相关论文: Moment Methods for Exotic Volatility Derivatives

Instrumental variable analysis is a powerful tool for estimating causal effects when randomization or full control of confounders is not possible. The application of standard methods such as 2SLS, GMM, and more recent variants are…

We apply the bootstrap technique to find the moments of certain multi-trace and multi-matrix random matrix models suggested by noncommutative geometry. Using bootstrapping we are able to find the relationships between the coupling constant…

We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The flexibility of our approach is…

We consider a class of asset pricing models, where the risk-neutral joint process of log-price and its stochastic variance is an affine process in the sense of Duffie, Filipovic and Schachermayer [2003]. First we obtain conditions for the…

This paper aims at solving FX market volatility modeling problem and finding the most becoming approach to this task. Validity of two competing approaches, classical econometric generalized conditional heteroscedasticity and mathematical…

This paper is concerned with the estimation of the volatility process in a stochastic volatility model of the following form: $dX_t=a_tdt+\sigma_tdW_t$, where $X$ denotes the log-price and $\sigma$ is a c\`adl\`ag semi-martingale. In the…

In multivariate extreme value theory (MEVT), the focus is on analysis outside of the observable sampling zone, which implies that the region of interest is associated to high risk levels. This work provides tools to include directional…

Moment closure methods are widely used to analyze mathematical models. They are specifically geared toward derivation of approximations of moments of stochastic models, and of similar quantities in other models. The methods possess several…

Approximate solutions of the chemical master equation and the chemical Fokker-Planck equation are an important tool in the analysis of biomolecular reaction networks. Previous studies have highlighted a number of problems with the…

Options with maturities below one week, hereafter "ultra-short-term" options, have seen a sharp increase in trading activity in recent years. Yet, these instruments are difficult to price jointly using classical pricing models due to the…

This article presents a generic hybrid numerical method to price a wide range of options on one or several assets, as well as assets with stochastic drift or volatility. In particular for equity and interest rate hybrid with local…

The method of moments in the context of Nonlinear Schrodinger Equations relies on defining a set of integral quantities, which characterize the solution of this partial differential equation and whose evolution can be obtained from a set of…

In this article, we have developed a higher order compact numerical method for variable coefficient parabolic problems with mixed derivatives. The finite difference scheme, presented here for two-dimensional domains, is based on fourth…

In the present paper we present a finite element approach for option pricing in the framework of a well-known stochastic volatility model with jumps, the Bates model. In this model the asset log-returns are assumed to follow a…

Moment equations offer a compelling alternative to the kinetic description of plasmas, gases, and liquids. Their simulation requires fewer degrees of freedom than phase space models, yet it can still incorporate kinetic effects to a certain…

In the paper written by Klibanov et al, it proposes a novel method to calculate implied volatility of a European stock options as a solution to ill-posed inverse problem for the Black-Scholes equation. In addition, it proposes a trading…

In this paper we present a new method to compute the first-order approximation of the price of derivatives on futures in the context of multiscale stochastic volatility of Fouque \textit{et al.} (2011, CUP). It provides an alternative…

Cascades of events and extreme occurrences have garnered significant attention across diverse domains such as financial markets, seismology, and social physics. Such events can stem either from the internal dynamics inherent to the system…

Building on a prominent agent-based model, we present a new structural stochastic volatility asset pricing model of fundamentalists vs. chartists where the prices are determined based on excess demand. Specifically, this allows for…

We regard options on VIX and Realised Variance as solutions to path-dependent partial differential equations (PDEs) in a continuous stochastic volatility model. The modeling assumption specifies that the instantaneous variance is a $C^3$…