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of 305
pro vyhledávání: '"Gobet, Emmanuel"'
In this work we study the numerical approximation of a class of ergodic Backward Stochastic Differential Equations. These equations are formulated in an infinite horizon framework and provide a probabilistic representation for elliptic Partial Differ
Externí odkaz:
http://arxiv.org/abs/2407.09034
We design a novel calibration procedure that is designed to handle the specific characteristics of options on cryptocurrency markets, namely large bid-ask spreads and the possibility of missing or incoherent prices in the considered data sets. We sho
Externí odkaz:
http://arxiv.org/abs/2207.02989
We provide explicit approximation formulas for VIX futures and options in forward variance models, with particular emphasis on the family of so-called Bergomi models: the one-factor Bergomi model [Bergomi, Smile dynamics II, Risk, 2005], the rough Be
Externí odkaz:
http://arxiv.org/abs/2202.10413
Autor:
Barrera, David, Gobet, Emmanuel
In this paper we present a series of results that permit to extend in a direct manner uniform deviation inequalities of the empirical process from the independent to the dependent case characterizing the additional error in terms of $\beta-$mixing co
Externí odkaz:
http://arxiv.org/abs/2108.00997
Autor:
Gobet, Emmanuel1 (AUTHOR) emmanuel.gobet@polytechnique.edu, Lage, Clara1 (AUTHOR)
Publikováno v:
Annals of Operations Research. May2024, Vol. 336 Issue 1/2, p1161-1195. 35p.
Autor:
Bourgey, Florian1,2 (AUTHOR), Gobet, Emmanuel1 (AUTHOR), Jiao, Ying3 (AUTHOR) ying.jiao@univ-lyon1.fr
Publikováno v:
Annals of Operations Research. May2024, Vol. 336 Issue 1/2, p1197-1218. 22p.
Publikováno v:
Computational Statistics; Sep2024, Vol. 39 Issue 6, p3431-3456, 26p
Autor:
Echenim, Mnacho1 (AUTHOR), Gobet, Emmanuel2 (AUTHOR) emmanuel.gobet@polytechnique.edu, Maurice, Anne-Claire3 (AUTHOR)
Publikováno v:
Quantitative Finance. Sep2023, Vol. 23 Issue 9, p1285-1304. 20p.
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