Related papers: A rough SABR formula
In this work we study the smoothing effect of rough differential equations driven by a fractional Brownian motion with parameter $H>1/4$. The regularization estimates we obtain generalize to the fractional Brownian motion previous results…
We develop an explicit algebriac de Rham theory for relative completion of $\mathrm{SL}_2(\mathbb{Z})$. This allows the construction of iterated integrals involving modular forms of the second kind, generalizing iterated integrals of…
Many solid mechanics problems on complex geometries are conventionally solved using discrete boundary methods. However, such an approach can be cumbersome for problems involving evolving domain boundaries due to the need to track boundaries…
Several asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small-maturity regime), providing a better understanding of the shapes of the volatility surface…
We apply results of Malliavin-Thalmaier-Watanabe for strong and weak Taylor expansions of solutions of perturbed stochastic differential equations (SDEs). In particular, we work out weight expressions for the Taylor coefficients of the…
Linear approximation approaches suffer from Gibbs oscillations when approximating functions with singularities. ENO-SR resolution is a local approach avoiding oscillations and with a full order of accuracy, but a loss of regularity of the…
Let $\sigma_t(x)$ denote the implied volatility at maturity $t$ for a strike $K=S_0 e^{xt}$, where $x\in\bbR$ and $S_0$ is the current value of the underlying. We show that $\sigma_t(x)$ has a uniform (in $x$) limit as maturity $t$ tends to…
We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX…
We derive an extremal fractional Gaussian by employing the L\'evy-Khintchine theorem and L\'evian noise. With the fractional Gaussian we then generalize the Black-Scholes-Merton option-pricing formula. We obtain an easily applicable and…
For shear flows in a 2D channel, we define resonances near regular values of the shear profile for the Rayleigh equation under an analyticity assumption. This is done via complex deformation of the interval on which Rayleigh equation is…
This paper is devoted to the study of the large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions. This work is the sequel of [13] in which a probabilistic method was developped to show that the…
Turbulent flow remains a challenging subject, despite extensive efforts to find analytical descriptions. Modeling small scales of motion is crucial for saving time and resources in numerical simulations, particularly in industrial…
SABR models have been used to incorporate stochastic volatility to LIBOR market models (LMM) in order to describe interest rate dynamics and price interest rate derivatives. From the numerical point of view, the pricing of derivatives with…
A new theory for pricing options of a stock is presented. It is based on the assumption that while successive variations in return are uncorrelated, the frequency with which a stock is traded depends on the value of the return. The solution…
Simulation of rough volatility models involves discretization of stochastic integrals where the integrand is a function of a (correlated) fractional Brownian motion of Hurst index $H \in (0,1/2)$. We obtain results on the rate of…
The no Butterfly arbitrage domain of Gatheral SVI 5-parameters formula for the volatility smile has been recently described. It requires in general a numerical minimization of 2 functions altogether with a few root finding procedures. We…
We develop spectral methods for ODEs and operator eigenvalue problems that are based on a least-squares formulation of the problem. The key tool is a method for rectangular generalized eigenvalue problems, which we extend to quasimatrices…
We study sum of squares (SOS) relaxations to optimize polynomial functions over a set $V\cap R^n$, where $V$ is a complex algebraic variety. We propose a new methodology that, rather than relying on some algebraic description, represents…
In this work we investigate a 1D evolution equation involving a divergence form operator where the diffusion coefficient inside the divergence is changing sign, as in models for metamaterials.We focus on the construction of a fundamental…
We propose a deterministic numerical method for pricing vanilla options under the SABR stochastic volatility model, based on a finite element discretization of the Kolmogorov pricing equations via non-symmetric Dirichlet forms. Our pricing…