Related papers: Analytic Calibration in Andreasen-Huge SABR Model
In this work we calibrate two different analytic models of semilocal strings by constraining the values of their free parameters. In order to do so, we use data obtained from the largest and most accurate field theory simulations of…
We propose a novel and generic calibration technique for four-factor foreign-exchange hybrid local-stochastic volatility models with stochastic short rates. We build upon the particle method introduced by Guyon and Labord\`ere [Nonlinear…
This paper concerns a local volatility model in which volatility takes two possible values, and the specific value depends on whether the underlying price is above or below a given threshold value. The model is known, and a number of…
Implied volatility IV is a key metric in financial markets, reflecting market expectations of future price fluctuations. Research has explored IV's relationship with moneyness, focusing on its connection to the implied Hurst exponent H. Our…
The solution-space structure of the 3-Satisfiability Problem (3-SAT) is studied as a function of the control parameter alpha (ratio of number of clauses to the number of variables) using numerical simulations. For this purpose, one has to…
We propose to take advantage of the common knowledge of the characteristic function of the swap rate process as modelled in the LIBOR Market Model with Stochastic Volatility and Displaced Diffusion (DDSVLMM) to derive analytical expressions…
A new approximate Bayesian inferential framework is proposed that exploits multiple information sources -- daily spot returns, high-frequency spot data and option prices -- and enables fast calculation of probabilistic predictions of future…
Tabular foundation models achieve strong accuracy on choice prediction tasks, but their predictions often violate the economic logic those tasks require: raising a price sometimes increases predicted demand, and implied willingness-to-pay…
For the calibration of the parameters in static and dynamic SABR stochastic volatility models, we propose the application of the GPU technology to the Simulated Annealing global optimization algorithm and to the Monte Carlo simulation. This…
Our work utilized a non-sequential simulation-based inference algorithm to provide an amortized neural density estimator, which approximates the posterior distribution for seven parameters of the adaptive exponential integrate-and-fire…
We price European options in a class of models in which the volatility of the underlying risky asset depends on the short rate of interest. Our study results in an explicit pricing formula that depends on knowledge of a characteristic…
In the work, we derive exact analytic expressions for $(3+N)$-flavor neutrino oscillation probabilities in an arbitrary matter potential in term of matrix elements and eigenvalues of the Hamiltonian. With the analytic expressions, we…
We extend the approach of Carr, Itkin and Muravey, 2021 for getting semi-analytical prices of barrier options for the time-dependent Heston model with time-dependent barriers by applying it to the so-called $\lambda$-SABR stochastic…
In some options markets (e.g. commodities), options are listed with only a single maturity for each underlying. In others, (e.g. equities, currencies), options are listed with multiple maturities. In this paper, we provide an algorithm for…
This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how characteristic functions can be used to estimate option prices. Then we consider the implementation of the Heston model,…
The paper studies derivative asset analysis in structural credit risk models where the asset value of the firm is not fully observable. It is shown that in order to compute the price dynamics of traded securities one needs to solve a…
We extend the short rate model of Turfus and Romero-Berm\'udez [2021] to facilitate accurate arbitrage-free analytic pricing of SOFR, SONIA or ESTR caplets, i.e. options on backward-looking compounded rates payments, in a manner consistent…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a framework to jointly identify similar assets through factors, identify mispricing and form a trading policy that maximizes risk-adjusted…
We treat the local exchange parameter, alpha, of the Slater's Xalpha method as a fitting parameter and determine its value by constraining some physical quantity obtained from the self-consistent solution of the Xalpha method to be equal to…
This paper explores Artificial Neural Network (ANN) as a model-free solution for a calibration algorithm of option pricing models. We construct ANNs to calibrate parameters for two well-known GARCH-type option pricing models: Duan's GARCH…