Related papers: W-shaped implied volatility curves in a variance-g…
Visual illusions may be explained by the likelihood of patches in real-world images, as argued by input-driven paradigms in Neuro-Science. However, neither the data nor the tools existed in the past to extensively support these…
We investigate the joint dynamics of spot and implied volatility from an empirical perspective. We focus on the equity market with the SPX Index our underlying of choice. Using only observable quantities, we extract the instantaneous…
This paper introduces one new multivariate volatility model that can accommodate an appropriately defined network structure based on low-frequency and high-frequency data. The model reduces the number of unknown parameters and the…
In the option valuation literature, the shortcomings of one factor stochastic volatility models have traditionally been addressed by adding jumps to the stock price process. An alternate approach in the context of option pricing and…
We introduce the Graph Mixture Density Networks, a new family of machine learning models that can fit multimodal output distributions conditioned on graphs of arbitrary topology. By combining ideas from mixture models and graph…
Functional data analysis is proved to be useful in many scientific applications. The physical process is observed as curves and often there are several curves observed due to multiple subjects, providing the replicates in statistical sense.…
A large-scale molecular dynamics simulation is performed on a glass-forming Lennard-Jones mixture to determine the nature of dynamical heterogeneities which arise in this model fragile liquid. We observe that the most mobile particles…
In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation…
An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the…
We suggest a novel mechanism by which vorticity structuring and Taylor-like velocity rolls can form in complex fluids, triggered by the linear instability of one dimensional gradient shear banded flow. We support this with a numerical study…
US Yield curve has recently collapsed to its most flattened level since subprime crisis and is close to the inversion. This fact has gathered attention of investors around the world and revived the discussion of proper modeling and…
The measures of roughness of the volatility in the litterature are based on the realized volatility of high frequency data. Some authors show that this leads to a biased estimate, and does not necessarily indicate roughness of the…
In studies on instabilities of flowfield in rotating detonation, one of the most common concerns is the instability at the slip line originating from the conjunction of the detonation wave and oblique shock. Using Euler equations associated…
In active matter systems, deformable boundaries provide a mechanism to organize internal active stresses and perform work on the external environment. To study a minimal model of such a system, we perform particle-based simulations of an…
We propose a structural framework for the geometry of financial order books in which liquidity, supply, and demand are treated as emergent observables rather than primitive economic variables. The market is modeled as an inflationary…
"Oscillations" occur in quite different kinds of many-particle-systems when two groups of particles with different directions of motion meet or intersect at a certain spot. We present a model of pedestrian motion that is able to reproduce…
We consider a class of growth models and models of turbulence based on the randomly stirred fluid. The similarity between the predictions of these models, noted a decade earlier, is understood on the basis of a stochastic quantization…
We consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices. We provide an approach, based on the conic finance paradigm, that allows to…
This paper considers options pricing when the assumption of normality is replaced with that of the symmetry of the underlying distribution. Such a market affords many equivalent martingale measures (EMM). However we argue (as in the…
We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are…