Results 41 to 50 of about 1,033 (104)
Analytical Solutions of the SABR Stochastic Volatility Model
, 2012 This thesis studies a mathematical problem that arises in modeling the prices of option contracts in an important part of global financial markets, the fixed income option market. Option contracts, among other derivatives, serve an important function of transferring and managing financial risks in today's interconnected financial world.
openaire +2 more sources
Term structure modeling with overnight rates beyond stochastic continuity
Mathematical Finance, Volume 34, Issue 1, Page 151-189, January 2024.Abstract Overnight rates, such as the Secured Overnight Financing Rate (SOFR) in the United States, are central to the current reform of interest rate benchmarks. A striking feature of overnight rates is the presence of jumps and spikes occurring at predetermined dates due to monetary policy interventions and liquidity constraints.
Claudio Fontana +2 more
wiley +1 more source
Interest rate models with Markov chains [PDF]
, 2009 Imperial Users ...
Manlio BattagliaTrovato +1 more
core
On a Symmetrization of Diffusion Processes [PDF]
, 2012 The latter author, together with collaborators, proposed a numerical scheme to calculate the price of barrier options. The scheme is based on a symmetrization of diffusion process.
Akahori, Jiro, Imamura, Yuri
core
Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model
, 2016 This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by the volatility dynamics $dV_{t}=\kappa_{t}\left(\theta_{t}-V_{t}\right)dt+\lambda_{t}V_{t}dB_{t}$.
Langrené, Nicolas +2 more
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Heat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model
, 2016 We use commutator techniques and calculations in solvable Lie groups to investigate certain evolution Partial Differential Equations (PDEs for short) that arise in the study of stochastic volatility models for pricing contingent claims on risky assets.
Zhang, Siyan +2 more
openaire +2 more sources
Molecular Oncology, Volume 19, Issue S1, Page 1-940, June 2025.Abstracts submitted to the ‘EACR 2025 Congress: Innovative Cancer Science’, from 16–19 June 2025 and accepted by the Congress Organising Committee are published in this Supplement of Molecular Oncology, an affiliated journal of the European Association for Cancer Research (EACR).
wiley +1 more source
Option Valuation in Multivariate SABR Models [PDF]
We consider the joint dynamic of a basket of n-assets where each asset itself follows a SABR stochastic volatility model. Using the Markovian Projection methodology we approximate a univariate displaced diffusion SABR dynamic for the basket to price caps
Jörg Kienitz, Manuel Wittke
core
Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas. [PDF]
In practice the option pricing models are calibrated to market prices of liquid instruments. Consequently for those instruments, all the models give the same price. But the computed risk can be widely different.
Marc Henrard
core
Smiles all around: FX joint calibration in a multi-Heston model
, 2012 We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently typical multi-dimensional FX vanilla markets, while retaining the (semi)-analytical tractability typical of affine models and relying on a
De Col, Alvise +2 more
core +1 more source