Related papers: Pricing multivariate european equity option using …
We study numerical integration over bounded regions in $\mathbb{R}^s, s\ge1$ with respect to some probability measure. We replace random sampling with quasi-Monte Carlo methods, where the underlying point set is derived from deterministic…
This paper presents a new model called infinite mixtures of multivariate Gaussian processes, which can be used to learn vector-valued functions and applied to multitask learning. As an extension of the single multivariate Gaussian process,…
We consider the problem of evaluating risk for a system that is modeled by a complex stochastic simulation with many possible input parameter values. Two sources of computational burden can be identified: the effort associated with…
Missing values with mixed data types is a common problem in a large number of machine learning applications such as processing of surveys and in different medical applications. Recently, Gaussian copula models have been suggested as a means…
We consider the pricing of VIX options in the rough Bergomi model. In this setting, the VIX random variable is defined by the one-dimensional integral of the exponential of a Gaussian process with correlated increments, hence approximate…
Gaussian copulas are widely used in the industry to correlate two random variables when there is no prior knowledge about the co-dependence between them. The perturbed Gaussian copula approach allows introducing the skew information of both…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
In this paper we propose and analyse a method for estimating three quantities related to an Asian option: the fair price, the cumulative distribution function, and the probability density. The method involves preintegration with respect to…
Improved bounds on the copula of a bivariate random vector are computed when partial information is available, such as the values of the copula on a given subset of $[0,1]^2$, or the value of a functional of the copula, monotone with…
We define in a probabilistic way a parametric family of multivariate extreme value distributions. We derive its copula, which is a mixture of several complete dependent copulas and total independent copulas, and the bivariate tail…
In this work we present a rigorous application of the Expectation Maximization algorithm to determine the marginal distributions and the dependence structure in a Gaussian copula model with missing data. We further show how to circumvent a…
The aim of this paper is to investigate the use of close formula approximation for pricing European mortgage options. Under the assumption of logistic duration and normal mortgage rates the underlying price at the option expiry is…
We reconsider the problem of option pricing using historical probability distributions. We first discuss how the risk-minimisation scheme proposed recently is an adequate starting point under the realistic assumption that price increments…
Many processes in chemistry and physics take place on timescales that cannot be explored using standard molecular dynamics simulations. This renders the use of enhanced sampling mandatory. Here we introduce an enhanced sampling method that…
The accurate valuation of financial derivatives plays a pivotal role in the finance industry. Although closed formulas for pricing are available for certain models and option types, exemplified by the European Call and Put options in the…
The sub-Gaussian stable distribution is a heavy-tailed elliptically contoured law which has interesting applications in signal processing and financial mathematics. This work addresses the problem of feasible estimation of distributions. We…
Graphical Gaussian models have proven to be useful tools for exploring network structures based on multivariate data. Applications to studies of gene expression have generated substantial interest in these models, and resulting recent…
Spatial modelling of extreme values allows studying the risk of joint occurrence of extreme events at different locations and is of significant interest in climatic and other environmental sciences. A popular class of dependence models for…
The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Transform to calculate correlation matrices…
Some expansion methods have been proposed for approximately pricing options which has no exact closed formula. Benhamou et al. (2010) presents the smart expansion method that directly expands the expectation value of payoff function with…