On the distribution of the time-integral of the geometric Brownian motion
, 2022 We study the numerical evaluation of several functions appearing in the small time expansion of the distribution of the time-integral of the geometric Brownian motion as well as its joint distribution with the terminal value of the underlying Brownian ...
Nandori, Peter, Pirjol, Dan
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A stochastic control perspective on term structure models with roll-over risk
, 2023 In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence of arbitrage and rely instead on a minimal market viability assumption ...
Fontana, Claudio +2 more
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No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
, 2023 In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models.
Cherif, Dorsaf, Lepinette, Emmanuel
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Quantifying the rise and fall of scientific fields
, 2021 Science advances by pushing the boundaries of the adjacent possible. While the global scientific enterprise grows at an exponential pace, at the mesoscopic level the exploration and exploitation of research ideas is reflected through the rise and fall of
Barme, Emma +4 more
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European Option Pricing Under Generalized Tempered Stable Process: Empirical Analysis
, 2023 The paper investigates the performance of the European option price when the log asset price follows a rich class of Generalized Tempered Stable (GTS) distribution.
Nzokem, A. H.
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A short note on super-hedging an arbitrary number of European options with integer-valued strategies
, 2023 The usual theory of asset pricing in finance assumes that the financial strategies, i.e. the quantity of risky assets to invest, are real-valued so that they are not integer-valued in general, see the Black and Scholes model for instance. This is clearly
Cherif, Dorsaf +2 more
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Price Formation in Field Prediction Markets: the Wisdom in the Crowd
, 2022 Prediction markets are a popular, prominent, and successful structure for a collective intelligence platform. However the exact mechanism by which information known to the participating traders is incorporated into the market price is unknown. Kyle (1985)
Bossaerts, Frederik +8 more
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Robustness and sensitivity analyses for rough Volterra stochastic volatility models
, 2021 In this paper we perform robustness and sensitivity analysis of several continuous-time rough Volterra stochastic volatility models with respect to the process of market calibration.
Matas, Jan, Pospíšil, Jan
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Vanna-Volga pricing for single and double barrier FX options
, 2022 In this paper, we provide a unified treatment of the Vanna-Volga pricing technique. We derive the value of single and double barriers FX options, as well as closed formulas for the Delta, Vega, Vanna and Volga of those contracts.Comment: 19 ...
Ovejero, J. Martín
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A Levy-driven Ornstein-Uhlenbeck process for the valuation of credit index swaptions
, 2023 A Levy-driven Ornstein-Uhlenbeck process is proposed to model the evolution of the risk-free rate and default intensities for the purpose of evaluating option contracts on a credit index.
Shirai, Yoshihiro
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