Related papers: Stochastic flows approach to Dupire's formula
We examine the small expiry behaviour of European call options in stock price models of exponential L\'evy type. In most cases of interest, we are able to identify the exact small expiry asymptotics. In "complete generality" we are able to…
We propose a generic calibration framework to both vanilla and no-touch options for a large class of continuous semi-martingale models. The method builds upon the forward partial integro-differential equation (PIDE) derived in Hambly et al.…
We approximate stochastic processes in finite dimension by dynamical systems. We provide trajectorial estimates which are uniform with respect to the initial condition for a well chosen distance. This relies on some non-expansivity property…
We prove a local well posedness result for the modified Korteweg-de Vries equation in a critical space designed so that is contains self-similar solutions. As a consequence, we can study the flow of this equation around self-similar…
A framework for deriving probabilistic data-driven closure models is proposed for coarse-grained numerical simulations of turbulence in statistically stationary state. The approach unites the ideal large-eddy simulation model and data…
We study discrete flow equivalence of two-sided topological Markov shifts by using extended Ruelle algebras. We characterize flow equivalence of two-sided topological Markov shifts in terms of conjugacy of certain actions weighted by…
For a family of stochastic differential equations, we investigate the asymptotic behaviors of its corresponding Picard's iteration, establishing convergence results in terms of relative entropy. Our convergence results complement the…
Recent advances in steady-state analysis of power systems have introduced the equivalent split-circuit approach and corresponding continuation methods that can reliably find the correct physical solution of large-scale power system…
We consider the Euler scheme for stochastic differential equations with jumps, whose intensity might be infinite and the jump structure may depend on the position. This general type of SDE is explicitly given for Feller processes and a…
Some expansion methods have been proposed for approximately pricing options which has no exact closed formula. Benhamou et al. (2010) presents the smart expansion method that directly expands the expectation value of payoff function with…
We exhibit some explicit co-adapted couplings for n-dimensional Brownian motion and all its Levy stochastic areas. In the two-dimensional case we show how to derive exact asymptotics for the coupling time under various mixed coupling…
Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and only describe drift and diffusion. We…
The flow equation approach is a robust framework applicable to a broad class of singular SPDEs, including those with fractional Laplacians, throughout the entire subcritical regime. Inspired by Wilson's renormalization group, this method…
For certain types of statistical models, the characteristic function (Fourier transform) is available in closed form, whereas the probability density function has an intractable form, typically as an infinite sum of probability weighted…
We prove existence of a stochastic flow of diffeomorphisms generated by SDEs with drift in $L^q_t C^{0, \alpha}_x$ for any $q \in [2, \infty)$ and $\alpha \in (0, 1)$. This result is achieved using a Zvonkin-type transformation for the SDE.…
In this article, we employ a collection of stochastic differential equations with drift and diffusion coefficients approximated by neural networks to predict the trend of chaotic time series which has big jump properties. Our contributions…
In numerical studies of diffusive dynamics, two different action functionals are often used to specify the probability distribution of trajectories, one of which requiring the evaluation of the second derivative of the potential in addition…
We prove that the stochastic differential equation $$ Y_{s,t}(x) = Y_{s,s}(x) + \int_0^{t-s} f(Y_{s,s+u}(x)) dX_{s+u}, Y_{s,s}(x)=x\in\R^d. $$ driven by a L\'evy process whose paths have finite p-variation almost surely for some $p\in[1,2)$…
We construct solutions to the randomly-forced Navier--Stokes--Poisson system in periodic three-dimensional domains or in the whole three-dimensional Euclidean space. These solutions are weak in the sense of PDEs and also weak in the sense…
We consider a two-factor model for the valuation of a non callable defaultable bond which pays coupons at certain given dates. The model under consideration is the Jump to Default Constant Elasticity of Variance (JDCEV) model. The JDCEV…