相关论文: Explicit Rational Formulae for Bachelier (Normal) …
Option contracts can be valued by using the Black-Scholes equation, a partial differential equation with initial conditions. An exact solution for European style options is known. The computation time and the error need to be minimized…
We extend Goldie's implicit renewal theorem to the arithmetic case, which allows us to determine the tail behavior of the solution of various random fixed point equations. It turns out that the arithmetic and nonarithmetic cases are very…
We analyze the empirical performance of several non-parametric estimators of the pricing functional for European options, using historical put and call prices on the S&P500 during the year 2012. Two main families of estimators are…
We formulate a discrete-time Bayesian stochastic volatility model for high-frequency stock-market data that directly accounts for microstructure noise, and outline a Markov chain Monte Carlo algorithm for parameter estimation. The methods…
We introduce proper display calculi for intuitionistic, bi-intuitionistic and classical linear logics with exponentials, which are sound, complete, conservative, and enjoy cut-elimination and subformula property. Based on the same design,…
A linear inference is a valid inequality of Boolean algebra in which each variable occurs at most once on each side. In this work we leverage recently developed graphical representations of linear formulae to build an implementation that is…
A variety of problems emerged investigating electronic circuits, computer devices and cellular automata motivated a number of attempts to create a differential and integral calculus for Boolean functions. In the present article, we extend…
We prove pointwise variational Lp bounds for a bilinear Fourier integral operator in a large but not necessarily sharp range of exponents. This result is a joint strengthening of the corresponding bounds for the classical Carleson operator,…
The measures of roughness of the volatility in the litterature are based on the realized volatility of high frequency data. Some authors show that this leads to a biased estimate, and does not necessarily indicate roughness of the…
We revisit two classical problems: the determination of the law of the underlying with respect to a risk-neutral measure on the basis of option prices, and the pricing of options with convex payoffs in terms of prices of call options with…
In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of progressively measurable and bounded processes, but instead…
The research presented in this article provides an alternative option pricing approach for a class of rough fractional stochastic volatility models. These models are increasingly popular between academics and practitioners due to their…
A general formula for the linearized Poincar\'e map of a billiard with a potential is derived. The stability of periodic orbits is given by the trace of a product of matrices describing the piecewise free motion between reflections and the…
We propose a new second-order accurate lattice Boltzmann formulation for linear elastodynamics that is stable for arbitrary combinations of material parameters under a CFL-like condition. The construction of the numerical scheme uses an…
Inference for doubly intractable distributions is challenging because the intractable normalizing functions of these models include parameters of interest. Previous auxiliary variable MCMC algorithms are infeasible for multi-dimensional…
We present a new class of Bayesian dynamic models for bivariate price-realized volatility time series in financial forecasting. A novel dynamic gamma process model adopted for realized volatility is integrated with traditional Bayesian…
Standard quantitative models of the stock market predict a log-normal distribution for stock returns (Bachelier 1900, Osborne 1959), but it is recognised (Fama 1965) that empirical data, in comparison with a Gaussian, exhibit leptokurtosis…
Regular cost functions have been introduced recently as an extension to the notion of regular languages with counting capabilities, which retains strong closure, equivalence, and decidability properties. The specificity of cost functions is…
This paper studies a fixed-design residual bootstrap method for the two-step estimator of Francq and Zako\"ian (2015) associated with the conditional Expected Shortfall. For a general class of volatility models the bootstrap is shown to be…
This article present a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade. One multiplicatively…