Related papers: Most-likely-path in Asian option pricing under loc…
Variational methods for parameter estimation are an active research area, potentially offering computationally tractable heuristics with theoretical performance bounds. We build on recent work that applies such methods to network data, and…
We consider the stochastic shortest path (SSP) problem for succinct Markov decision processes (MDPs), where the MDP consists of a set of variables, and a set of nondeterministic rules that update the variables. First, we show that several…
In this extended abstract, we report on ongoing work towards an approximate multimodal optimization algorithm with asymptotic guarantees. Multimodal optimization is the problem of finding all local optimal solutions (modes) to a path…
The approach to the theory of a relativistic random process is considered by the path integral method as Brownian motion taking into account the boundedness of speed. An attempt was made to build a relativistic analogue of the Wiener…
In this paper we study the short-time behavior of the at-the-money implied volatility for European and arithmetic Asian call options with fixed strike price. The asset price is assumed to follow the Bachelier model with a general stochastic…
We consider option pricing using a discrete-time Markov switching stochastic volatility with co-jump model, which can model volatility clustering and varying mean-reversion speeds of volatility. For pricing European options, we develop a…
We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows the Constant Elasticity of Variance (CEV) model. We present an analytical…
The least squares problem is formulated in terms of Lp quasi-norm regularization (0<p<1). Two formulations are considered: (i) an Lp-constrained optimization and (ii) an Lp-penalized (unconstrained) optimization. Due to the nonconvexity of…
We model the logarithm of the price (log-price) of a financial asset as a random variable obtained by projecting an operator stable random vector with a scaling index matrix $\underline{\underline{E}}$ onto a non-random vector. The scaling…
This article presents a novel approach, named MCMP (Monte Carlo Motion Planning), to the problem of motion planning under uncertainty, i.e., to the problem of computing a low-cost path that fulfills probabilistic collision avoidance…
In this paper we derive a efficient Monte Carlo approximation for the price of path-dependent derivatives under the multiscale stochastic volatility models of Fouque \textit{et al}. Using the formulation of this pricing problem under the…
In this paper we analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlying asset price but also on the path average of underlying…
The principle of absence of arbitrage opportunities allows obtaining the distribution of stock price fluctuations by maximizing its information entropy. This leads to a physical description of the underlying dynamics as a random walk…
We study the leading term in the small-time asymptotics of at-the-money call option prices when the stock price process $S$ follows a general martingale. This is equivalent to studying the first centered absolute moment of $S$. We show that…
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We derive a forward partial integral…
As distribution systems move towards being more actively managed there is increased potential for regional markets and the application of locational marginal prices (LMPs) to capture spatial variation in the marginal cost of electricity at…
The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to…
We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations, where the jump process can be any purely non-Gaussian L\'evy process of not necessarily…
In financial markets, accurately measuring the risk of future fluctuations in asset prices is of paramount importance. Studies such as Carr and Madan have shown that the expected value of the quadratic variation of log prices can be…
Sampling-based model predictive control (MPC) algorithms, such as model predictive path integral (MPPI), enable approximate, gradient-free solutions to optimal control problems by drawing samples from a proposal distribution, evaluating…