Related papers: Edgeworth expansions for volatility models

We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Levy-type martingale subject to default. This class of models allows for local volatility, local default intensity, and a locally dependent…

A cluster expansion is proposed, that applies to both continuous and discrete systems. The assumption for its convergence involves an extension of the neat Kotecky-Preiss criterion. Expressions and estimates for correlation functions are…

We consider dynamical systems for which the spatial extension plays an important role. For these systems, the notions of attractor, epsilon-entropy and topological entropy per unit time and volume have been introduced previously. In this…

This note starts from work done by Dai, Geary, and Kadanoff (Hui Dai, Zachary Geary, and Leo P. Kadanoff, H. Dai, Z. Geary and L. P. Kadanoff, Journal of Statistical Mechanics, P05012 (2009)) on exact eigenfunctions for Toeplitz operators.…

This paper studies the long-time evolution of two point vortices under the 2D Navier-Stokes tokes equations. Starting from initial data given by a pair of Dirac measures, we derive an asymptotic expansion for the vorticity over time scales…

We statistically analyse a multivariate HJM diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility of the second factor is the product of an unknown process…

This is a survey on rigidity and geometrization results obtained with the help of the discrete Hilbert-Einstein functional, written for the proceedings of the "Discrete Curvature" colloquium in Luminy.

In this article we look at stochastic processes with uncertain parameters, and consider different ways in which information is obtained when carrying out observations. For example we focus on the case of a the random evolution of a traded…

The order flow in high-frequency financial markets has been of particular research interest in recent years, as it provides insights into trading and order execution strategies and leads to better understanding of the supply-demand…

We analyze the errors arising from discrete readjustment of the hedging portfolio when hedging options in exponential Levy models, and establish the rate at which the expected squared error goes to zero when the readjustment frequency…

Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…

Cumulant expansion is used to derive accurate closed-form approximation for Monthly Sum Options in case of constant volatility model. Payoff of Monthly Sum Option is based on sum of $N$ caped (and probably floored) returns. It is noticed,…

We treat a stochastic integration theory for a class of Hilbert-valued, volatility-modulated, conditionally Gaussian Volterra processes. We apply techniques from Malliavin calculus to define this stochastic integration as a sum of a…

We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential L\'evy models. This…

We propose a new class of financial volatility models, called the REcurrent Conditional Heteroskedastic (RECH) models, to improve both in-sample analysis and out-ofsample forecasting of the traditional conditional heteroskedastic models. In…

We develop cointegration for multivariate continuous-time stochastic processes, both in finite and infinite dimension. Our definition and analysis are based on factor processes and operators mapping to the space of prices and cointegration.…

We consider call option prices in diffusion models close to expiry, in an asymptotic regime ("moderately out of the money") that interpolates between the well-studied cases of at-the-money options and out-of-the-money fixed-strike options.…

This paper explores the application and significance of the second-order Esscher pricing model in option pricing and risk management. We split the study into two main parts. First, we focus on the constant jump diffusion (CJD) case,…

We propose a general framework for the simultaneous modeling of equity, government bonds, corporate bonds and derivatives. Uncertainty is generated by a general affine Markov process. The setting allows for stochastic volatility, jumps, the…

We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied volatility which is already known, we compute the first…