Related papers: Analytic Calibration in Andreasen-Huge SABR Model
The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the well-known problems of the Heston model, and more generally of the affine models, we define a new specification for the…
Local volatility is a versatile option pricing model due to its state dependent diffusion coefficient. Calibration is, however, non-trivial as it involves both proposing a hypothesis model of the latent function and a method for fitting it…
We introduce a modular framework that extends the signature method to handle American option pricing under evolving volatility roughness. Building on the signature-pricing framework of Bayer et al. (2025), we add three practical…
This paper investigates the convergence properties of sample-average approximations (SAA) for set-valued systemic risk measures. We assume that the systemic risk measure is defined using a general aggregation function with some continuity…
We develop a non-parametric, semimartingale optimal transport, calibration methodology for local volatility models with stochastic interest rate. The method finds a fully calibrated model which is the closest, in a way that can be defined…
In this paper we provide a quantitative analysis to the concept of arbitrage, that allows to deal with model uncertainty without imposing the no-arbitrage condition. In markets that admit ``small arbitrage", we can still make sense of the…
In this paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to calibrate the model using a chosen number of Credit Default Swap (CDS) market quotes. We…
We consider a discrete-time approximation of paths of an Ornstein--Uhlenbeck process as a mean for estimation of a price of European call option in the model of financial market with stochastic volatility. The Euler--Maruyama approximation…
The local volatility model is a widely used for pricing and hedging financial derivatives. While its main appeal is its capability of reproducing any given surface of observed option prices---it provides a perfect fit---the essential…
In the large extra dimensional braneworld inflation, Friedmann equation is modified to include a quadratic term in energy density with an additional parameter $\lambda$ called brane tension in addition to the usual linear term. The high…
For the statistical multifragmentation model the critical indices $\alpha^\prime, \beta, \gamma^\prime, \delta$ are calculated as functions of the Fisher parameter $\tau$. It is found that these indices have different values than in…
We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the…
Association Rule Mining (ARM) is a fundamental task for knowledge discovery in tabular data and is widely used in high-stakes decision-making. Classical ARM methods rely on frequent itemset mining, leading to rule explosion and poor…
In the first part of this thesis, we focus on American options in the Heston model. We first give an analytical characterization of the value function of an American option as the unique solution of the associated (degenerate) parabolic…
We study the convergence properties of the short maturity expansion of option prices in the uncorrelated log-normal ($\beta=1$) SABR model. In this model the option time-value can be represented as an integral of the form $V(T) =…
Attosecond transient-absorption spectroscopy (ATAS) is an established method for exploring electron dynamics on the subfemtosecond time-scale. ATAS spectra contain certain ubiquitous features, such as oscillating fringes, light-induced…
Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization of randomly varying volatility. The recent book Fouque, Papanicolaou, Sircar…
The SABR model is shortly presented and the volatility swap explained. The fair value for a volatility swap is then computed using the usual theory in financial mathematics. An analytical solution using confluent hypergeometric functions is…
We consider infinite dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the super-replication cost.…
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.…