formulation to construct new classes of financial price processes based on the insight that the key variable driving prices $P$ is the earning-over-price ratio $\gamma \simeq 1/P$, which we refer to as the earning yield and is…
We present a natural extension of the SABR model to price both backward and forward-looking RFR caplets in a post-Libor world. Forward-looking RFR caplets can be priced using the market standard approximations of Hagan et al. (2002). We…
We study the action of the infinite Frobenius on the de Rham fundamental groups of affine curves defined over $\bfR$. As an application, we compute extension classes of real mixed Hodge structures associated with the motivic fundamental…
At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic…
We study the affine schemes of modules over gentle algebras. We describe the smooth points of these schemes, and we also analyze their irreducible components in detail. Several of our results generalize formerly known results, e.g. by…
We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently typical multi-dimensional FX vanilla markets, while retaining the (semi)-analytical tractability typical of affine models…
We derive explicit valuation formulae for an exotic path-dependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier transform methods for option pricing. We consider two models…
Implied volatilities form a well-known structure of smile or surface which accommodates the Bachelier model and observed market prices of interest rate options. For the swaptions that we study, three parameters are taken into account for…
We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and…