相关论文: Moment Methods for Exotic Volatility Derivatives

This work examines a stochastic volatility model with double-exponential jumps in the context of option pricing. The model has been considered in previous research articles, but no thorough analysis has been conducted to study its quality…

Stochastic volatility (SV) and local stochastic volatility (LSV) processes can be used to model the evolution of various financial variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted to pricing…

This article reviews the concepts and methods of variational path sampling. These methods allow computational studies of rare events in systems driven arbitrarily far from equilibrium. Based upon a statistical mechanics of trajectory space…

The Heston stochastic volatility model is a standard model for valuing financial derivatives, since it can be calibrated using semi-analytical formulas and captures the most basic structure of the market for financial derivatives with…

Scattering moments provide nonparametric models of random processes with stationary increments. They are expected values of random variables computed with a nonexpansive operator, obtained by iteratively applying wavelet transforms and…

Stochastic dynamical systems often contain nonlinearities which make it hard to compute probability density functions or statistical moments of these systems. For the moment computations, nonlinearities in the dynamics lead to unclosed…

The aim of this paper is to employ variational techniques and critical point theory to prove some conditions for the existence of solutions to nonlinear impulsive dynamic equation with homogeneous Dirichlet boundary conditions. Also we will…

Volatility estimation is a central problem in financial econometrics, but becomes particularly challenging when jump activity is high, a phenomenon observed empirically in highly traded financial securities. In this paper, we revisit the…

We consider change point detection for the volatility in second order linear parabolic stochastic partial differential equations based on high frequency spatio-temporal data. We give a test statistic to detect changes in the volatility…

We propose a generalized perspective on the behavior of high-order derivative moments in turbulent shear flows by taking account of the roles of small-scale intermittency and mean shear, in addition to the Reynolds number. Two asymptotic…

We present an adaptive approach for valuing the European call option on assets with stochastic volatility. The essential feature of the method is a reduction of uncertainty in latent volatility due to a Bayesian learning procedure. Starting…

This paper is devoted to the price-storage dynamics in natural gas markets. A novel stochastic path-dependent volatility model is introduced with path-dependence in both price volatility and storage increments. Model calibrations are…

A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. The method models directly the policy and does not need the…

The vortex method is a common numerical and theoretical approach used to implement the motion of an ideal flow, in which the vorticity is approximated by a sum of point vortices, so that the Euler equations read as a system of ordinary…

In this paper we analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlying asset price but also on the path average of underlying…

We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moments variations computed…

We introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, we derive an approximation for the prices of European options in this setting.…

The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…

Most energy and commodity markets exhibit mean-reversion and occasional distinctive price spikes, which results in demand for derivative products which protect the holder against high prices. To this end, in this paper we present exact and…

In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We derive a forward partial integral…