相关论文: Unifying the BGM and SABR Models: A short Ride in …
Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions,…
We consider models of inflation in supergravity with a shift symmetry. We focus on models with one moduli and one inflaton field. The presence of this symmetry guarantees the existence of a flat direction for the inflaton field. Mildly…
With the aim of deriving symmetric hyperbolic free-evolution systems for GR that possess Hamiltonian structure and allow for the popular puncture gauge condition we analyze the hyperbolicity of Hamiltonian systems. We develop helpful tools…
Linear models for the radiative transfer equation have been well developed, while nonlinear models are seldom investigated even for slab geometry due to some essential difficulties. We have proposed a moment model in MPN for slab geometry…
We tackle the calibration of the so-called Stochastic-Local Volatility (SLV) model. This is the class of financial models that combines the local and stochastic volatility features and has been subject of the attention by many researchers…
In the short time to maturity limit it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike. The result is valid for all values of the correlation…
We describe a high performance parallel implementation of a derivative pricing model, within which we introduce a new parallel method for the calibration of the industry standard SABR (stochastic-\alpha \beta \rho) stochastic volatility…
We treat implied volatility surface (IVS) reconstruction as a learning problem guided by two principles. First, we adopt a meta-learning view that trains across trading days to learn a procedure that maps sparse option quotes to a full IVS…
Probabilistic Latent Variable Models (LVMs) excel at modeling complex, high-dimensional data through lower-dimensional representations. Recent advances show that equipping these latent representations with a Riemannian metric unlocks…
The main result of this paper that a martingale evolution can be chosen for Libor such that all the Libor interest rates have a common market measure; the drift is fixed such that each Libor has the martingale property. Libor is described…
Recently, a class of inflation models in supergravity with gauge non-singlet matter fields as the inflaton has been proposed. It is based on a `tribrid' structure in the superpotential and on a Heisenberg symmetry for solving the…
We describe a model for evolving commodity forward prices that incorporates three important dynamics which appear in many commodity markets: mean reversion in spot prices and the resulting Samuelson effect on volatility term structure,…
In this paper, we will give a complete geometric background for the geometry of Painlev\'e $VI$ and Garnier equations. By geometric invariant theory, we will construct a smooth coarse moduli space $M_n^{\balpha}(\bt, \blambda, L) $ of…
The local volatility model is a widely used for pricing and hedging financial derivatives. While its main appeal is its capability of reproducing any given surface of observed option prices---it provides a perfect fit---the essential…
In this paper, we study stochastic volatility models in regimes where the maturity is small, but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization…
Backward compatible representation learning enables updated models to integrate seamlessly with existing ones, avoiding to reprocess stored data. Despite recent advances, existing compatibility approaches in Euclidean space neglect the…
The calibration of a local volatility models to a given set of option prices is a classical problem of mathematical finance. It was considered in multiple papers where various solutions were proposed. In this paper an extension of the…
In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We build an interest rate model for which all the market price changes of hedging instruments, interest rate swaps and…
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…
We study Hamiltonian form of unfree gauge symmetry where the gauge parameters have to obey differential equations. We consider the general case such that the Dirac-Bergmann algorithm does not necessarily terminate at secondary constraints,…