Related papers: Dirichlet Forms and Finite Element Methods for the…
This paper discusses a so-called ultra-weak three-field formulation of the biharmonic problem where the solution, its gradient, and an additional Lagrange multiplier are the three unknowns. We establish the well-posedness of the problem…
We propose a generic calibration framework to both vanilla and no-touch options for a large class of continuous semi-martingale models. The method builds upon the forward partial integro-differential equation (PIDE) derived in Hambly et al.…
We present a high-level framework that explains why, in practice, different pricing models calibrated to the same vanilla surface tend to produce similar valuations for exotic derivatives. Our approach acts as an overlay on the Monte Carlo…
This study aims to construct a stable, high-order compact finite difference method for solving Sobolev-type equations with Dirichlet boundary conditions in one-space dimension. Approximation of higher-order mixed derivatives in some…
Consistently fitting vanilla option surfaces is an important issue when it comes to modelling in finance. Local volatility models introduced by Dupire in 1994 are widely used to price and manage the risks of structured products. However,…
This paper presents a mathematical analysis of a doubly degenerate parabolic equation and its application to the Richards equation using a bounded auxiliary variable. We establish the existence of weak solutions using semi-implicit time…
We consider discrete analogue of model pseudo-differential equations in discrete plane sector using discrete variant of Sobolev--Slobodetskii spaces. Starting from the concept of wave factorization for elliptic periodic symbol we describe…
In this paper the Mikhailov model is discretized by means of the Cauchy matrix approach. A pair of discrete Miura transformations are constructed. The discrete Mikhailov model is a coupled system, in which one equation comes from the…
This paper derives a new semi closed-form approximation formula for pricing an up-and-out barrier option under a certain type of stochastic volatility model including SABR model by applying a rigorous asymptotic expansion method developed…
We prove Feynman-Kac formulas for solutions to elliptic and parabolic boundary value and obstacle problems associated with a general Markov diffusion process. Our diffusion model covers several popular stochastic volatility models, such as…
The pricing of derivatives tied to baskets of assets demands a sophisticated framework that aligns with the available market information to capture the intricate non-linear dependency structure among the assets. We describe the dynamics of…
We investigate discretization strategies for a recently introduced class of energy-based models. The model class encompasses classical port-Hamiltonian systems, generalized gradient flows, and certain systems with algebraic constraints. Our…
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discontinuous- semimartingale. A uniqueness…
In this paper, we study a time-fractional initial-boundary value problem of Kirchhoff type involving memory term for non-homogeneous materials. The energy argument is applied to derive the a priori bounds on the solution of the considered…
We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and call options. Our construction makes use of the martingale…
In this paper we study the approximation of the distribution of $X_t$ Hilbert--valued stochastic process solution of a linear parabolic stochastic partial differential equation written in an abstract form as $$ dX_t+AX_t dt = Q^{1/2} d W_t,…
In the current literature, the analytical tractability of discrete time option pricing models is guaranteed only for rather specific types of models and pricing kernels. We propose a very general and fully analytical option pricing…
We study an efficient strategy based on finite elements to value spread options on commodities whose underlying assets follow a dynamic described by a certain class of two-dimensional Levy models by solving their associated partial…
In this paper, we propose and analyze a finite element discretization for the computation of fractional minimal graphs of order~$s \in (0,1/2)$ on a bounded domain $\Omega$. Such a Plateau problem of order $s$ can be reinterpreted as a…
We study a class of second-order degenerate linear parabolic equations in divergence form in $(-\infty, T) \times \mathbb R^d_+$ with homogeneous Dirichlet boundary condition on $(-\infty, T) \times \partial \mathbb R^d_+$, where $\mathbb…