Related papers: Robust and Fast Bass local volatility
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Levy-type martingale subject to default. This class of models allows for local volatility, local default intensity, and a locally dependent…
This paper discusses the efficient Bayesian estimation of a multivariate factor stochastic volatility (Factor MSV) model with leverage. We propose a novel approach to construct the sampling schemes that converges to the posterior…
Managing exotic derivatives requires accurate mark-to-market pricing and stable Greeks for reliable hedging. The Local Volatility (LV) model distinguishes itself from other pricing models by its ability to match observable market prices…
In quantitative finance, we often model asset prices as a noisy Ito semimartingale. As this model is not identifiable, approximating by a time-changed Levy process can be useful for generative modelling. We give a new estimate of the…
In the first part of this thesis, we focus on American options in the Heston model. We first give an analytical characterization of the value function of an American option as the unique solution of the associated (degenerate) parabolic…
We study the problem of estimating a temporally varying coefficient and varying structure (VCVS) graphical model underlying nonstationary time series data, such as social states of interacting individuals or microarray expression profiles…
We address the inverse problem of local volatility surface calibration from market given option prices. We integrate the ever-increasing flow of option price information into the well-accepted local volatility model of Dupire. This leads to…
This paper advances the local projections (LP) method by addressing its inefficiency in high-frequency economic and financial data with volatility clustering. We incorporate a generalized autoregressive conditional heteroskedasticity…
Estimation of the initial state of turbulent channel flow from limited data is investigated using an adjoint-variational approach. The data are generated from a reference direct numerical simulation (DNS) which is sub-sampled at different…
We show that in a large class of stochastic volatility models with additional skew-functions (local-stochastic volatility models) the tails of the cumulative distribution of the log-returns behave as exp(-c|y|), where c is a positive…
Latent variable models are an elegant framework for capturing rich probabilistic dependencies in many applications. However, current approaches typically parametrize these models using conditional probability tables, and learning relies…
In financial markets, low prices are generally associated with high volatilities and vice-versa, this well known stylized fact usually being referred to as leverage effect. We propose a local volatility model, given by a stochastic…
In this work, we introduce a novel pricing methodology in general, possibly non-Markovian local stochastic volatility (LSV) models. We observe that by conditioning the LSV dynamics on the Brownian motion that drives the volatility, one…
The popularity of local meshless methods in the field of numerical simulations has increased greatly in recent years. This is mainly due to the fact that they can operate on scattered nodes and that they allow a direct control over the…
An adjoint-based variational optimal mixed model (VOMM) is proposed for subgrid-scale (SGS) closure in large-eddy simulation (LES) of turbulence. The stabilized adjoint LES equations are formulated by introducing a minimal regularization to…
The notion of Inertial Balanced Viscosity (IBV) solution to rate-independent evolutionary processes is introduced. Such solutions are characterized by an energy balance where a suitable, rate-dependent, dissipation cost is optimized at jump…
In this paper, we develop a 4/2 stochastic volatility plus jumps model, namely, a new stochastic volatility model including the Heston model and 3/2 model as special cases. Our model is highly tractable by applying the Lie symmetries theory…
Estimating time-varying graphical models are of paramount importance in various social, financial, biological, and engineering systems, since the evolution of such networks can be utilized for example to spot trends, detect anomalies,…
Most models for barrier pricing are designed to let a market maker tune the model-implied covariance between moves in the asset spot price and moves in the implied volatility skew. This is often implemented with a local…
In this paper, we implement and test two types of market-based models for European-type options, based on the tangent Levy models proposed recently by R. Carmona and S. Nadtochiy. As a result, we obtain a method for generating Monte Carlo…