A Weak Approximation with Malliavin Weights for Local Stochastic Volatility Model
, 2016 This paper introduces a new efficient and practical weak approximation for option price under local stochastic volatility model as marginal expectation of stochastic differential equation, using iterative asymptotic expansion with Malliavin weights.
T. Yamada
semanticscholar +1 more source
A General Asymptotic Implied Volatility for Stochastic Volatility Models [PDF]
arXiv, 2005 In this paper, we derive a general asymptotic implied volatility at the first-order for any stochastic volatility model using the heat kernel expansion on a Riemann manifold endowed with an Abelian connection. This formula is particularly useful for the calibration procedure. As an application, we obtain an asymptotic smile for a SABR model with a mean-
arxiv
SABR/LIBOR market models: pricing and calibration for some interest rate derivatives [PDF]
Ana M. Ferreiro, Jos\'e A. Garc\'ia-Rodr\'iguez, Jos\'e G.
L\'opez-Salas, Carlos V\'azquez, SABR/LIBOR market models: Pricing and
calibration for some interest rate derivatives, Applied Mathematics and
Computation, 242, 2014In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models to capture volatility smiles and skews in real markets, several extensions of LIBOR models to incorporate stochastic volatilities have been proposed.
arxiv +1 more source
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique [PDF]
Jos\'e G. L\'opez-Salas, Carlos V\'azquez, PDE formulation of some
SABR/LIBOR market models and its numerical solution with a sparse grid
combination technique, Computers & Mathematics with Applications, 75, 5,
2018, 1616-1634SABR models have been used to incorporate stochastic volatility to LIBOR market models (LMM) in order to describe interest rate dynamics and price interest rate derivatives. From the numerical point of view, the pricing of derivatives with SABR/LIBOR market models (SABR/LMMs) is mainly carried out with Monte Carlo simulation.
arxiv +1 more source
Functional Analytic (Ir-)Regularity Properties of SABR-type Processes [PDF]
arXiv, 2017 The SABR model is a benchmark stochastic volatility model in interest rate markets, which has received much attention in the past decade. Its popularity arose from a tractable asymptotic expansion for implied volatility, derived by heat kernel methods.
arxiv
Explicit implied volatilities for multifactor local-stochastic volatility models [PDF]
arXiv, 2013 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 they require numerical ...
arxiv
Implied value-at-risk and model-free simulation. [PDF]
Ann Oper Res, 2022 Bernard C, Perchiazzo A, Vanduffel S.
europepmc +1 more source
Gamma and vega hedging using deep distributional reinforcement learning. [PDF]
Front Artif Intell, 2023 Cao J +6 more
europepmc +1 more source
A variable-rate quantitative trait evolution model using penalized-likelihood. [PDF]
PeerJ, 2021 Revell LJ.
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Practice-relevant model validation: distributional parameter risk analysis in financial model risk management. [PDF]
Ann Oper Res, 2022 Cummins M +4 more
europepmc +1 more source