Zobrazeno 1 - 10
of 25
pro vyhledávání: '"Giorgia, Callegaro"'
We solve a family of fractional Riccati differential equations with constant (possibly complex) coefficients. These equations arise, e.g., in fractional Heston stochastic volatility models, that have received great attention in the recent financial l
Externí odkaz:
http://arxiv.org/abs/1805.12587
Publikováno v:
Applied Mathematics and Computation. 441:127666
We propose a quantization-based numerical scheme for a family of decoupled FBSDEs. We simplify the scheme for the control in Pag\`es and Sagna (2018) so that our approach is fully based on recursive marginal quantization and does not involve any Mont
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5cecce913b1601a6d6a572f9571575e7
https://doi.org/10.1016/j.amc.2022.127666
https://doi.org/10.1016/j.amc.2022.127666
We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the consumption rate. We assume that the producer has a short position in a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7762b7158cfdd0166769e2fac698e2e8
http://hdl.handle.net/11577/3456182
http://hdl.handle.net/11577/3456182
Publikováno v:
Mathematics and Financial Economics. 15:473-475
The paper [1] contains two mistakes. We are grateful to Man Kit Tsui for his questions and remarks, leading us to identify them.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::31b3d9b21a3a1e15d1b17cb745790b8b
https://doi.org/10.1007/s11579-020-00285-8
https://doi.org/10.1007/s11579-020-00285-8
Publikováno v:
SSRN Electronic Journal.
We develop a product functional quantization of rough volatility. Since the quantizers can be computed offline, this new technique, built on the insightful works by Luschgy and Pages, becomes a strong competitor in the new arena of numerical tools fo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a87e1d15dafb4dd571981e9f8bd00159
https://doi.org/10.2139/ssrn.3822933
https://doi.org/10.2139/ssrn.3822933
Publikováno v:
Mathematics of Operations Research
Mathematics of Operations Research, INFORMS, 2020, 46 (1), pp.221-254. ⟨10.1287/moor.2020.1054⟩
Mathematics of Operations Research, INFORMS, 2020, 46 (1), pp.221-254. ⟨10.1287/moor.2020.1054⟩
We solve a family of fractional Riccati differential equations with constant (possibly complex) coefficients. These equations arise, e.g., in fractional Heston stochastic volatility models, that have received great attention in the recent financial l
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f29871fbd37f87b3320433e7643b13b4
http://hdl.handle.net/11577/3391439
http://hdl.handle.net/11577/3391439
Quantization algorithms have been successfully adopted to option pricing in finance thanks to the high convergence rate of the numerical approximation. In particular, very recently, recursive marginal quantization has been proven to be a flexible and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0a1060fbd55af92c1d565477e30a4989
http://hdl.handle.net/11577/3351878
http://hdl.handle.net/11577/3351878
We propose a novel algorithm which allows to sample paths from an underlying price process in a local volatility model and to achieve a substantial variance reduction when pricing exotic options. The new algorithm relies on the construction of a disc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f7a6a5839ba9b3142ae39fc52ead9acb
http://hdl.handle.net/11577/3218445
http://hdl.handle.net/11577/3218445
We consider a government that aims at reducing the debt-to-gross domestic product (GDP) ratio of a country. The government observes the level of the debt-to-GDP ratio and an indicator of the state of the economy, but does not directly observe the dev
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6590f11ee75e2ae45aa9b4d3076f6a2b
http://arxiv.org/abs/1901.08356
http://arxiv.org/abs/1901.08356
We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential kernel, respectively. The models proposed exhibit jumps clustering featu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::751ffadbb596b74aecd7192b49957b7c