Related papers: SABR smiles for RFR caplets
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 describe a high performance parallel implementation of a derivative pricing model, within which we introduce a new parallel method for the calibration of the industry standard SABR (stochastic-\alpha \beta \rho) stochastic volatility…
In this paper, we introduce Gabor shearlets, a variant of shearlet systems, which are based on a different group representation than previous shearlet constructions: they combine elements from Gabor and wavelet frames in their construction.…
In this paper, we propose a semi-analytical approach to pricing options on SOFR futures where the underlying SOFR follows a time-dependent CEV model. By definition, these options change their type at the beginning of the reference period:…
Face restoration is an inherently ill-posed problem, where additional prior constraints are typically considered crucial for mitigating such pathology. However, real-world image prior are often hard to simulate with precise mathematical…
This paper demonstrates the efficiency of using Edgeworth and Gram-Charlier expansions in the calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion (DD-SV-LMM). Our approach brings together two research…
The Hermite radial basis functions (HRBFs) implicits have been used to reconstruct surfaces from scattered Hermite data points. In this work, we propose a closed-form formulation to construct HRBF-based implicits by a quasi-solution…
In the present work, the European option pricing SWIFT method is extended for Heston model calibration. The computation of the option price gradient is simplified thanks to the knowledge of the characteristic function in closed form. The…
Explainable Face Recognition is gaining growing attention as the use of the technology is gaining ground in security-critical applications. Understanding why two faces images are matched or not matched by a given face recognition system is…
In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support, then it admits consistent price systems…
We propose a new static parameterization of the implied volatility surface which is constructed by using polynomials of sigmoid functions combined with some other terms. This parameterization is flexible enough to fit market implied…
We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and positive spreads can also be accommodated in this framework. The…
A new semi-analytical pricing model for Bermudan swaptions based on swap rates distributions and correlations between them. The model does not require product specific calibration.
Smiles play a vital role in the understanding of social interactions within different communities, and reveal the physical state of mind of people in both real and deceptive ways. Several methods have been proposed to recognize spontaneous…
How to learn a universal facial representation that boosts all face analysis tasks? This paper takes one step toward this goal. In this paper, we study the transfer performance of pre-trained models on face analysis tasks and introduce a…
The problem of determining the initial condition from noisy final observations in time-fractional parabolic equations is considered. This problem is well-known to be ill-posed and it is regularized by backward Sobolev-type equations. Error…
Throughout the various ages, facial expressions have become one of the universal ways of non-verbal communication. The ability to recognize facial expressions would pave the path for many novel applications. Despite the success of…
The variance gamma model is a widely popular model for option pricing in both academia and industry. In this paper, we provide a new perspective for pricing European style options for the variance gamma model by deriving closed-form…
A major drawback of the Standard Heston model is that its implied volatility surface does not produce a steep enough smile when looking at short maturities. For that reason, we introduce the Stationary Heston model where we replace the…
Face frontalization consists of synthesizing a frontally-viewed face from an arbitrarily-viewed one. The main contribution of this paper is a frontalization methodology that preserves non-rigid facial deformations in order to boost the…