Related papers: Static and dynamic SABR stochastic volatility mode…
We provide a simple method to estimate the parameters of multivariate stochastic volatility models with latent factor structures. These models are very useful as they alleviate the standard curse of dimensionality, allowing the number of…
High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options. Although the American options are very…
We apply the hybrid Monte Carlo (HMC) algorithm to the financial time sires analysis of the stochastic volatility (SV) model for the first time. The HMC algorithm is used for the Markov chain Monte Carlo (MCMC) update of volatility…
In this short note, using our geometric method introduced in a previous paper \cite{phl} and initiated by \cite{ave}, we derive an asymptotic swaption implied volatility at the first-order for a general stochastic volatility Libor Market…
We present a fast and robust calibration method for stochastic volatility models that admit Fourier-analytic transform-based pricing via characteristic functions. The design is structure-preserving: we keep the original pricing transform…
In mathematical finance, a process of calibrating stochastic volatility (SV) option pricing models to real market data involves a numerical calculation of integrals that depend on several model parameters. This optimization task consists of…
We describe how quantum Monte Carlo calculations using the CASINO software can be accelerated using graphics processing units (GPUs) and OpenACC. In particular we consider offloading Ewald summation, the evaluation of long-range two-body…
Implementation of basic local Monte-Carlo algorithms on ATI Graphics Processing Units (GPU) is investigated. The Ising model and pure SU(2) gluodynamics simulations are realized with the Compute Abstraction Layer (CAL) of ATI Stream…
In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on importance of the…
The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…
General purpose graphical processing units (GPU's) offer high processing speeds for certain classes of highly parallelizable computations, such as matrix operations and Fourier transforms, that lie at the heart of first-principles…
The stochastic-gauge representation is a method of mapping the equation of motion for the quantum mechanical density operator onto a set of equivalent stochastic differential equations. One of the stochastic variables is termed the…
We propose a novel time discretization for the log-normal SABR model which is a popular stochastic volatility model that is widely used in financial practice. Our time discretization is a variant of the Euler-Maruyama scheme. We study its…
Traders are often faced with large block orders in markets with limited liquidity and varying volatility. Executing the entire order at once usually incurs a large trading cost because of this limited liquidity. In order to minimize this…
It is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model, like the Heston model (SVI method) or the SABR model (SABR…
Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools widely used by financial risk managers across the globe. However, they are time consuming and sometimes inaccurate. In this paper, a fast and accurate Monte Carlo…
We implemented a GPU based parallel code to perform Monte Carlo simulations of the two dimensional q-state Potts model. The algorithm is based on a checkerboard update scheme and assigns independent random numbers generators to each thread.…
With the goal to provide absolute lower bounds for the best possible running times that can be achieved by $(1+\lambda)$-type search heuristics on common benchmark problems, we recently suggested a dynamic programming approach that computes…
This paper describes an algorithm for selecting parameter values (e.g. temperature values) at which to measure equilibrium properties with Parallel Tempering Monte Carlo simulation. Simple approaches to choosing parameter values can lead to…
For option pricing models and heavy-tailed distributions, this study proposes a continuous-time stochastic volatility model based on an arithmetic Brownian motion: a one-parameter extension of the normal stochastic alpha-beta-rho (SABR)…