Related papers: Explicit no arbitrage domain for sub-SVIs via repa…
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…
In this paper, we propose a numerical method to approximate the solution of partial differential equations in irregular domains with no-flux boundary conditions by means of spectral methods. The main features of this method are its…
We present the framework of slowly varying regression under sparsity, allowing sparse regression models to exhibit slow and sparse variations. The problem of parameter estimation is formulated as a mixed-integer optimization problem. We…
We study here the large-time behaviour of all continuous affine stochastic volatility models (in the sense of Keller-Ressel) and deduce a closed-form formula for the large-maturity implied volatility smile. Based on refinements of the…
In mathematical finance, a process of calibrating stochastic volatility (SV) option pricing models to real market data involves a numerical calculation of integrals that depend on several model parameters. This optimization task consists of…
We discuss the pricing and hedging of volatility options in some rough volatility models. First, we develop efficient Monte Carlo methods and asymptotic approximations for computing option prices and hedge ratios in models where…
We study the shapes of the implied volatility when the underlying distribution has an atom at zero and analyse the impact of a mass at zero on at-the-money implied volatility and the overall level of the smile. We further show that the…
We develop a novel framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. Based on no-arbitrage arguments, we derive the nonlinear…
Image registration is an inherently ill-posed problem that lacks the constraints needed for a unique mapping between voxels of the two images being registered. As such, one must regularize the registration to achieve physically meaningful…
Hitherto, it is well known that complex PT-symmetric Scarf II has real discrete spectrum in the parametric domain of unbroken PT-symmetry. We reveal new interesting complex, non-PT-symmetric parametric domains of this versatile potential,…
We apply the Schroedinger Functional (SF) formalism to determine the renormalisation group running of four-fermion operators which appear in the effective weak Hamiltonian of the Standard Model. Our calculations are done using Wilson…
In the present paper we deepen the works of L. Abatangelo, V. Felli, L. Hillairet and C. Lena on the asymptotic estimates of the eigenvalue variation under removal of segments from the domain in R2. We get a sharp asymptotic estimate when…
For discrete spectrum of 1D second-order differential/difference operators (with or without potential (killing), with the maximal/minimal domain), a pair of unified dual criteria are presented in terms of two explicit measures and the…
The pure spinor superstring in a type II curved background is considered. In order to define reparametrization ghosts, non-minimal pure spinor variables have to be present in the formalism. The BRST transformations of the non-minimal…
This paper studies formulations of second-order elliptic partial differential equations in nondivergence form on convex domains as equivalent variational problems. The first formulation is that of Smears \& S\"uli [SIAM J.\ Numer.\ Anal.\…
We compute a sharp small-time estimate for implied volatility under a general uncorrelated local-stochastic volatility model. For this we use the Bellaiche \cite{Bel81} heat kernel expansion combined with Laplace's method to integrate over…
We correct two errors in our paper [4]. First error concerns the definition of the SVI solution, where a boundary term which arises due to the Dirichlet boundary condition, was not included. The second error concerns the discrete estimate…
Domain discretization is an essential part of the solution procedure in numerical simulations. Meshless methods simplify the domain discretization to positioning of nodes in the interior and on the boundary of the domain. However, generally…
Options are financial instruments that depend on the underlying stock. We explain their non-Gaussian fluctuations using the nonextensive thermodynamics parameter $q$. A generalized form of the Black-Scholes (B-S) partial differential…
By providing a simple and efficient way of computing low-variance gradients of continuous random variables, the reparameterization trick has become the technique of choice for training a variety of latent variable models. However, it is not…