Related papers: No arbitrage global parametrization for the eSSVI …
In this paper, we introduce a numeraire-free and original probability based framework for financial markets. We reformulate or characterize fair markets, the optional decomposition theorem, superhedging, attainable claims and complete…
This paper presents a new parameter free partially penalized immersed finite element method and convergence analysis for solving second order elliptic interface problems. A lifting operator is introduced on interface edges to ensure the…
This study presents a simulation study to compare different non-parametric global envelopes that are refinements of the rank envelope proposed by Myllym\"aki et al. (2017, Global envelope tests for spatial processes, J. R. Statist. Soc. B…
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the…
This paper introduces a new extragradient-type algorithm for a class of nonconvex-nonconcave minimax problems. It is well-known that finding a local solution for general minimax problems is computationally intractable. This observation has…
Fusion of heterogeneous extroceptive sensors is the most effient and effective way to representing the environment precisely, as it overcomes various defects of each homogeneous sensor. The rigid transformation (aka. extrinsic parameters)…
We consider a nondominated model of a discrete-time financial market where stocks are traded dynamically, and options are available for static hedging. In a general measure-theoretic setting, we show that absence of arbitrage in a…
Surface parameterization is a fundamental geometry processing task, laying the foundations for the visual presentation of 3D assets and numerous downstream shape analysis scenarios. Conventional parameterization approaches demand…
We establish four structural results for signature volatility models. First, we prove global existence and uniqueness of strong solutions to the signature SDE $dS_t = S_t \langle \ell, \widehat{W}_t \rangle \, dB_t$ on the weighted tensor…
It is often observed that stochastic gradient descent (SGD) and its variants implicitly select a solution with good generalization performance; such implicit bias is often characterized in terms of the sharpness of the minima. Kleinberg et…
We consider non-concave and non-smooth random utility functions with do- main of definition equal to the non-negative half-line. We use a dynamic pro- gramming framework together with measurable selection arguments to establish both the…
A translational surface is a tensor product surface constructed from two space curves by translating one along the other. These surfaces are common within geometric modeling and, since their description is parametric, it is desirable to…
We consider the joint SPX-VIX calibration within a general class of Gaussian polynomial volatility models in which the volatility of the SPX is assumed to be a polynomial function of a Gaussian Volterra process defined as a stochastic…
In this paper, we consider three stochastic-volatility models, each characterized by distinct dynamics of instantaneous volatility: (1) a CIR process for squared volatility (i.e., the classical Heston model); (2) a mean-reverting lognormal…
We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which is based on a system of integral equations that relates terminal density and option prices. Using a discretization of…
This paper introduces a set of numerical methods for Riemannian shape analysis of 3D surfaces within the setting of invariant (elastic) second-order Sobolev metrics. More specifically, we address the computation of geodesics and geodesic…
In this paper, we examine the convergence of mirror descent in a class of stochastic optimization problems that are not necessarily convex (or even quasi-convex), and which we call variationally coherent. Since the standard technique of…
In the framework of stochastic portfolio theory we introduce rank volatility stabilized models for large equity markets over long time horizons. These models are rank-based extensions of the volatility stabilized models introduced by…
By extending to the stochastic setting the classical vanishing viscosity approach we prove the existence of suitably weak solutions of a class of nonlinear stochastic evolution equation of rate-independent type. Approximate solutions are…
Option price data are used as inputs for model calibration, risk-neutral density estimation and many other financial applications. The presence of arbitrage in option price data can lead to poor performance or even failure of these tasks,…