Related papers: Explosion in the quasi-Gaussian HJM model
Local Volatility (LV) is a powerful tool for market modeling, enabling the generation of arbitrage-free scenarios calibrated to all European options. To implement LV, we need to interpolate and extrapolate option prices. This approach is…
We investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear stochastic model which can be transformed into Bessel process…
In this paper similar to [P. Carr, A. Itkin, 2019] we construct another Markovian approximation of the rough Heston-like volatility model - the ADO-Heston model. The characteristic function (CF) of the model is derived under both…
We discuss the quench dynamics near a quantum critical point focusing on the sine-Gordon model as a primary example. We suggest a unified approach to sudden and slow quenches, where the tuning parameter $\lambda(t)$ changes in time as…
We derive the short-maturity asymptotics for option prices in the local volatility model in a new short-maturity limit $T\to 0$ at fixed $\rho = (r-q) T$, where $r$ is the interest rate and $q$ is the dividend yield. In cases of practical…
We present a number of related comparison results, which allow to compare moment explosion times, moment generating functions and critical moments between rough and non-rough Heston models of stochastic volatility. All results are based on…
We develop a stochastic description of small-field inflationary histories with a graceful exit in a random potential whose Hessian is a Gaussian random matrix as a model of the unstructured part of the string landscape. The dynamical…
This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The regimes are assumed to be the results of an observed pure…
This paper studies of a variation of the hyperbolic blow up scenario suggested by Hou and Luo's recent numerical simulation [12]. In particular, we propose a "hyperbolic" surface quasi-geostrophic equation characterized by a incompressible…
In Figueroa-L\'opez et al. (2013), a second order approximation for at-the-money (ATM) option prices is derived for a large class of exponential L\'evy models, with or without a Brownian component. The purpose of this article is twofold.…
This paper presents a probabilistic surrogate model for the accelerated design of electric vehicle battery enclosures with a focus on crash performance. The study integrates high-throughput finite element simulations and Gaussian Process…
The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel second-order approximation for ATM option prices under the CGMY L\'evy model is…
In 'A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options', Heston proposes a Stochastic Volatility (SV) model with constant interest rate and derives a semi-explicit valuation formula.…
We study the shock propagation in a spatially inhomogeneous gas following an intense explosion. We generalize the exact solution of the Euler equation for the spatio-temporal variation of density, velocity, and temperature to arbitrary…
In this paper we continue the research of our recent interest rate tree model called Zero Black-Derman-Toy (ZBDT) model, which includes the possibility of a jump at each step to a practically zero interest rate. This approach allows to…
We present a model for the radio outbursts of microquasars based on the assumption of quasi-continuous jet ejection. The jets are `lit up' by shock fronts traveling along the jets during outbursts. The observed comparatively flat decay…
We consider a class of assets whose risk-neutral pricing dynamics are described by an exponential L\'evy-type process subject to default. The class of processes we consider features locally-dependent drift, diffusion and default-intensity…
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consist of the pricing of nth-to-default…
We present a new algorithm, the efficient jet marching method (EJM), for computing the quasipotential and its gradient for two-dimensional SDEs. The quasipotential is a potential-like function for nongradient SDEs that gives asymptotic…
We study the impact of the convective terms on the global solvability or finite time blow up of solutions of dissipative PDEs. We consider the model examples of 1D Burger's type equations, convective Cahn-Hilliard equation, generalized…