Related papers: Explicit no arbitrage domain for sub-SVIs via repa…
The reductivity of a spherical curve is the minimal number of a local transformation called an inverse-half-twisted splice required to obtain a reducible spherical curve from the spherical curve. It is unknown if there exists a spherical…
Stochastic Natural Gradient Variational Inference (NGVI) is a widely used method for approximating posterior distribution in probabilistic models. Despite its empirical success and foundational role in variational inference, its theoretical…
In this thesis we study two-dimensional supersymmetric non-linear sigma-models with boundaries. We derive the most general family of boundary conditions in the non-supersymmetric case. Next we show that no further conditions arise when…
We investigate the data-driven discovery of parametric representations for implied volatility slices. Using symbolic regression, we search for simple analytic formulas that approximate the total implied variance as a function of…
Stochastic volatility (SV) and local stochastic volatility (LSV) processes can be used to model the evolution of various financial variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted to pricing…
Semi-implicit variational inference (SIVI) is introduced to expand the commonly used analytic variational distribution family, by mixing the variational parameter with a flexible distribution. This mixing distribution can assume any density…
Following-up Fukasawa and Gatheral (Frontiers of Mathematical Finance, 2022), we prove that the BBF formula, the SABR formula, and the rough SABR formula provide asymptotically arbitrage-free approximations of the implied volatility under,…
This paper proposes a semiparametric stochastic volatility (SV) model that relaxes the restrictive Gaussian assumption in both the return and volatility error terms, allowing them to follow flexible, nonparametric distributions with…
We show explicitly by the heuristic and practical arguments that for $N = 2$ supersymmetry (SUSY) a SUSY invariant relation between component fields of a vector supermultiplet of linear SUSY and Nambu-Goldstone fermions of the Volkov-Akulov…
We review recent progress in formulating two-dimensional models over noncommutative manifolds where the space-time coordinates enter in the formalism as non-commuting matrices. We describe the Fuzzy sphere and a way to approximate…
Instrumental variables (IVs) provide a powerful strategy for identifying causal effects in the presence of unobservable confounders. Within the nonparametric setting (NPIV), recent methods have been based on nonlinear generalizations of…
A convex two-stage non-cooperative multi-agent game under uncertainty is formulated as a two-stage stochastic variational inequality (SVI). Under standard assumptions, we provide sufficient conditions for the existence of solutions of the…
Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This paper develops a nonparametric model for the European options book respecting…
In this paper, we study the statistical properties of the moneyness scaling transformation by Leung and Sircar (2015). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the…
The paper proposes an expanded version of the Local Variance Gamma model of Carr and Nadtochiy by adding drift to the governing underlying process. Still in this new model it is possible to derive an ordinary differential equation for the…
We consider an asset whose risk-neutral dynamics are described by a general class of local-stochastic volatility models and derive a family of asymptotic expansions for European-style option prices and implied volatilities. Our implied…
We propose a numerical method to approximate viscosity solutions of fully nonlinear free transmission problems. The method discretises a two-layer regularisation of a PDE, involving a functional and a vanishing parameter. The former is…
Generalized Chebyshev iteration (GCI) applied for solving linear equations with nonselfadjoint operators is considered. Sufficient conditions providing the convergence of iterations imposed on the domain of localization of the spectrum on…
A multi-domain spectral method for computing very high precision 3-D stellar models is presented. The boundary of each domain is chosen in order to coincide with a physical discontinuity (e.g. the star's surface). In addition, a…
We consider the classical problem of building an arbitrage-free implied volatility surface from bid-ask quotes. We design a fast numerical procedure, for which we prove the convergence, based on the Sinkhorn algorithm that has been recently…