Related papers: Analytic Calibration in Andreasen-Huge SABR Model
The Heston stochastic volatility model is a standard model for valuing financial derivatives, since it can be calibrated using semi-analytical formulas and captures the most basic structure of the market for financial derivatives with…
The mixed fractional Brownian motion ($mfBm$) has become quite popular in finance, since it allows one to model long-range dependence and self-similarity while remaining, for certain values of the Hurst parameter, arbitrage-free. In the…
It has been recently shown that spot volatilities can be very well modeled by rough stochastic volatility type dynamics. In such models, the log-volatility follows a fractional Brownian motion with Hurst parameter smaller than 1/2. This…
Adversarial Risk Analysis (ARA) is an upcoming methodology that is considered to have advantages over the traditional decision theoretic and game theoretic approaches. ARA solutions for first-price sealed-bid (FPSB) auctions have been found…
The pricing and hedging of a general class of options (including American, Bermudan and European options) on multiple assets are studied in the context of currency markets where trading is subject to proportional transaction costs, and…
Agent-Based Models (ABM) are computational scenario-generators, which can be used to predict the possible future outcomes of the complex system they represent. To better understand the robustness of these predictions, it is necessary to…
In this paper, I discuss a method to tackle the issues arising from the small data-sets available to data-scientists when building price predictive algorithms that use monthly/quarterly macro-financial indicators. I approach this by…
In this article, we show how the scaling symmetry of the SABR model can be utilized to efficiently price European options. For special kinds of payoffs, the complexity of the problem is reduced by one dimension. For more generic payoffs,…
Rough volatility models have gained considerable interest in the quantitative finance community in recent years. In this paradigm, the volatility of the asset price is driven by a fractional Brownian motion with a small value for the Hurst…
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for…
Recent studies suggest that asymmetric binary perceptron (ABP) likely exhibits the so-called statistical-computational gap characterized with the appearance of two phase transitioning constraint density thresholds: \textbf{\emph{(i)}} the…
In this paper we study recent developments in the approximation of the spread option pricing. As the Kirk\'s Approximation is extremely flawed in the cases when the correlation is very high, we explore a recent development that allows…
We compute spectra of sample auto-covariance matrices of second order stationary stochastic processes. We look at a limit in which both the matrix dimension $N$ and the sample size $M$ used to define empirical averages diverge, with their…
We refit the NRL tight binding parameterization for Aluminium by Mehl \emph{et al} [Phys. Rev. B, 61, 4894 (2000)], to a database generated via full potential Linearized Augmented Plane Wave (LAPW) Density Functional Theory (DFT)…
Mathematical models of a cellular action potential in cardiac modelling have become increasingly complex, particularly in gating kinetics which control the opening and closing of individual ion channel currents. As cardiac models advance…
Different metrics have been proposed to compare Abstract Meaning Representation (AMR) graphs. The canonical Smatch metric (Cai and Knight, 2013) aligns the variables of two graphs and assesses triple matches. The recent SemBleu metric (Song…
The growth of the exhange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts {(LETFs)}. We study the relationship between the ETF and LETF implied volatility surfaces when…
We report on fits of a large class of analytic amplitude models for forward scattering against the comprehensive data for all available reactions. To differentiate the goodness of the fits of many possible parametrizations to a large sample…
In recent years, there has been a substantive interest in rough volatility models. In this class of models, the local behavior of stochastic volatility is much more irregular than semimartingales and resembles that of a fractional Brownian…
The paper builds a Variance-Gamma (VG) model with five parameters: location ($\mu$), symmetry ($\delta$), volatility ($\sigma$), shape ($\alpha$), and scale ($\theta$); and studies its application to the pricing of European options. The…