相关论文: Smiles all around: FX joint calibration in a multi…

In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the classical constraints on marginal distributions at initial…

In order to study the geometry of interest rates market dynamics, Malliavin, Mancino and Recchioni [A non-parametric calibration of the HJM geometry: an application of It\^o calculus to financial statistics, {\it Japanese Journal of…

In this paper, we consider the Heston-CIR model with L\'{e}vy process for pricing in the foreign exchange (FX) market by providing a new formula that better fits the distribution of prices. To do that, first, we study the existence and…

This paper considers the valuation of a European call option under the Heston stochastic volatility model. We present the asymptotic solution to the option pricing problem in powers of the volatility of variance. Then we introduce the…

We propose a non-parametric extension with leverage functions to the Andersen commodity curve model. We calibrate this model to market data for WTI and NG including option skew at the standard maturities. While the model can be calibrated…

The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally…

We develop and implement a non-parametric method for joint exact calibration of a local volatility model and a correlated stochastic short rate model using semimartingale optimal transport. The method relies on the duality results…

Financial markets are a complex dynamical system. The complexity comes from the interaction between a market and its participants, in other words, the integrated outcome of activities of the entire participants determines the markets trend,…

This paper presents a study using the Bayesian approach in stochastic volatility models for modeling financial time series, using Hamiltonian Monte Carlo methods (HMC). We propose the use of other distributions for the errors in the…

We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still being highly analytically tractable.…

Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization of randomly varying volatility. The recent book Fouque, Papanicolaou, Sircar…

We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a…

Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior…

For quantitative trading risk management purposes, we present a novel idea: the realized local volatility surface. Concisely, it stands for the conditional expected volatility when sudden market behaviors of the underlying occur. One is…

We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delattre, Hoffmann, Muzy, Modelling microstructure noise with…

This article proposes a calibration framework for complex option pricing models that jointly fits market option prices and the term structure of variance. Calibrated models under the conventional objective function, the sum of squared…

We present a theory of option pricing and hedging, designed to address non-perfect arbitrage, market friction and the presence of `fat' tails. An implied volatility `smile' is predicted. We give precise estimates of the residual risk…

We calculate the realized volatility in the spin model of financial markets and examine the returns standardized by the realized volatility. We find that moments of the standardized returns agree with the theoretical values of standard…

In a rather general setting of multivariate stochastic volatility market models we derive global iterative probabilistic schemes for computing the free boundary and its Greeks for a generic class of American derivative models using…

We provide explicit conditions on the distribution of risk-neutral log-returns which yield sharp asymptotic estimates on the implied volatility smile. We allow for a variety of asymptotic regimes, including both small maturity (with…