Related papers: Smiles in delta
In this paper we consider the stability and convergence of numerical discretizations of the Black-Scholes partial differential equation (PDE) when complemented with the popular linear boundary condition. This condition states that the…
We observe that a European Call option with strike $L > K$ can be seen as a Call option with strike $L-K$ on a Call option with strike $K$. Under no arbitrage assumptions, this yields immediately that the prices of the two contracts are the…
We consider nonnegative solutions to $-\Delta u=f(u)$ in half-planes and strips, under zero Dirichlet boundary condition. Exploiting a rotating$\&$sliding line technique, we prove symmetry and monotonicity properties of the solutions, under…
We consider the problem of option pricing and hedging when stock returns are correlated in time. Within a quadratic-risk minimisation scheme, we obtain a general formula, valid for weakly correlated non-Gaussian processes. We show that for…
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…
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise to arbitrage opportunities. We study…
I previously used Burgers' equation to introduce a new method of numerical discretisation of \pde{}s. The analysis is based upon centre manifold theory so we are assured that the discretisation accurately models all the processes and their…
Let $\Omega$ be an unbounded two dimensional strip on a ruled surface in $\mathbb{R}^d$, $d\geq2$. Consider the Laplacian operator in $\Omega$ with Dirichlet and Neumann boundary conditions on opposite sides of $\Omega$. We prove some…
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…
In [Precise Asymptotics for Robust Stochastic Volatility Models; Ann. Appl. Probab. 2021] we introduce a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and…
We consider a discrete-time, generically incomplete market model and a behavioural investor with power-like utility and distortion functions. The existence of optimal strategies in this setting has been shown in a previous paper under…
In this work, we consider the hedging error due to discrete trading in models with jumps. Extending an approach developed by Fukasawa [In Stochastic Analysis with Financial Applications (2011) 331-346 Birkh\"{a}user/Springer Basel AG] for…
We study the Schr\"odinger operator $-\Delta -\alpha \delta (x-\Gamma)$ in $L^2(\R^3)$ with a $\delta$ interaction supported by an infinite non-planar surface $\Gamma$ which is smooth, admits a global normal parameterization with a…
It is well know that, in the short maturity limit, the implied volatility approaches the integral harmonic mean of the local volatility with respect to log-strike, see [Berestycki et al., Asymptotics and calibration of local volatility…
We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility-maximization in incomplete semimartingale-driven financial markets. Unlike in the…
We extend upon the saddle-point equation presented in [1] to derive large-time model-implied volatility smiles, providing its theoretical foundation and studying its applications in classical models. As long as characteristic function…
We calculate the beta-functions for an open string sigma-model in the presence of a U(1) background. Passing to N=2 boundary superspace, in which the background is fully characterized by a scalar potential, significantly facilitates the…
Numerical solutions of differential equations are usually not smooth functions. However, they should resemble the smoothness of the corresponding real solutions in one way or another. In two of our recent papers, a kind of spacial…
In this paper, we exploit the so-called value function reformulation of the bilevel optimization problem to develop duality results for the problem. Our approach builds on Fenchel-Lagrange-type duality to establish suitable results for the…
Qualification conditions (also termed constraint qualifications) help avoid pathological behavior at domain boundaries in convex analysis. By generalizing facial reduction from conic programming to general convex programs of the form $f(x)…