Related papers: Analytic Calibration in Andreasen-Huge SABR Model
Calibration and prediction for NIR spectroscopy data are performed based on a functional interpretation of the Beer-Lambert formula. Considering that, for each chemical sample, the resulting spectrum is a continuous curve obtained as the…
Operator angle-action variables are studied in the frame of the SU(2) algebra, and their eigenstates and coherent states are discussed. The quantum mechanical addition of action-angle variables is shown to lead to a novel non commutative…
Stock exchanges are considered major players in financial sectors of many countries. Most Stockbrokers, who execute stock trade, use technical, fundamental or time series analysis in trying to predict stock prices, so as to advise clients.…
Agent-based models, particularly those applied to financial markets, demonstrate the ability to produce realistic, simulated system dynamics, comparable to those observed in empirical investigations. Despite this, they remain fairly…
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatility ideally associated with a scenario based underlying firm debt. We show how to…
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…
We consider the problem of option pricing under stochastic volatility models, focusing on the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein. Indeed, we show they admit the same limit…
We derive the short-maturity asymptotics for European and VIX option prices in local-stochastic volatility models where the volatility follows a continuous-path Markov process. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics…
For option pricing models and heavy-tailed distributions, this study proposes a continuous-time stochastic volatility model based on an arithmetic Brownian motion: a one-parameter extension of the normal stochastic alpha-beta-rho (SABR)…
The reproduction of realistic dynamics in financial markets is of great significance, as it enhances our understanding of market evolution beyond other physical processes, and facilitates the development and backtesting of investment…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a unifying conceptual framework for statistical arbitrage and a novel data driven solution. First, we construct arbitrage portfolios of similar…
This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation for forward trades, which explains the…
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a…
A recently introduced recurrence-relation ansatz applied to the Bose-Hubbard model is here used in the generalized Aubry-Andre model. The resulting modified Aubry-Andre model allows for a simple parametrization of the solutions in terms of…
We introduce an informative probabilistic association matrix to measure a proportional local-to-global association of categories of one variable with another categorical variable. Towards a probability based proportional prediction, the…
We present a model for direct semi-parametric estimation of the State Price Density (SPD) implied in quoted option prices. We treat the observed prices as expected values of possible pay-offs at maturity, weighted by the unknown probability…
Weighted finite automata (WFA) are often used to represent probabilistic models, such as $n$-gram language models, since they are efficient for recognition tasks in time and space. The probabilistic source to be represented as a WFA,…
We employ a recently proposed change-point detection algorithm, the Narrowest-Over-Threshold (NOT) method, to select subperiods of past observations that are similar to the currently recorded values. Then, contrarily to the traditional time…
We propose an artificial market model based on deterministic agents. The agents modify their ask/bid price depending on past price changes. The temporal development of market price fluctuations is calculated numerically. A probability…
The accelerated failure time (AFT) model is widely used to analyze relationships between variables in the presence of censored observations. However, this model relies on some assumptions such as the error distribution, which can lead to…