Related papers: Asymptotics for Greeks under the constant elastici…

In this paper, we argue that, once the costs of maintaining the hedging portfolio are properly taken into account, semi-static portfolios should more properly be thought of as separate classes of derivatives, with non-trivial,…

An investor faced with a contingent claim may eliminate risk by perfect hedging, but as it is often quite expensive, he seeks partial hedging (quantile hedging or efficient hedging) that requires less capital and reduces the risk. Efficient…

Both dissipation of helicity and it spectrum we are study on the basis of asymptotic model. Introduction into model dependence of angle between turbulent components vorticity and velocity on the governing parameters leads to the spectra of…

Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -robust) trading strategy is find to hedge in mean-variance…

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…

General stochastic Euler schemes for ordinary differential equations are studied. We give proofs on the consistency, the rate of convergence and the asymptotic normality of these procedures.

This paper investigates asymptotic properties of algorithms that can be viewed as robust analogues of the classical empirical risk minimization. These strategies are based on replacing the usual empirical average by a robust proxy of the…

Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of available data. If a risk measure is…

We propose a pairs trading model that incorporates a time-varying volatility of the Constant Elasticity of Variance type. Our approach is based on stochastic control techniques; given a fixed time horizon and a portfolio of two…

We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation of the spot volatility. We show that the bias-corrected…

We analyse a system of partial differential equations describing the behaviour of an elastic plate with periodic moduli in the two planar directions, in the asymptotic regime when the period and the plate thickness are of the same order of…

We construct a one-dimensional first-order theory for functionally graded elastic beams using the variational-asymptotic method. This approach ensures an asymptotically exact one-dimensional equations, allowing for the precise determination…

We establish an explicit pricing formula for the class of L\'evy-stable models with maximal negative asymmetry (Log-L\'evy model with finite moments and stability parameter $1<\alpha\leq 2$) in the form of rapidly converging series. The…

A Greek weight associated to a parameterized random variable $Z(\lambda)$ is a random variable $\pi$ such that $\nabla_{\lambda}E[\phi(Z(\lambda))]=E[\phi(Z(\lambda))\pi]$ for any function $\phi$. The importance of the set of Greek weights…

We study the consistency of sample mean-variance portfolios of arbitrarily high dimension that are based on Bayesian or shrinkage estimation of the input parameters as well as weighted sampling. In an asymptotic setting where the number of…

We present a differential machine learning method for zero-days-to-expiry (0DTE) options under a stochastic-volatility jump-diffusion model. To handle the ultra-short-maturity regime, we express the option price in Black-Scholes form with a…

We study stochastic volatility models in which the volatility process is a positive continuous function of a continuous Volterra stochastic process. We state some pathwise large deviation principles for the scaled log-price.

An approach to inference for relative sparsity was developed in prior work, and an adaptive lasso asymptotic normality theorem was given there, but this theorem was not fully used when estimating the variance of the policy coefficients.…

We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizing the variance (hedging risk) of the…

Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L. Borland (Quantitative Finance, {\bf 2}, 415-431, 2002) to include…