相关论文: Numerical aspects of integration in semi-closed op…
We propose a novel and generic calibration technique for four-factor foreign-exchange hybrid local-stochastic volatility models with stochastic short rates. We build upon the particle method introduced by Guyon and Labord\`ere [Nonlinear…
Sparked by Al\`os, Le\'on, and Vives (2007); Fukasawa (2011, 2017); Gatheral, Jaisson, and Rosenbaum (2018), so-called rough stochastic volatility models such as the rough Bergomi model by Bayer, Friz, and Gatheral (2016) constitute the…
Our study focuses on fractional order compartment models derived from underlying physical stochastic processes, providing a more physically grounded approach compared to models that use the dynamical system approach by simply replacing…
Steepest descent methods combining complex contour deformation with numerical quadrature provide an efficient and accurate approach for the evaluation of highly oscillatory integrals. However, unless the phase function governing the…
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.…
Stochastic differential equations (SDEs) offer powerful and accessible mathematical models for capturing both deterministic and probabilistic aspects of dynamic behavior across a wide range of physical, financial, and social systems.…
We price European-style options written on forward contracts in a commodity market, which we model with an infinite-dimensional Heath-Jarrow-Morton (HJM) approach. For this purpose we introduce a new class of state-dependent volatility…
A sequential quadratic programming method is designed for solving general smooth nonlinear stochastic optimization problems subject to expectation equality constraints. We consider the setting where the objective and constraint function…
This paper proposes a numerical method for pricing foreign exchange (FX) options in a model which deals with stochastic interest rates and stochastic volatility of the FX rate. The model considers four stochastic drivers, each represented…
We develop quantum algorithms for pricing Asian and barrier options under the Heston model, a popular stochastic volatility model, and estimate their costs, in terms of T-count, T-depth and number of logical qubits, on instances under…
Stochastic differential equation (SDE) models are the foundation for pricing and hedging financial derivatives. The drift and volatility functions in SDE models are typically chosen to be algebraic functions with a small number (less than…
We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of a shifted square root jump diffusion (SSRJD) default intensity model. The model can be calibrated to the CDS term structure…
Motivated by recent developments in the calibration of stochastic volatility models (SVMs for short), we study continuous-time formulations of martingale optimal transport and martingale Schr\"odinger bridge problems. We establish duality…
A semidefinite program (SDP) is a particular kind of convex optimization problem with applications in operations research, combinatorial optimization, quantum information science, and beyond. In this work, we propose variational quantum…
An algorithm is proposed, analyzed, and tested experimentally for solving stochastic optimization problems in which the decision variables are constrained to satisfy equations defined by deterministic, smooth, and nonlinear functions. It is…
Multiparameter quantum estimation theory plays a crucial role in advancing quantum metrology. Recent studies focused on fundamental challenges such as enhancing precision in the presence of incompatibility or sloppiness, yet the…
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility jump models, e.g. in Bates model. In such models the option price is determined as the solution of a partial integro-differential…
This paper proposes a new integrated variance estimator based on order statistics within the framework of jump-diffusion models. Its ability to disentangle the integrated variance from the total process quadratic variation is confirmed by…
We apply numerical dynamic programming techniques to solve discrete-time multi-asset dynamic portfolio optimization problems with proportional transaction costs and shorting/borrowing constraints. Examples include problems with multiple…
In this article we propose a new adaptive numerical quadrature procedure which includes both local subdivision of the integration domain, as well as local variation of the number of quadrature points employed on each subinterval. In this…