Related papers: No arbitrage global parametrization for the eSSVI …
This paper presents a novel algorithm integrating global and robust optimization methods to solve continuous non-convex quadratic problems under convex uncertainty sets. The proposed Robust spatial branch-and-bound (RsBB) algorithm combines…
We apply convex regularization techniques to the problem of calibrating the local volatility surface model of Dupire taking into account the practical requirement of discrete grids and noisy data. Such requirements are the consequence of…
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…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…
Existing approaches for classifying dynamic graphs either lift graph kernels to the temporal domain, or use graph neural networks (GNNs). However, current baselines have scalability issues, cannot handle a changing node set, or do not take…
For the calibration of the parameters in static and dynamic SABR stochastic volatility models, we propose the application of the GPU technology to the Simulated Annealing global optimization algorithm and to the Monte Carlo simulation. This…
Existing deep learning-based calibration scheme for rough volatility models predominantly rely on supervised learning frameworks, which incur significant computational costs due to the necessity of generating massive synthetic training…
This paper addresses the study of derivative-free smooth optimization problems, where the gradient information on the objective function is unavailable. Two novel general derivative-free methods are proposed and developed for minimizing…
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,…
Consider a financial market with nonnegative semimartingales which does not need to have a num\'{e}raire. We are interested in the absence of arbitrage in the sense that no self-financing portfolio gives rise to arbitrage opportunities,…
We give a new formulation of the relative arbitrage problem from stochastic portfolio theory that asks for a time horizon beyond which arbitrage relative to the market exists in all ``sufficiently volatile'' markets. In our formulation,…
This paper is devoted to the application of B-splines to volatility modeling, specifically the calibration of the leverage function in stochastic local volatility models and the parameterization of an arbitrage-free implied volatility…
Surface-based data is commonly observed in diverse practical applications spanning various fields. In this paper, we introduce a novel nonparametric method to discover the underlying signals from data distributed on complex surface-based…
Recent work established that rank overparameterization eliminates spurious local minima in nonconvex low-rank matrix recovery under the restricted isometry property (RIP). But this does not fully explain the practical success of…
Convergence guarantees for optimization over bounded-rank matrices are delicate to obtain because the feasible set is a non-smooth and non-convex algebraic variety. Existing techniques include projected gradient descent, fixed-rank…
State estimation of nonlinear dynamical systems has long aimed to balance accuracy, computational efficiency, robustness, and reliability. The rapid evolution of various industries has amplified the demand for estimation frameworks that…
We introduce a modular framework that extends the signature method to handle American option pricing under evolving volatility roughness. Building on the signature-pricing framework of Bayer et al. (2025), we add three practical…
We propose a generic calibration framework to both vanilla and no-touch options for a large class of continuous semi-martingale models. The method builds upon the forward partial integro-differential equation (PIDE) derived in Hambly et al.…
This paper introduces an innovative method for ensuring global stability in a broad array of nonlinear systems. The novel approach enhances the traditional analysis based on Jacobian matrices by incorporating the Taylor series boundary…
Stability and convergence of full discretizations of various surface evolution equations are studied in this paper. The proposed discretization combines a higher-order evolving-surface finite element method (ESFEM) for space discretization…