A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Approximates derivative pricing under fractional stochastic volatility.
Develops a new method for quantizing rough volatility for volatility derivatives pricing.
The article reviews how to set stochastic volatility model parameters.
We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX derivatives. We derive the local volatility function and obtain several results that can be used for the calibration of this local volatility…
The paper provides an efficient method to price path-dependent derivatives using multiscale stochastic volatility models.
New model for pricing volatility derivatives considering rough volatility and jumps.
The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process. In this paper, we give an operator algebraic treatment of this problem based on Dyson expansions and moment …
Develops a new stochastic volatility model for temperature derivatives.
The paper optimizes financial derivatives for market completion in SV models.
A fast calibration method for rough volatility models with jumps.
Derives formula for skew stickiness ratio in asset price and volatility dynamics.
Paper generalizes pricing and hedging of volatility swaps in stochastic models.
The paper addresses pricing interest rate derivatives in markets with volatility uncertainty.
Derives a pricing formula for VIX options using a new stochastic volatility model.
We derive caplet volatilities for quadratic models, providing an asymptotic approximation.
Paper provides an explicit formula for local volatility in Cheyette models.
Derives short-term option pricing asymptotics in local-stochastic volatility models.
The paper introduces a new method to detect rough volatility and market states using fractional derivatives.
Fast ML framework for derivative valuation from volatility surfaces.
We develop a method to study the implied volatility for exotic options and volatility derivatives with European payoffs such as VIX options. Our approach, based on Malliavin calculus techniques, allows us to describe the properties of the at-the-money implied volatility (ATMI) in terms of the Malliavin derivatives of t…
Research forecasts electricity spot prices using stochastic volatility models.
Rough volatility models are very appealing because of their remarkable fit of both historical and implied volatilities. However, due to the non-Markovian and non-semimartingale nature of the volatility process, there is no simple way to simulate efficiently such models, which makes risk management of derivatives an int…
Researchers derive the relation between temperature and volatility in ideal agent systems.
Derives a rough SABR formula for short maturities.
DCNN improves volatility smile and skewness calibration without arbitrage constraints.
We study the dynamics of the normal implied volatility in a local volatility model, using a small-time expansion in powers of maturity T. At leading order in this expansion, the asymptotics of the normal implied volatility is similar, up to a different definition of the moneyness, to that of the log-normal volatility. …
We consider an asset whose risk-neutral dynamics are described by a general class of local-stochastic volatility models and derive a family of asymptotic expansions for European-style option prices and implied volatilities. Our implied volatility expansions are explicit; they do not require any special functions nor do…
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 method to the singular perturbation technique presented in Hikspoors and Jaimungal (2…
In this note, Black--Scholes implied volatility is expressed in terms of various optimisation problems. From these representations, upper and lower bounds are derived which hold uniformly across moneyness and call price. Various symmetries of the Black--Scholes formula are exploited to derive new bounds from old. These…
In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the settings of a derivative pricing model where the underlying spot (the fund) is locally governed by a geometric Brownian motion with local volatil…
Derives new equations for stochastic volatility models.
Derives new equations for volatility models and option pricing.
Path-dependent PDEs model VIX and Realised Variance options.
In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilities driven by fractional noise. To the best of our knowledge, our estimate is the first to derive the rigorous relationship between the zero v…
In this paper, we relax the power parameter of instantaneous variance and develop a new stochastic volatility plus jumps model that generalize the Heston model and 3/2 model as special cases. This model has two distinctive features. First, we do not restrict the new parameter, letting the data speak as to its direction…
We study the mass at the origin in the uncorrelated SABR stochastic volatility model, and derive several tractable expressions, in particular when time becomes small or large. As an application--in fact the original motivation for this paper--we derive small-strike expansions for the implied volatility when the maturit…
The growth of the exhange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts {(LETFs)}. We study the relationship between the ETF and LETF implied volatility surfaces when the underlying ETF is modeled by a general class of local-stochastic volatility mo…
Using high frequency data, we have studied empirically the change of volatility, also called volatility derivative, for various time horizons. In particular, the correlation between the volatility derivative and the volatility realized in the next time period is a measure of the response function of the market particip…
New method for CMS derivatives pricing using Watanabe's expansions.
In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox-Ingersoll-Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an asymptotic expansion of …
The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the well-known problems of the Heston model, and more generally of the affine models, we define a new specification for the dynamics of the stock and its volatility. Within this framework we develop all th…
Study evaluates risk in options using volatility surface projections.
Path signatures improve hedging of exotic derivatives in non-Markovian models.
Developed moment estimators for affine stochastic volatility models.
We propose a novel time discretization for the log-normal SABR model and derive its asymptotic properties.
Study compares MC and QMC methods for pricing and risk analysis in a hyperbolic local volatility model.
We present an adaptive approach for valuing the European call option on assets with stochastic volatility. The essential feature of the method is a reduction of uncertainty in latent volatility due to a Bayesian learning procedure. Starting from a discrete-time stochastic volatility model, we derive a recurrence equati…
Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the strike price, K, and the distribution function of the returns. We derive this distribution function using for C(K) a Black-Sc…