Related papers: W-shaped implied volatility curves in a variance-g…
We introduce time-inhomogeneous stochastic volatility models, in which the volatility is described by a nonnegative function of a Volterra type continuous Gaussian process that may have very rough sample paths. The main results obtained in…
We derive a mode-coupling theory for the slow dynamics of fluids confined in disordered porous media represented by spherical particles randomly placed in space. Its equations display the usual nonlinear structure met in this theoretical…
In this chapter we first briefly review the existing approaches to hedging in rough volatility models. Next, we present a simple but general result which shows that in a one-factor rough stochastic volatility model, any option may be…
We study distributions of realized variance (squared realized volatility) and squared implied volatility, as represented by VIX and VXO indices. We find that Generalized Beta distribution provide the best fits. These fits are much more…
We propose a deep hedging framework for index option portfolios, grounded in a realistic market simulator that captures the joint dynamics of S&P 500 returns and the full implied volatility surface. Our approach integrates surface-informed…
Multivariate normal mixtures provide a flexible model for high-dimensional data. They are widely used in statistical genetics, statistical finance, and other disciplines. Due to the unboundedness of the likelihood function, classical…
In this paper we develop numerical pricing methodologies for European style Exchange Options written on a pair of correlated assets, in a market with finite liquidity. In contrast to the standard multi-asset Black-Scholes framework, trading…
Existence and regularity of minimizers for a geometric variational problem is shown. The variational integral models an energy contribution of the interface between two immiscible fluids in the presence of surfactants and includes a…
Exponential L\'evy processes can be used to model the evolution of various financial variables such as FX rates, stock prices, etc. Considerable efforts have been devoted to pricing derivatives written on underliers governed by such…
The implied volatility skew has received relatively little attention in the literature on short-term asymptotics for financial models with jumps, despite its importance in model selection and calibration. We rectify this by providing…
In a series of recent papers Barndorff-Nielsen and Shephard introduce an attractive class of continuous time stochastic volatility models for financial assets where the volatility processes are functions of positive Ornstein-Uhlenbeck(OU)…
We describe two constructions giving rise to curved $A_{\infty}$-algebras. The first consists of deforming $A_{\infty}$-algebras, while the second involves transferring curved dg structures that are deformations of (ordinary) dg structures…
We prove a formula expressing the Log Gromov-Witten Invariants of a product of log smooth varieties $V \times W$ in terms of the invariants of $V$ and $W$. This extends results of F. Qu and Y.P. Lee, who introduced this formula analogously…
We consider an interest rate model with log-normally distributed rates in the terminal measure in discrete time. Such models are used in financial practice as parametric versions of the Markov functional model, or as approximations to the…
This paper examines a semi-analytical approach for pricing American options in time-inhomogeneous models characterized by negative interest rates (for equity/FX) or negative convenience yields (for commodities/cryptocurrencies). Under such…
Using classical Taylor series techniques, we develop a unified approach to pricing and implied volatility for European-style options in a general local-stochastic volatility setting. Our price approximations require only a normal CDF and…
Graphs are ubiquitous data structures for representing interactions between entities. With an emphasis on the use of graphs to represent chemical molecules, we explore the task of learning to generate graphs that conform to a distribution…
The variance gamma model is a widely popular model for option pricing in both academia and industry. In this paper, we provide a new perspective for pricing European style options for the variance gamma model by deriving closed-form…
The transport and deformation of confined droplets and flexible capsules are central to diverse phenomena and applications, from biological flows in microcapillaries to industrial processes in porous media. Inspired by experiments, we…
In previous works Avellaneda et al. pioneered the pricing and hedging of index options - products highly sensitive to implied volatility and correlation assumptions - with large deviations methods, assuming local volatility dynamics for all…